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Asymptotic Log-Harnack inequality and applications for stochastic systems of infinite memory

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  • Bao, Jianhai
  • Wang, Feng-Yu
  • Yuan, Chenggui

Abstract

The asymptotic log-Harnack inequality is established for several kinds of models on stochastic differential systems with infinite memory: non-degenerate SDEs, neutral SDEs, semi-linear SPDEs, and stochastic Hamiltonian systems. As applications, the following properties are derived for the associated segment Markov semigroups: asymptotic heat kernel estimate, uniqueness of the invariant probability measure, asymptotic gradient estimate (hence, asymptotically strong Feller property), as well as asymptotic irreducibility.

Suggested Citation

  • Bao, Jianhai & Wang, Feng-Yu & Yuan, Chenggui, 2019. "Asymptotic Log-Harnack inequality and applications for stochastic systems of infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4576-4596.
    • Handle: RePEc:eee:spapps:v:129:y:2019:i:11:p:4576-4596
    DOI: 10.1016/j.spa.2018.12.010
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    References listed on IDEAS

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    1. Zhang, Xicheng, 2010. "Stochastic flows and Bismut formulas for stochastic Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 1929-1949, September.
    2. Arnaudon, Marc & Thalmaier, Anton & Wang, Feng-Yu, 2009. "Gradient estimates and Harnack inequalities on non-compact Riemannian manifolds," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3653-3670, October.
    3. Wang, Feng-Yu & Yuan, Chenggui, 2011. "Harnack inequalities for functional SDEs with multiplicative noise and applications," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2692-2710, November.
    4. Mattingly, J. C. & Stuart, A. M. & Higham, D. J., 2002. "Ergodicity for SDEs and approximations: locally Lipschitz vector fields and degenerate noise," Stochastic Processes and their Applications, Elsevier, vol. 101(2), pages 185-232, October.
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    Cited by:

    1. Hamaguchi, Yushi, 2024. "Markovian lifting and asymptotic log-Harnack inequality for stochastic Volterra integral equations," Stochastic Processes and their Applications, Elsevier, vol. 178(C).
    2. Wang, Ya & Wu, Fuke & Yin, George & Zhu, Chao, 2022. "Stochastic functional differential equations with infinite delay under non-Lipschitz coefficients: Existence and uniqueness, Markov property, ergodicity, and asymptotic log-Harnack inequality," Stochastic Processes and their Applications, Elsevier, vol. 149(C), pages 1-38.
    3. Hong, Wei & Li, Shihu & Liu, Wei, 2020. "Asymptotic log-Harnack inequality and applications for SPDE with degenerate multiplicative noise," Statistics & Probability Letters, Elsevier, vol. 164(C).
    4. Lu, Chun, 2021. "Dynamics of a stochastic Markovian switching predator–prey model with infinite memory and general Lévy jumps," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 316-332.
    5. Jianhai Bao & Feng‐Yu Wang & Chenggui Yuan, 2020. "Ergodicity for neutral type SDEs with infinite length of memory," Mathematische Nachrichten, Wiley Blackwell, vol. 293(9), pages 1675-1690, September.

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