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Harnack inequalities for SDEs driven by subordinator fractional Brownian motion

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  • Li, Zhi
  • Yan, Litan

Abstract

By using a transformation formulas for fractional Brownian motion, the Harnack inequalities for stochastic differential equations driven by subordinator fractional Brownian motion with Hurst parameter H∈(1∕2,1) are established.

Suggested Citation

  • Li, Zhi & Yan, Litan, 2018. "Harnack inequalities for SDEs driven by subordinator fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 45-53.
    • Handle: RePEc:eee:stapro:v:134:y:2018:i:c:p:45-53
    DOI: 10.1016/j.spl.2017.10.015
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    References listed on IDEAS

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    4. Ingve Simonsen, 2001. "Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets," Papers cond-mat/0108033, arXiv.org, revised Apr 2003.
    5. Comte, F. & Renault, E., 1996. "Long memory continuous time models," Journal of Econometrics, Elsevier, vol. 73(1), pages 101-149, July.
    6. Nualart, David & Ouknine, Youssef, 2002. "Regularization of differential equations by fractional noise," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 103-116, November.
    7. Zhang, Xicheng, 2013. "Derivative formulas and gradient estimates for SDEs driven by α-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1213-1228.
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