Harnack inequality and derivative formula for SDE driven by fractional Brownian motion |
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| Authors: | Email author" target="_blank">XiLiang?FanEmail author |
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| Institution: | FAN XiLiang1,2 1School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China; 2Department of Mathematics, Anhui Normal University, Wuhu 241003, China |
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| Abstract: | In the paper, Harnack inequality and derivative formula are established for stochastic differential equation driven by fractional Brownian motion with Hurst parameter H < 1/2. As applications, strong Feller property, log-Harnack inequality and entropy-cost inequality are given. |
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