Articlegold2012

Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients

Jinghai Shao · Feng‐Yu Wang · Chenggui Yuan

29 citations0/0 files storedElectronic Journal of Probability

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Stochastic processes and statistical mechanics

Abstract

By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two results on existence and uniqueness of solutions on an open domain are presented.

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References

2008Stochastic differential equations and applications 1971On the uniqueness of solutions of stochastic differential equations 2005A study of a class of stochastic differential equations with non-Lipschitzian coefficients 1992Successive approximations to solutions of stochastic differential equations 2011On Weak Solutions of Stochastic Differential Equations

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