arXiv Analytics

Sign in

arXiv:0911.1644 [math.PR]AbstractReferencesReviewsResources

Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds

Feng-Yu Wang

Published 2009-11-09, updated 2012-11-19Version 4

By constructing a coupling with unbounded time-dependent drift, dimension-free Harnack inequalities are established for a large class of stochastic differential equations with multiplicative noise. These inequalities are applied to the study of heat kernel upper bound and contractivity properties of the semigroup. The main results are also extended to reflecting diffusion processes on Riemannian manifolds with nonconvex boundary.

Comments: Published in at http://dx.doi.org/10.1214/10-AOP600 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Journal: Annals of Probability 2011, Vol. 39, No. 4, 1449-1467
Categories: math.PR, math.AP
Related articles: Most relevant | Search more
arXiv:1208.2343 [math.PR] (Published 2012-08-11, updated 2012-08-19)
Harnack Inequality for Semilinear spdes with multiplicative noise
arXiv:1310.4382 [math.PR] (Published 2013-10-16, updated 2014-04-14)
Harnack Inequalities for SDEs with Multiplicative Noise and Non-regular Drift
arXiv:2012.00271 [math.PR] (Published 2020-12-01)
Upper semi-continuity of random attractors and existence of invariant measures for nonlocal stochastic Swift-Hohenberg equation with multiplicative noise

Links

Toolbox