arXiv:1208.5094 Abstract | arXiv Analytics

arXiv:1208.5094 [math.PR]Abstract References Reviews Resources

Harnack Inequalities for Stochastic (Functional) Differential Equations with Non-Lipschitzian Coefficients

Jinghai Shao, Feng-Yu Wang, Chenggui Yuan

Published 2012-08-25Version 1

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.

Comments: 22 pages

Categories: math.PR

Keywords: differential equations, non-lipschitzian coefficients, harnack inequalities, functional, stochastic

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