Harnack Inequalities for SDEs with Multiplicative Noise and Non-regular Drift

Huaiqian Li, Dejun Luo, Jian Wang

Published 2013-10-16, updated 2014-04-14Version 2

The log-Harnack inequality and Harnack inequality with powers for semigroups associated to SDEs with non-degenerate diffusion coefficient and non-regular time-dependent drift coefficient are established, based on the recent papers \cite{Flandoli, Zhang11}. We consider two cases in this work: (1) the drift fulfills the LPS-type integrability, and (2) the drift is uniformly H\"older continuous with respect to the spatial variable. Finally, by using explicit heat kernel estimates for the stable process with drift, the Harnack inequality for the stochastic differential equation driven by symmetric stable process is also proved.