Harnack Inequality for Functional SDEs with Bounded Memory

Details Harnack Inequality for Functional SDEs with Bounded Memory Harnack Inequality for Functional SDEs with Bounded Memory

2009-10-23

arxiv.org/abs/0910.4536v1

Mathematics

Probability

5 pages

Scientific paper

We use a coupling method for functional stochastic differential equations
with bounded memory to establish an analogue of Wang's dimension-free Harnack
inequality \cite{MR1481127}. The strong Feller property for the corresponding
segment process is also obtained.

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