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 Electronic Communications in Probability > Vol. 14 (2009) > Paper 54 open journal systems 


Harnack Inequality for Functional SDEs with Bounded Memory

Abdelhadi Es-Sarhir, TU (Berlin)
Max-K. von Renesse, TU (Berlin)
Michael Scheutzow, TU (Berlin)


Abstract
We use a coupling method for functional stochastic differential equations with bounded memory to establish an analogue of Wang's dimension-free Harnack inequality [13]. The strong Feller property for the corresponding segment process is also obtained.


Full text: PDF

Pages: 560-565

Published on: December 13, 2009


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Electronic Communications in Probability. ISSN: 1083-589X