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Harnack Inequality and Applications for SDEs Driven by G-Brownian Motion

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Abstract

In this paper, Wang’s Harnack and shift Harnack inequality for a class of stochastic differential equations driven by G-Brownian motion are established. The results generalize the ones in the linear expectation setting. Moreover, some applications are also given.

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Acknowledgments

The author would like to thank Professor Feng-Yu Wang for guidance and helpful comments, as well as Xing Huang for corrections.

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Authors and Affiliations

  1. Center for Applied Mathematics, Tianjin University, Tianjin, 300072, China

    Fen-fen Yang

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  1. Fen-fen Yang
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Correspondence to Fen-fen Yang.

Additional information

This paper is supported by the National Natural Science Foundation of China (Nos. 11801406).

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Yang, Ff. Harnack Inequality and Applications for SDEs Driven by G-Brownian Motion. Acta Math. Appl. Sin. Engl. Ser. 36, 627–635 (2020). https://doi.org/10.1007/s10255-020-0957-9

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  • DOI: https://doi.org/10.1007/s10255-020-0957-9

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