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2009 Harnack Inequality for Functional SDEs with Bounded Memory
Abdelhadi Es-Sarhir, Max-K. von Renesse, Michael Scheutzow
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Electron. Commun. Probab. 14: 560-565 (2009). DOI: 10.1214/ECP.v14-1513


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.


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Abdelhadi Es-Sarhir. Max-K. von Renesse. Michael Scheutzow. "Harnack Inequality for Functional SDEs with Bounded Memory." Electron. Commun. Probab. 14 560 - 565, 2009.


Accepted: 13 December 2009; Published: 2009
First available in Project Euclid: 6 June 2016

zbMATH: 1195.34124
MathSciNet: MR2570679
Digital Object Identifier: 10.1214/ECP.v14-1513

Primary: 34K50
Secondary: 60J65

Keywords: coupling , Harnack inequality , Strong Feller property

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