Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients

Jinghai Shao (Beijing Normal University)
Feng-Yu Wang (Beijing Normal University)
Chenggui Yuan (Swansea University)


By using coupling arguments, Harnack type inequalities are established for a class of stochastic (functional) differential equations with multiplicative noises and non-Lipschitzian coefficients. To construct the required couplings, two results on existence and uniqueness of solutions on an open domain are presented.

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Pages: 1-18

Publication Date: November 23, 2012

DOI: 10.1214/EJP.v17-2140


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