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一类带跳的随机微分方程解的Harnack不等式
  • ISSN号：1000-5781
  • 期刊名称：《系统工程学报》
  • 时间：0
  • 分类：O211.63[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]宁波大学理学院,浙江宁波315211
  • 相关基金：国家自然科学基金（60874088,11101441）;浙江省自然科学基金（LY12F03010,LQ13A010020）;宁波大学王宽诚基金;高等学校博士学科点新教师基金（20100171120041）.
作者： 王彦涛[1], 朱全新[1]
关键词： 耦合, HARNACK不等式, 测度变换, 泊松点过程, coupling, Harnack inequality, the change of measure, poisson point process
中文摘要：

针对一类带泊松跳的随机微分方程,在一些合理的条件假设下研究了该类方程解的半群Pt^1f（x）：E[f（Xt^x）Iτ1≤t]的Harnack不等式和Log-Harnack不等式问题.首先建立了两类半群之间的关系,同时使用耦合方法,结合Girsanov定理、Holder不等式、Young不等式以及Ito公式,先后获得了Harnack和Log-Harnack的2种不等式.

英文摘要：

In this paper, we study a class of stochastic differential equations with Poission jumps. Under some reasonable conditions, we deal with the issue of the Harnack inequalities and the Log-Harnack inequalities for the semigroup Pt^1f（x）：E[f（Xt^x）Iτ1≤t] of the solutions of such equations. We establish the relationship between the two kinds of semigroup. We also obtain two inequalities such as Hamack and Log-Hamack using the coupling argument, along with Girsanov theorem, Holder inequality, Young inequality and Ito formula.

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期刊信息
  • 《系统工程学报》
  • 北大核心期刊（2014版）
  • 主管单位:中国科协
  • 主办单位:中国系统工程学会
  • 主编：唐万生
  • 地址：天津市卫津路92号
  • 邮编：300072
  • 邮箱：jsetju@263.net
  • 电话：022-27403197
  • 国际标准刊号：ISSN：1000-5781
  • 国内统一刊号：ISSN：12-1141/O1
  • 邮发代号:6-95
  • 获奖情况:
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  • 被引量:14850