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Harnack inequality and gradient estimate for G-SDEs with degenerate noise

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In this paper, the Harnack inequalities for $G$-SDEs with degenerate noise are derived by method of coupling by change of measure. Moreover, the gradient estimate for the associated nonlinear semigroup… Click to show full abstract

In this paper, the Harnack inequalities for $G$-SDEs with degenerate noise are derived by method of coupling by change of measure. Moreover, the gradient estimate for the associated nonlinear semigroup $\bar{P}_t$ $$|\nabla \bar{P}_t f|\leq c(p,t)(\bar{P}_t |f|^p)^{\frac{1}{p}}, \ \ p>1, t>0$$ is also obtained for bounded and continuous function $f$. As an application of Harnack inequality, we prove the weak existence of degenerate $G$-SDEs under some integrable conditions. Finally, an example is presented. All of the above results extends the existed results in the linear expectation setting.

Keywords: degenerate noise; gradient estimate; sdes degenerate; harnack inequality

Journal Title: Science China Mathematics
Year Published: 2021

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