In this paper, by constructing a coupling equation, we establish the Harnack type inequalities for stochastic differential equations driven by fractional Brownian motion with Markovian switching. The Hurst parameter $H$ is supposed to be in $(1/2,1)$. As a direct application, the strong Feller property is presented.
Wenyi Pei
,
Litan Yan
,
Zhenlong Chen
. HARNACK TYPE INEQUALITIES FOR SDES DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH MARKOVIAN SWITCHING*[J]. Acta mathematica scientia, Series B, 2023
, 43(3)
: 1403
-1414
.
DOI: 10.1007/s10473-023-0323-0
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