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Harnack Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
For stochastic differential equation driven by fractional Brownian motion
with Hurst parameter , Harnack type inequalities are established by
constructing a coupling with unbounded time-dependent drift. These inequalities
are applied to the study of existence and uniqueness of invariant measure for a
discrete Markov semigroup constructed in terms of the distribution of the
solution. Furthermore, we show that entropy-cost inequality holds for the
invariant measure
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