Log-Harnack Inequality for Stochastic Differential Equations in Hilbert Spaces and its Consequences

Micahel Röckner; Feng-Yu Wang

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arXiv · 0911.0290

Log-Harnack Inequality for Stochastic Differential Equations in Hilbert Spaces and its Consequences

Micahel Röckner·Feng-Yu Wang

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Abstract

A logarithmic type Harnack inequality is established for the semigroup of solutions to a stochastic differential equation in Hilbert spaces with non-additive noise. As applications, the strong Feller property as well as the entropy-cost inequality for the semigroup are derived with respect to the corresponding distance (cost function).

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Micahel Röckner, Feng-Yu Wang. 2009-11-02. Log-Harnack Inequality for Stochastic Differential Equations in Hilbert Spaces and its Consequences. https://arxiv.org/abs/0911.0290

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