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Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients

   
@article{EJP2140,
	author = {Jinghai Shao and Feng-Yu Wang and Chenggui Yuan},
	title = {Harnack inequalities for stochastic (functional) differential equations with non-Lipschitzian coefficients},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {17},
	year = {2012},
	keywords = {Harnack inequality; log-Harnack inequality; stochastic (functional) differential equation;  existence and uniqueness},
	abstract = {By using coupling arguments,  Harnack type inequalities are established for a class  of stochastic (functional) differential equations  with multiplicative noises and non-Lipschitzian coefficients.  To construct the required couplings, two results on existence and uniqueness of solutions on an open domain are presented.},
	pages = {no. 100, 1-18},
	issn = {1083-6489},
	doi = {10.1214/EJP.v17-2140},    
        url = {http://ejp.ejpecp.org/article/view/2140}}