Harnack Inequalities for Stochastic Equations Driven by L\'evy Noise

Abstract

By using coupling argument and regularization approximations of the underlying subordinator, dimension-free Harnack inequalities are established for a class of stochastic equations driven by a L\'evy noise containing a subordinate Brownian motion. The Harnack inequalities are new even for linear equations driven by L\'evy noise, and the gradient estimate implied by our log-Harnack inequality considerably generalizes some recent results on gradient estimates and coupling properties derived for L\'evy processes or linear equations driven by L\'evy noise. The main results are also extended to semi-linear stochastic equations in Hilbert spaces.