Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model |
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Authors: | Xing Huang |
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Institution: | Center for Applied Mathematics, Tianjin University, Tianjin, China |
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Abstract: | AbstractIn this paper, Wang’s Harnack inequalities and super Poincaré inequality for generalized Cox-Ingersoll-Ross model are obtained. Since the noise is degenerate, the intrinsic metric has been introduced to construct the coupling by change of measure. By using isoperimetric constant, some optimal estimate of the rate function in the super Poincaré inequality for the associated Dirichlet form is also obtained. |
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Keywords: | 60H10 60H15 |
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