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Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model
Stochastic Analysis and Applications ( IF 1.3 ) Pub Date : 2020-01-25 , DOI: 10.1080/07362994.2020.1715805 Xing Huang 1 , Fei Zhao 1
Stochastic Analysis and Applications ( IF 1.3 ) Pub Date : 2020-01-25 , DOI: 10.1080/07362994.2020.1715805 Xing Huang 1 , Fei Zhao 1
Affiliation
Abstract In 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.
中文翻译:
广义 Cox-Ingersoll-Ross 模型的 Harnack 和超级庞加莱不等式
摘要 本文得到了广义Cox-Ingersoll-Ross模型的Wang's Harnack不等式和超庞加莱不等式。由于噪声是退化的,因此引入了内在度量以通过度量的变化来构建耦合。通过使用等周常数,还获得了相关 Dirichlet 形式的超庞加莱不等式中速率函数的一些最佳估计。
更新日期:2020-01-25
中文翻译:
广义 Cox-Ingersoll-Ross 模型的 Harnack 和超级庞加莱不等式
摘要 本文得到了广义Cox-Ingersoll-Ross模型的Wang's Harnack不等式和超庞加莱不等式。由于噪声是退化的,因此引入了内在度量以通过度量的变化来构建耦合。通过使用等周常数,还获得了相关 Dirichlet 形式的超庞加莱不等式中速率函数的一些最佳估计。