Harnack and Super Poincar\'{e} Inequalities for Generalized Cox-Ingersoll-Ross Model
Probability
2019-08-13 v2
Abstract
In this paper, the Harnack inequalities and super-Poincar\'{e} inequality for generalized CIR model are obtained. Since the noise is degenerate, the intrinsic metric has been introduced to construct the coupling by change of measure. By using isopermetric constant, the optimal estimate of the rate function in the super Poincar\'{e} inequality for the associated Dirichlet form is also obtained.
Keywords
Cite
@article{arxiv.1908.02888,
title = {Harnack and Super Poincar\'{e} Inequalities for Generalized Cox-Ingersoll-Ross Model},
author = {Xing Huang and Fei Zhao},
journal= {arXiv preprint arXiv:1908.02888},
year = {2019}
}
Comments
18 pages