Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model

DOI10.1080/07362994.2020.1715805zbMath1447.60050arXiv1908.02888OpenAlexW3001805281MaRDI QIDQ3298105

Xing Huang, Fei Zhao

Publication date: 21 July 2020

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.02888

zbMATH Keywords

Harnack inequalityisoperimetric constantsuper Poincaré inequalitycoupling by change of measuregeneralized Cox-Ingersoll-Ross model

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models

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