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12 papers · 2 filters
Berry-Esseen bounds for self-normalized martingales
Xiequan Fan, Qi-Man Shao
A Berry-Esseen bound is obtained for self-normalized martingales under the assumption of finite moments. The bound coincides with the classical Berry-Esseen bound for standardized…
Gradient Estimates on Dirichlet Eigenfunctions
Marc Arnaudon, Anton Thalmaier, Feng-Yu Wang
By methods of stochastic analysis on Riemannian manifolds, we derive explicit constants and for a -dimensional compact Riemannian manifold with boundary…
Degenerate SDEs with Singular Drift and Applications to Heisenberg Groups
Xing Huang, Feng-Yu Wang
By using the ultracontractivity of a reference diffusion semigroup, Krylov's estimate is established for a class of degenerate SDEs with singular drifts, which leads to existence a…
Asymptotic Log-Harnack Inequality and Applications for Stochastic Systems of Infinite Memory
Jianhai Bao, Feng-Yu Wang, Chenggui Yuan
The asymptotic log-Harnack inequality is established for several different models of stochastic differential systems with infinite memory: non-degenerate SDEs, Neutral SDEs, semi-l…
Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
Tongtong Hou, Jinghai Shao
This work is denoted to studying the tail behavior of Cox-Ingersoll-Ross (CIR) processes with regime-switching. One essential difference shown in this work between CIR process with…
Nonlinear Fokker-Planck equations for Probability Measures on Path Space and Path-Distribution Dependent SDEs
Xing Huang, Michael Röckner, Feng-Yu Wang
By investigating path-distribution dependent stochastic differential equations, the following type of nonlinear Fokker--Planck equations for probability measures …