Harnack and Super Poincaré Inequalities for Generalized Cox-Ingersoll-Ross Model
arXiv:1908.02888
Abstract
In this paper, the Harnack inequalities and super-Poincaré 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 Poincaré inequality for the associated Dirichlet form is also obtained.
18 pages