We give a direct proof of the Harnack inequality for a class of degenerate evolution operators which contains the linearized prototypes of the Kolmogorov and Fokker-Planck operators. We also improve the known results in that we find explicitly the optimal constant of the inequality.
On the complete model with stochastic volatility by Hobson and Rogers / DI FRANCESCO MARCO; PASCUCCI A.. - In: PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A. - ISSN 1364-5021. - STAMPA. - 460:(2005), pp. 3327-3338.
On the complete model with stochastic volatility by Hobson and Rogers
DI FRANCESCO, MARCO;PASCUCCI, ANDREA
2005
Abstract
We give a direct proof of the Harnack inequality for a class of degenerate evolution operators which contains the linearized prototypes of the Kolmogorov and Fokker-Planck operators. We also improve the known results in that we find explicitly the optimal constant of the inequality.File in questo prodotto:
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