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.
DI FRANCESCO, M., Pascucci, A. (2005). On the complete model with stochastic volatility by Hobson and Rogers. PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A, 460, 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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