Harnack and Super Poincar\'{e} Inequalities for Generalized Cox-Ingersoll-Ross Model

Abstract

In this paper, the Harnack inequalities and super-Poincar\'{e} 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 Poincar\'{e} inequality for the associated Dirichlet form is also obtained.