Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models (Q6111898): Difference between revisions

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scientific article; zbMATH DE number 7722792

Language	Label	Description	Also known as
English	Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models	scientific article; zbMATH DE number 7722792

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instance of

scholarly article

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title

Log-Harnack inequality and exponential ergodicity for distribution dependent Chan-Karolyi-Longstaff-Sanders and Vasicek models (English)

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Journal of Theoretical Probability

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publication date

4 August 2023

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full work available at URL

https://arxiv.org/abs/2108.02623

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zbMATH Keywords

log-Harnack inequality

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exponential ergodicity

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McKean-Vlasov SDEs

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Wasserstein distance

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relative entropy

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MaRDI profile type

Publication

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cites work

Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients

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Strong solutions of mean-field stochastic differential equations with irregular drift

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Mean Field Games and Mean Field Type Control Theory

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Hypercontractivity of Hamilton-Jacobi equations.

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Q5478316

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Probabilistic Theory of Mean Field Games with Applications I

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An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients

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Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift

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Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space

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A Theory of the Term Structure of Interest Rates

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Distribution dependent SDEs with singular coefficients

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Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model

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Q3992729

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Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations

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Exponential convergence in entropy and Wasserstein for McKean-Vlasov SDEs

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Well-posedness of distribution dependent SDEs with singular drifts

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An equilibrium characterization of the term structure

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Harnack Inequalities for Stochastic Partial Differential Equations

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Distribution dependent SDEs for Landau type equations

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The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions

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A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

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Q5381435

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Identifiers

zbMATH Open document ID

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10.1007/s10959-022-01210-z

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6111898

@@ Property / cites work @@
+Approximations of McKean-Vlasov stochastic differential equations with irregular coefficients
+Normal rank
@@ Property / cites work @@
+Strong solutions of mean-field stochastic differential equations with irregular drift
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Mean Field Type Control Theory
+Normal rank
@@ Property / cites work @@
+Hypercontractivity of Hamilton-Jacobi equations.
@@ Property / cites work: Hypercontractivity of Hamilton-Jacobi equations. / rank @@
+Normal rank
@@ Property / cites work @@
+Q5478316
@@ Property / cites work: Q5478316 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic Theory of Mean Field Games with Applications I
+Normal rank
@@ Property / cites work @@
+An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficients
+Normal rank
@@ Property / cites work @@
+Strong well posedness of McKean-Vlasov stochastic differential equations with hölder drift
+Normal rank
@@ Property / cites work @@
+Well-posedness for some non-linear SDEs and related PDE on the Wasserstein space
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution dependent SDEs with singular coefficients
+Normal rank
@@ Property / cites work @@
+Harnack and super poincaré inequalities for generalized Cox-Ingersoll-Ross model
+Normal rank
@@ Property / cites work @@
+Q3992729
@@ Property / cites work: Q3992729 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations
+Normal rank
@@ Property / cites work @@
+Exponential convergence in entropy and Wasserstein for McKean-Vlasov SDEs
+Normal rank
@@ Property / cites work @@
+Well-posedness of distribution dependent SDEs with singular drifts
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Harnack Inequalities for Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Distribution dependent SDEs for Landau type equations
+Normal rank
@@ Property / cites work @@
+The Cox-Ingersoll-Ross model with delay and strong convergence of its Euler-Maruyama approximate solutions
+Normal rank
@@ Property / cites work @@
+A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
+Normal rank
@@ Property / cites work @@
+Q5381435
@@ Property / cites work: Q5381435 / rank @@
+Normal rank