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Krylov–Safonov estimates for a degenerate diffusion process

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  • Zhang, Fu
  • Du, Kai

Abstract

This paper proves a Krylov–Safonov estimate for a multidimensional diffusion process whose diffusion coefficients are degenerate on the boundary. As applications the existence and uniqueness of invariant probability measures for the process and Hölder estimates for the associated partial differential equation are obtained.

Suggested Citation

  • Zhang, Fu & Du, Kai, 2020. "Krylov–Safonov estimates for a degenerate diffusion process," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5100-5123.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:8:p:5100-5123
    DOI: 10.1016/j.spa.2020.02.012
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    References listed on IDEAS

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    1. Qiang Dai & Kenneth J. Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October.
    2. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
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