A comparison principle for certain convex functionals of a diffusion process without drift (Q1094761): Difference between revisions
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Latest revision as of 13:21, 18 June 2024
scientific article
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English | A comparison principle for certain convex functionals of a diffusion process without drift |
scientific article |
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A comparison principle for certain convex functionals of a diffusion process without drift (English)
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1987
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L'objectif de cette note est de montrer que lorsqu'une diffusion \(dX(t)=\sigma (X(t))dW(t)\) a son coefficient de diffusion \(\sigma\) encadré en un certain sens par deux constants \(\lambda\) et \(\Lambda\), elle diffuse plus que \(\lambda\) W et moins que \(\Lambda\) W relativement à certaines fonctionnelles convexes. La démonstration repose sur les propriétés d'une fonction V(x,t) dont il faut légèrement modifier la définition pour qu'elle convienne.
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nondegenerate diffusions
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comparison theorem
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Brownian motion
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convex functionals
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