Exponential integrability of Itô's processes (Q2389270): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exponential integrability of Itô's processes |
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Exponential integrability of Itô's processes (English)
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15 July 2009
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This article develops a test for finiteness of exponential moments of the supremum norm of an Ito process over a finite time interval. This is then specialized to diffusion processes. This settles in particular a conjecture of \textit{Y. Hu} [Contemp. Math. 234, 75--84 (1999; Zbl 0936.60075)].
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exponential moments
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Ito processes
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diffusion processes
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