A comparison principle for certain convex functionals of a diffusion process without drift

DOI10.1016/0304-4149(87)90201-8zbMath0631.60075OpenAlexW1967332080MaRDI QIDQ1094761

Vivek S. Borkar

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90201-8

zbMATH Keywords

Brownian motioncomparison theoremnondegenerate diffusionsconvex functionals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (1)

On stochastic ordering for diffusion with jumps and applications

Cites Work

• Unnamed Item
• Mean stochastic comparison of diffusions
• Bounds for the fundamental solution of a parabolic equation

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