\(L^p\)-estimates on diffusion processes (Q1770982)
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scientific article; zbMATH DE number 2153752
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| English | \(L^p\)-estimates on diffusion processes |
scientific article; zbMATH DE number 2153752 |
Statements
\(L^p\)-estimates on diffusion processes (English)
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7 April 2005
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Let \(\varphi\) be a nonnegative continuous function. For homogeneous diffusion processes \(X_t\) and stopping times \(\tau\), the authors study the relationship between \(\sup_{0\leq t\leq \tau} | X_t |\) and \(\int_0^\tau \varphi (X_s ) \,ds\) in \(L^p\)-norm.
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Diffusion processes
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Brownian motion
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Martingales
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Stochastic differential equations
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Itô formula
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Bessel processes
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Ornstein-Uhlenbeck process
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Burkholder-Davis-Gundy inequalities
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Maximal inequalities
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0.95608276
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0.9373436
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0.92228144
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0.91800946
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0.9162465
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0.90905416
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