Stochastic integral inequalities with applications

DOI10.7153/MIA-13-48MaRDI QIDQ3570023zbMATH OpenOpenAlexFDO

Authors Meng Wu, Nan-Jing Huang

Publication date 23 June 2010

Published in Mathematical Inequalities & Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7153/mia-13-48

zbMATH Keywords

diffusion processItô integralstochastic differential equationstochastic integral inequality

Mathematics Subject Classification ID

Inequalities involving derivatives and differential and integral operators (26D10) Other analytical inequalities (26D20) Stochastic integrals (60H05) Stochastic integral equations (60H20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Recommendations

• New inequalities of Gronwall type for the stochastic differential equations
• The integral inequality and applications to stability theorems of stochastic differential equations with respect to semimartingales
• A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales
• A note on the moment inequalities for stochastic integral
• The behavior of solutions of stochastic differential inequalities

Cited in

(16)

• Stochastic inequalities and applications. Selected papers presented at the Euroconference on ``Stochastic inequalities and their applications, Barcelona, June 18--22, 2002
• A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales
• Two inequalities for iterated stochastic integrals
• An integral inequality and its application to a problem of stabilization by noise
• The behavior of solutions of stochastic differential inequalities
• An application of integrodifferential inequalities in probability theory
• A stochastic Gronwall inequality in random time horizon and its application to BSDE
• Iterated integrals with respect to Bessel processes
• scientific article; zbMATH DE number 3932120 (Why is no real title available?)
• scientific article; zbMATH DE number 4056706 (Why is no real title available?)
• The integral inequality and applications to stability theorems of stochastic differential equations with respect to semimartingales
• On refinements of neoclassical inequality and its applications to stochastic differential equations and Brownian motion
• Gronwall-type moment inequalities for a stochastic process
• A note on the moment inequalities for stochastic integral
• Some new concentration inequalities for the Itô stochastic integral
• A powered Gronwall-type inequality and applications to stochastic differential equations

This page was built for publication: Stochastic integral inequalities with applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3570023)