Article1974

SOME ESTIMATES OF THE PROBABILITY DENSITY OF A STOCHASTIC INTEGRAL

32 citations0/0 files storedMathematics of the USSR-Izvestiya

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Stochastic processes and financial applications Probability and Statistical Research Mathematical Inequalities and Applications

Abstract

Estimates in Lp are derived for probability densities of stochastic integrals. An example is presented which shows that for some values of p such estimates are not attainable. The method of proving these estimates is based on a study of Bellman's nonlinear equations and the properties of λ-convex functions.Bibliography: 12 items.

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1969Diffusion processes with continuous coefficients, I 1972Control of a Solution of a Stochastic Integral Equation

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