Conditional exponential moments for iterated Wiener integrals

被引：11
|
作者：
Lyons, T
Zeitouni, O
机构：
[1] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2BZ, England
[2] Technion Israel Inst Technol, Dept Elect Engn, IL-32000 Haifa, Israel
来源：
ANNALS OF PROBABILITY | 1999年 / 27卷 / 04期
关键词：
iterated Wiener integrals; Levy area; Onsager-Machlup functional;
D O I：
10.1214/aop/1022874813
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Holder-like norms of exponent greater than 1/3. The proof uses a control of the variation of the Levy area. under conditioning. The results are applied to the computation of the Onsager-Machlup functional of diffusion processes with constant diffusion matrix.
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页码：1738 / 1749
页数：12
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