\(L^p\)-estimates on diffusion processes

DOI10.1016/j.jmaa.2004.08.029zbMath1064.60173OpenAlexW2080436009MaRDI QIDQ1770982

Bei Zhu, Litan Yan

Publication date: 7 April 2005

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2004.08.029

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processBessel processesItô formulaBurkholder-Davis-Gundy inequalitiesMartingalesStochastic differential equationsDiffusion processesMaximal inequalities

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items

On Maximal Inequalities for Ornstein--Uhlenbeck Processes with Jumps ⋮ Identification of unstable fixed points for randomly perturbed dynamical systems with multistability ⋮ NONPARAMETRIC STOCHASTIC VOLATILITY ⋮ \(L^p\)-estimates on a ratio involving a Bessel process ⋮ Moderate maximal inequalities for the Ornstein-Uhlenbeck process ⋮ Some improvements on the L_p inequalities for diffusion processes ⋮ Sharp moderate maximal inequalities for upward skip-free Markov chains

Cites Work

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