\(L^p\)-estimates on diffusion processes
type: Item
instance of: scholarly article
title: \(L^p\)-estimates on diffusion processes
zbMATH Open document ID: 1064.60173
author: Litan Yan
author: Bei Zhu
published in: Journal of Mathematical Analysis and Applications
publication date: 2005-04-07T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 2153752
zbMATH Keywords: Diffusion processes
zbMATH Keywords: Brownian motion
zbMATH Keywords: Martingales
zbMATH Keywords: Stochastic differential equations
zbMATH Keywords: Itô formula
zbMATH Keywords: Bessel processes
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: Burkholder-Davis-Gundy inequalities
zbMATH Keywords: Maximal inequalities
reviewed by: George Stoica
MaRDI profile type: Publication
full work available at URL: j.jmaa.2004.08.029
OpenAlex ID: W2080436009
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DOI: 10.1016/J.JMAA.2004.08.029
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description: scientific article; zbMATH DE number 2153752