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Brownian functionals and applications

โœ Scribed by Hui-Hsiung Kuo


Publisher
Springer Netherlands
Year
1983
Tongue
English
Weight
550 KB
Volume
1
Category
Article
ISSN
0167-8019

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On exponential moments of two Brownian f
โœ Wolfgang Stummer ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 215 KB

The aim of this paper is to demonstrate by examples the possible "extreme" behaviour of exponential moments of two Brownian functionals. As a consequence, it will follow that the "uniform" Novikov condition ## [(J0 )] 36 > 0: supEx exp 6 IIb(Xs)ll2ds 0: sup Ex[exp(fllb(Xs)[12)] <~ (2) s E [0,T ] an