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On Moment Inequalities for Stochastic Integrals

✍ Scribed by Novikov, A. A.


Book ID
118227734
Publisher
Society for Industrial and Applied Mathematics
Year
1971
Tongue
English
Weight
382 KB
Volume
16
Category
Article
ISSN
0040-585X

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Let X = (Xt, Ft) be a continuous local martingale with quadratic variation X and X0 = 0. Define iterated stochastic integrals In(X) = (In(t, X), Ft) , n β‰₯ 0, inductively by In(t, X