𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The finiteness of moments of a stochastic exponential

✍ Scribed by Bronius Grigelionis; Vigirdas Mackevičius

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
203 KB
Volume
64
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

✦ Synopsis

It is well known that the stochastic exponential

, and the result is optimal in the sense that c p cannot be replaced by any c p -with ¿ 0. As a consequence, we get that the moments of the stochastic exponential of a stochastic integral with respect to a Brownian motion are all ÿnite, provided the integrand is a Brownian functional of linear growth.

📜 SIMILAR VOLUMES

pth moment exponential synchronization a
pth moment exponential synchronization analysis for a class of stochastic neural networks with mixed delays
✍ Zixin Liu; Shu Lü; Shouming Zhong; Mao Ye 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 725 KB

In this paper, the issue of pth moment exponential synchronization of a class of stochastic neural networks with mixed delays is investigated. By establishing two new integro-differential inequalities, some new sufficient conditions ensuring pth moment exponential synchronization are obtained. Compa

Approximating integrals of multivariate
Approximating integrals of multivariate exponentials: A moment approach
✍ Dimitris Bertsimas; Xuan Vinh Doan; Jean Lasserre 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 168 KB

We propose a method to calculate lower and upper bounds of some exponential multivariate integrals using moment relaxations and show that they asymptotically converge to the value of the integrals when the moment degree increases. We report computational results for integrals involving the normal di