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Two inequalities for iterated stochastic integrals

โœ Scribed by L. Yan


Publisher
Springer
Year
2004
Tongue
English
Weight
87 KB
Volume
82
Category
Article
ISSN
0003-889X

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Some ratio inequalities for iterated sto
โœ Litan Yan ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 193 KB

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 โ‰ฅ 0, inductively by In(t, X