Abstract
Estimates in Lp are derived for probability densities of stochastic integrals. An example is presented which shows that for some values of p such estimates are not attainable. The method of proving these estimates is based on a study of Bellman’s nonlinear equations and the properties of λ convex functions.
Original language | English (US) |
---|---|
Pages (from-to) | 233-254 |
Number of pages | 22 |
Journal | Mathematics of the USSR - Izvestija |
Volume | 8 |
Issue number | 1 |
DOIs | |
State | Published - Feb 28 1974 |