Year: 1999
Type: article
Abstract: We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Hölder-like norms of exponent greater than 1 /3. The proof uses a control of the variation of the Lévy area,under conditioning. The results are applied to the computation of the Onsager–Machlup functional of diffusion processes with constant diffusion matrix.
Source: The Annals of Probability
Authors: Terry Lyons, Ofer Zeitouni
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1570217660