Conditional exponential moments for iterated Wiener integrals

• 成果类型: Article
• 署名作者: Lyons, T; Zeitouni, O
• 署名单位: Imperial College London; Technion Israel Institute of Technology
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/aop/1022874813
• 发表日期: 1999
• 页码: 1738-1749
• 关键词: brownian-motion

摘要

We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Holder-like norms of exponent greater than 1/3. The proof uses a control of the variation of the Levy area. under conditioning. The results are applied to the computation of the Onsager-Machlup functional of diffusion processes with constant diffusion matrix.