Convex comparison inequalities for non-Markovian stochastic integrals∗
نویسندگان
چکیده
E[φ(X∗)] ≤ E[φ(X)], (1.1) ∗The third author acknowledges the financial support from NTU Start-Up Grant M58110087. †UMR 6625 CNRS Institut de Recherche Mathématique de Rennes (IRMAR), Université de Rennes 1, Campus de Beaulieu, 35042 Rennes Cedex, France. ‡Laboratoire Analyse, Géométrie & Applications, UMR 7539, Institut Galilée, Université Paris 13, 99 avenue J.B. Clément, 93430 Villetaneuse, France. §Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University, SPMS-MAS, 21 Nanyang Link, Singapore 637371.
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تاریخ انتشار 2012