Conditional exponential moments for iterated Wiener integrals
نویسنده
چکیده
We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain HH older-like norms of exponent greater than 1=3. The proof uses a control of the variation of the L evy area, under conditioning. The results are applied to the computation of the Onsager-Machlup functional of diiusion processes with constant diiusion matrix.
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تاریخ انتشار 1999