We provide several inequalities for the L^q-norm of the Wick product of random variables. These estimates are based on a Jensen’s type inequality for the Wick multiplication, which we derive via a positivity argument. As an application we study a certain type of anticipating stochastic differential equation whose solution is shown to be an element of L^q for some q ≥ 1.
LANCONELLI A, STAN A (2010). Some norm inequalities for gaussian Wick products. STOCHASTIC ANALYSIS AND APPLICATIONS, 28(3), 523-539 [10.1080/07362991003708846].
Some norm inequalities for gaussian Wick products
LANCONELLI A
Investigation
;
2010
Abstract
We provide several inequalities for the L^q-norm of the Wick product of random variables. These estimates are based on a Jensen’s type inequality for the Wick multiplication, which we derive via a positivity argument. As an application we study a certain type of anticipating stochastic differential equation whose solution is shown to be an element of L^q for some q ≥ 1.File in questo prodotto:
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