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1. Convex comparison inequalities for non-Markovian stochastic integrals.

Author

Breton, Jean-Christophe, Laquerrière, Benjamin, and Privault, Nicolas

Subjects
*CONVEX functions, *COMPARATIVE studies, *MATHEMATICAL inequalities, *MARKOV processes, *STOCHASTIC integrals, *BROWNIAN motion, *DIFFUSION processes
Abstract

We derive convex comparison inequalities for stochastic integrals of the formand, whereare adapted processes with respect to the filtration generated by a standard Brownian motion, andis an independent Brownian motion. Our method uses forward–backward stochastic integration and the Malliavin calculus, and is also applied to jump–diffusion processes. [ABSTRACT FROM AUTHOR]

Published
2013
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