Abstract:Dϕ(u(s))[g(u(s))]dβ(s) u(s)) [g(u(s), g(u(s)] ds .The most frequently used example for which we use Itô's formula is ϕ(u) = u p with
Dϕ(u)[v]
A.1 Burkholder-Davis-Gundy InequalityIn this subsection, we discuss maximal inequalities of Burkholder-Davis-Gundy type, in order to bound stochastic integrals of convolution type. We consider only bounds for terms like E sup t∈ [0,T ] t 0, where L is an operator given for instance by Assumption 2.1.For a nice review of recent results see [HS01]. We will present some … Show more
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