Some remarks on Itô stochastic processes
A new inequality in $ L^d $ of Krylov type for Bass-Chen diffusion processes is established in this work through an overview revisiting various aspects of Itô-Tanaka tricks for non-degenerated diffusion processes. Linear PDEs or Monge-Ampère equations are involved in the following cases where the diffusion coefficient matrix is identity or not.
Authors
- Shizan Fang
- Rongrong Tian
Institutions
- Centre National de la Recherche Scientifique (FR)
- Université de Bourgogne (FR)
- Institut de Mathématiques de Bordeaux (FR)
Publication Details
- Journal
- Discrete and Continuous Dynamical Systems - S
- Published
- 2025-01-01
- DOI
- https://doi.org/10.3934/dcdss.2025053
- Citations
- 1
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 2.21
Funders
- National Science Foundation
- National Natural Science Foundation of China
- Beijing Normal University
- China Scholarship Council