New answers tagged stochastic-calculus
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Decay estimate of moment of an SDE
Since we can apply Burkholder-Davis-Gundy to control the supremum of moments, we start by removing the tail simply using $1\leq \frac{|X_{t}|}{R}$.
$$
\mathbb E [ |X_t|^p 1_{\{|X_t| \ge R\}} ]\leq \...
0
votes
On stochastic integration
Jacod/Shiryaev mention in the next paragraph "a fundamental result by Bichteler, Dellacherie and Mokobodzki, which explains why the space of semimartingales is so important.". The Bichteler-...
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