This article is cited in 6 papers

Some estimates in the theory of stochastic integral

N. V. Krylov

Moscow

Abstract: In this paper, two estimates, (4) and (11), are proved. In (4), $x_t=\int_0^t\sigma_s\,d\xi_s+\int_0^tb_s\,ds$ here $\xi_s$ is an $n$-dimensional Wiener process, $b_s=k_s+\sigma_sh_s$, and $k_s$, $h_s$ satisfy the conditions a), б) ($dt=\det\sigma_t^2$). A particular case of (11) is (5).

Received: 28.05.1971

 English version: Theory of Probability and its Applications, 1973, 18:1, 54–63

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