Small time path behavior of double stochastic integrals and applications to stochastic control
نویسندگان
چکیده
منابع مشابه
Small time path behavior of double stochastic integrals and applications to stochastic control
We study the small time path behavior of double stochastic integrals of the form ∫ t 0 ( ∫ r 0 b(u)dW (u)) dW (r), where W is a d-dimensional Brownian motion and b an integrable progressively measurable stochastic process taking values in the set of d× dmatrices. We prove a law of the iterated logarithm that holds for all bounded progressively measurable b and give additional results under cont...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051605000000557