A comparison principle for certain convex functionals of a diffusion process without drift

Vivek S. Borkar

Stochastic Processes and their Applications, 1987, vol. 25, 245-248

Abstract: A comparison theorem is established between the expectations of a class of convex functionals of a nondegenerate diffusion without drift and those for an appropriately scaled Brownian motion.

Keywords: comparison; theorem; nondegenerate; diffusions; Brownian; motion; convex; functionals; of; processes (search for similar items in EconPapers)
Date: 1987
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