On exponential moments of two Brownian functionals

Wolfgang Stummer

Statistics & Probability Letters, 1997, vol. 31, issue 3, 233-237

Abstract: The aim of this paper is to demonstrate by examples the possible "extreme" behaviour of exponential moments of two Brownian functionals. As a consequence, it will follow that the "uniform" Novikov condition does not imply the condition and vice versa. Both conditions (1) and (2) are known to be sufficient for the existence of a weak solution of the multidimensional stochastic differential equation dXt=b(Xt)dt+dWt, 0[less-than-or-equals, slant]t[less-than-or-equals, slant]T

Keywords: Multidimensional; stochastic; differential; equations (search for similar items in EconPapers)
Date: 1997
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