随机积分的一个估计及其应用
An Estimate of Stochastic Integrals and Its Applications
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摘要: 设（Xt）为随机微分方程d X_t=\sigma\left(x_t\right) d W_t+b\left(X_t\right) d t, \quad X_0=x的解．我们得到了形为E^x \int_s^t f\left(X_u\right) d u \leq C^\prime(t-s)^1 / 2\|f\|,的一个估计和随机策分方积解的存在性的一个新结果。Abstract: Let （Xt） be the solution of S.D.E.d X_t=\sigma\left(x_t\right) d W_t+b\left(X_t\right) d t, \quad X_0=x, In this paper we obtained an estimate of the form E^x \int_s^t f\left(X_u\right) d u \leq C\prime(t-s)^1 / 2\|f\|, and a new result on existence of soutions of S. D. E
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