An Upper Bound for Conditional Second Moment of the Solution of a SDE

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References

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[2] A. N. Shiryaev, “Probability,” Springer, Berlin, 1996.

[3] R. Z. Khasminsky, “Stochastic Stability of Differential Equations,” 2nd Edition, Springer, Berlin, 2012.
doi:10.1007/978-3-642-23280-0

[4] L. J. Shen and J. T. Sun, “p-th Moment Exponential Stability of Stochastic Differential Equations with Impulse Effect,” Science China Information Sciences, Vol. 54, No. 8, 2011, pp. 1702-1711. doi:10.1007/s11432-011-4250-7

[5] R. Sh. Liptser and A. N. Shiryaev, “Theory of Martingales,” Kluwer, Dordrecht, 1989.
doi:10.1007/978-94-009-2438-3

[6] J. Jacod and A. N. Shiryayev, “Limit Theorems for Stochastic Processes,” Springer, Berlin, 1987.