The average density of super-brownian motion
Peter Mörters (2001)
Annales de l'I.H.P. Probabilités et statistiques
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Peter Mörters (2001)
Annales de l'I.H.P. Probabilités et statistiques
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Mario V. Wüthrich (1999)
Annales de l'I.H.P. Probabilités et statistiques
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Paavo Salminen, Pierre Vallois (2007)
Annales de l'I.H.P. Probabilités et statistiques
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Goran Peškir (1996)
Studia Mathematica
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Necessary and sufficient conditions are found for the exponential Orlicz norm (generated by with 0 < p ≤ 2) of or to be finite, where is a standard Brownian motion and τ is a stopping time for B. The conditions are in terms of the moments of the stopping time τ. For instance, we find that as soon as for some constant C > 0 as k → ∞ (or equivalently ). In particular, if τ ∼ Exp(λ) or then the last condition is satisfied, and we obtain with some universal constant...
André Goldman, Pierre Calka (2003)
Annales de l'I.H.P. Probabilités et statistiques
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Peter Friz, Nicolas Victoir (2005)
Annales de l'I.H.P. Probabilités et statistiques
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