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

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.

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Year of publication:	1987
Authors:	Borkar, Vivek S.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 25.1987, p. 245-248
Publisher:	Elsevier
Keywords:	comparison theorem nondegenerate diffusions Brownian motion convex functionals of processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874486