Estimates in Lp are derived for probability densities of stochastic integrals. An example is presented which shows that for some values of p such estimates are not attainable. The method of proving these estimates is based on a study of Bellman's nonlinear equations and the properties of λ-convex functions.Bibliography: 12 items.
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Н. В. Крылов (1974) studied this question.
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