An Inequality in the Theory of Stochastic Integrals

Previous article Next article An Inequality in the Theory of Stochastic IntegralsN. V. KrylovN. V. Krylovhttps://doi.org/10.1137/1116048PDFBibTexSections ToolsAdd to favoritesExport CitationTrack CitationsEmail SectionsAbout[1] Daniel W. Stroock and , S. R. S. Varadhan, Diffusion processes with continuous coefficients. I, Comm. Pure Appl. Math., 22 (1969), 345–400 MR0253426 0167.43903 CrossrefGoogle Scholar[2] N. V. Krylov, On Itô's stochastic integral equations, Theory Prob. Applications, 14 (1969), 330–336 10.1137/1114042 0281.60066 LinkGoogle Scholar[3] N. V. Krylov, Control of Markov processes, and the spaces W, Izv. Akad. Nauk SSSR Ser. Mat., 35 (1971), 224–255, (In Russian.) MR0295427 0274.93049 Google Scholar[4] A. D. Aleksandrov, Dirichlet's problem for the equation Det\, zij =φ (z1,⋯,zn,z, x1,⋯, xn). I, Vestnik Leningrad. Univ. Ser. Mat. Meh. Astr., 13 (1958), 5–24, (In Russian.) MR0096903 0114.30202 Google Scholar[5] A. D. Aleksandrov, Majorants of solutions of linear equations of order two, Vestnik Leningrad. Univ., 21 (1966), 5–25, (In Russian.) MR0199540 Google Scholar[6] E. B. Dynkin, Markov Processes, Springer-Verlag, Berlin, 1961, Two Vol. 0091.13605 Google Scholar[7] Michel Loève, Probability theory, Third edition, D. Van Nostrand Co., Inc., Princeton, N.J.-Toronto, Ont.-London, 1963xvi+685 MR0203748 0108.14202 Google Scholar[8] I. Ya. Bakel'man, Geometrical Methods for Solving Elliptic Differential Equations, izd-vo “Nauk”, Moscow, 1965, (In Russian.) 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