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2007.166: On Émery's Inequality and a Variation-of-Constants Formula

2007.166: Markus Reiß, Markus Riedle and Onno van Gaans (2007) On Émery's Inequality and a Variation-of-Constants Formula. Stochastic Analysis and Applications, 25 (2). pp. 353-379. ISSN 1532-9356

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DOI: 10.1080/07362990601139586


A generalization of Émery's inequality for stochastic integrals is shown for convolution integrals of the form $\left( \int_0^t g(t-s) Y(s-) dZ(s)\right)_{t \geq 0}$, where Z is a semimartingale, Y an adapted càdlàg process, and g a deterministic function. An even more general inequality for processes with two parameters is proved. The inequality is used to prove existence and uniqueness of solutions of equations of variation-of-constants type. As a consequence, it is shown that the solution of a semilinear delay differential equation with functional Lipschitz diffusion coefficient and driven by a general semimartingale satisfies a variation-of-constants formula.

Item Type:Article
Uncontrolled Keywords:Émery's inequality; Functional Lipschitz coefficient; Linear drift; Semimartingale; Stochastic delay differential equation; Variation-of-constants formula
Subjects:MSC 2000 > 34 Ordinary differential equations
MSC 2000 > 60 Probability theory and stochastic processes
MIMS number:2007.166
Deposited By:Mrs Louise Healey
Deposited On:19 November 2007

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