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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2014, Volume 287, Pages 9–20
DOI: https://doi.org/10.1134/S0371968514040025 (Mi tm3590) 		 
This article is cited in 1 scientific paper (total in 1 paper)

On some functional inequalities for skew Brownian motion

A. T. Abakirova

Laboratoire de Mathématiques Paul Painlevé, Université Lille 1, 59 655 Villeneuve d'Ascq Cedex, France
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DOI: https://doi.org/10.1134/S0371968514040025
Abstract: We study the Poincaré and logarithmic Sobolev inequalities. We provide several constructions of skew Brownian motion; this is an example of diffusion with singular drift interesting from different points of view. We obtain inequalities for skew Brownian motion that naturally generalize the Gaussian case. It turns out that for skew Brownian motion the estimates depend on the local time of the process.
Received in March 2014
English version:
Proceedings of the Steklov Institute of Mathematics, 2014, Volume 287, Issue 1, Pages 3–13
DOI: https://doi.org/10.1134/S0081543814080021
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: A. T. Abakirova, “On some functional inequalities for skew Brownian motion”, Stochastic calculus, martingales, and their applications, Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday, Trudy Mat. Inst. Steklova, 287, MAIK Nauka/Interperiodica, Moscow, 2014, 9–20; Proc. Steklov Inst. Math., 287:1 (2014), 3–13
Citation in format AMSBIB
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\paper On some functional inequalities for skew Brownian motion
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\bookinfo Collected papers. Dedicated to Academician Albert Nikolaevich Shiryaev on the occasion of his 80th birthday
\serial Trudy Mat. Inst. Steklova
\yr 2014
\vol 287
\pages 9--20
\publ MAIK Nauka/Interperiodica
\publaddr Moscow
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    • This publication is cited in the following 1 articles:
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    		Труды Математического института имени В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
     
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