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- W1966839053 abstract "The aim of this paper is to demonstrate by examples the possible “extreme” behaviour of exponential moments of two Brownian functionals. As a consequence, it will follow that the “uniform” Novikov condition ∃δ > 0: supxϵRd Exexpδ∫T0∥b(Xs)∥2ds<∞ does not imply the condition ∀xϵRd∃δ > 0: supsϵ[0,T]Ex[exp (δ∥b(Xs)∥2)]⩽∞ and vice versa. Both conditions (1) and (2) are known to be sufficient for the existence of a weak solution of the multidimensional stochastic differential equation dXt=b(Xt)dt+dWt, 0⩽t⩽T" @default.
- W1966839053 created "2016-06-24" @default.
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- W1966839053 date "1997-01-01" @default.
- W1966839053 modified "2023-09-25" @default.
- W1966839053 title "On exponential moments of two Brownian functionals" @default.
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- W1966839053 doi "https://doi.org/10.1016/s0167-7152(96)00035-1" @default.
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