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Tr. Mat. Inst. Steklova, 2014, Volume 287, Pages 9–20 (Mi tm3590)  

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

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.

DOI: https://doi.org/10.1134/S0371968514040025

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English version:
Proceedings of the Steklov Institute of Mathematics, 2014, 287:1, 3–13

Bibliographic databases:

Document Type: Article
UDC: 519.21
Received in March 2014

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, Tr. 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
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\vol 287
\pages 9--20
\publ MAIK Nauka/Interperiodica
\publaddr Moscow
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  • Труды Математического института им. В. А. Стеклова Proceedings of the Steklov Institute of Mathematics
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