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Conditional exponential moments for iterated Wiener integrals. (English) Zbl 0961.60053
Authors’ summary: We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Hölder-like norms of exponent greater than 1/3. The proof uses a control of the variation of the Lévy area, under conditioning. The results are applied to the computation of the Onsager-Machlup functional of diffusion processes with constant diffusion matrix.

MSC:
60H05 Stochastic integrals
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60 Diffusion processes
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