Journal of Applied Mathematics and Stochastic Analysis
Volume 2004 (2004), Issue 4, Pages 287-316

Some estimates on exponentials of solutions to stochastic differential equations

Jiongmin Yong1,2

1Institute of Mathematical Finance, Fudan University, Shanghai 200433, China
2Department of Mathematics, University of Central Florida, Orlando 32816, FL, USA

Received 26 March 2004; Revised 25 August 2004

Copyright © 2004 Jiongmin Yong. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


Exponential of functionals of solutions to certain stochastic differential equations (SDEs) plays an interesting role in some mathematical finance problems. The purpose of this paper is to establish some estimates for these exponentials.