| Article ID: | iaor19961330 |
| Country: | Belgium |
| Volume: | 36 |
| Start Page Number: | 279 |
| End Page Number: | 281 |
| Publication Date: | Sep 1994 |
| Journal: | Cahiers du Centre d'tudes de Recherche Oprationnelle |
| Authors: | Neveu Jacques |
| Keywords: | stochastic processes, probability |
A natural proof is given of a useful bound of the expectation of the exponential of the square modulus of a multi-dimensional diffusion; it is optimal in the sense that the Ornstein-Uhlenbeck process attains it. It is not to be considered as a really new result but I have not been able to find a proper reference giving this bound.