Brascamp-Lieb inequality and Wiener integrals for centred Bessel processes
Seminar Room 1, Newton Institute
The Brascamp-Lieb inequality is a kind of moment inequality and used in mathematical physics. This inequality gives a good control for measures by means of Gaussian measures if they have log-concave densities. We apply it to the stochastic integrals of Wiener's type for centered $\delta$-dimensional Bessel processes with $\delta \ge 3$ and their variants.
Some extensions of such moment inequalities are also discussed.
The talk is based on joint works with Hariya, Hirsch, Yor, Ishitani and Toukairin.