3
$\begingroup$

How can I evaluate, or at least find an upper bound for, the following integral without the Hölder inequality, is there an alternate way anyone knows of:

$\mathbb{E}\left[\sup\left|\int_0^t\mu X(u)du\right|^2\right]?$

Here $dX = \mu X dt + \sigma X dB$ is the Black Scholes model.

  • 1
    Why do you not want to use Holder's inequality?2013-03-27

0 Answers 0