Abstract
We provide sharp exponential moment bounds for (Stratonovich) iterated stochastic integrals under conditioning by certain small balls, including balls in certain Holder-like norms of exponent greater than 1 /3. The proof uses a control of the variation of the Levy area,under conditioning. The results are applied to the computation of the Onsager–Machlup functional of diffusion processes with constant diffusion matrix.
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