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EXPONENTIAL INTEGRABILITY OF STOCHASTIC CONVOLUTIONS

Published online by Cambridge University Press:  25 March 2003

JAN SEIDLER  and
TAKUYA SOBUKAWA
JAN SEIDLER
Affiliation:
Mathematical Institute, Academy of Sciences, Žitná 25, 115 67 Praha 1, Czech Republicseidler@math.cas.cz
TAKUYA SOBUKAWA
Affiliation:
Department of Mathematics, Faculty of Education, Okayama University, Okayama 700–8530, Japansobu@cc.okayama-u.ac.jp
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Abstract

Sufficient conditions are found for stochastic convolution integrals driven by a Wiener process in a Hilbert space to belong to the Orlicz space exp $L^2$; standard exponential tail estimates follow from these results. Proofs are based on the extrapolation theory and are rather simple.

Information

Type
Notes and Papers
Information
Journal of the London Mathematical Society , Volume 67 , Issue 1 , February 2003 , pp. 245 - 258
Copyright
The London Mathematical Society, 2003

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