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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.

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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