Exponential integrability of stochastic convolutions

Jan Seidler, Takuya Sobukawa

Research output: Contribution to journalArticle

11 Citations (Scopus)

Abstract

Sufficient conditions are found for stochastic convolution integrals driven by a Wiener process in a Hubert space to belong to the Orlicz space exp L2; standard exponential tail estimates follow from these results. Proofs are based on the extrapolation theory and are rather simple.

Original languageEnglish
Pages (from-to)245-258
Number of pages14
JournalJournal of the London Mathematical Society
Volume67
Issue number1
DOIs
Publication statusPublished - 2003 Feb
Externally publishedYes

Fingerprint

Hubert Space
Orlicz Spaces
Wiener Process
Extrapolation
Integrability
Convolution
Tail
Sufficient Conditions
Estimate
Standards

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Exponential integrability of stochastic convolutions. / Seidler, Jan; Sobukawa, Takuya.

In: Journal of the London Mathematical Society, Vol. 67, No. 1, 02.2003, p. 245-258.

Research output: Contribution to journalArticle

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