Exponential integrability of stochastic convolutions

Jan Seidler; Takuya Sobukawa

doi:10.1112/S0024610702003745

Exponential integrability of stochastic convolutions

Jan Seidler^*, Takuya Sobukawa

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

12 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 language	English
Pages (from-to)	245-258
Number of pages	14
Journal	Journal of the London Mathematical Society
Volume	67
Issue number	1
DOIs	https://doi.org/10.1112/S0024610702003745
Publication status	Published - 2003 Feb
Externally published	Yes

ASJC Scopus subject areas

Mathematics(all)

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title = "Exponential integrability of stochastic convolutions",

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.",

author = "Jan Seidler and Takuya Sobukawa",

note = "Funding Information: This work was supported in part by GA CR grant 201/01/1197. The second author was also partially supported by the Bilateral Exchange Program of the Japan Society of Promotion of Science and the Czech Academy of Sciences.",

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AU - Seidler, Jan

AU - Sobukawa, Takuya

N1 - Funding Information: This work was supported in part by GA CR grant 201/01/1197. The second author was also partially supported by the Bilateral Exchange Program of the Japan Society of Promotion of Science and the Czech Academy of Sciences.

PY - 2003/2

Y1 - 2003/2

N2 - 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.

AB - 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.

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Exponential integrability of stochastic convolutions

Abstract

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