Exponential integrability of stochastic convolutions

Jan Seidler, Takuya Sobukawa

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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

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ASJC Scopus subject areas

  • Mathematics(all)

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