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 Electronic Journal of Probability > Vol. 15(2010) > Paper 50 open journal systems 


Exponential estimates for stochastic convolutions in 2-smooth Banach spaces

Jan Seidler, Institute of Information Theory and Automation of the AS CR


Abstract
Sharp constants in a (one-sided) Burkholder-Davis-Gundy type estimate for stochastic integrals in a 2-smooth Banach space are found. As a consequence, exponential tail estimates for stochastic convolutions are obtained via Zygmund's extrapolation theorem.


Full text: PDF

Pages: 1556-1573

Published on: October 15, 2010
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Electronic Journal of Probability. ISSN: 1083-6489