Exponential Estimates for Stochastic Convolutions in 2-Smooth Banach Spaces

Jan Seidler (Czech Academy of Sciences)

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.

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Pages: 1556-1573

Publication Date: October 15, 2010

DOI: 10.1214/EJP.v15-808

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