Stopped Doob inequality for p-th moment, 0 <p<∞, stochastic convolution integrals 1
Authors:
Hamideh D. Hamedani a;
Bijan Z. Zangeneh a
| Affiliation: | a Faculty of Mathematical Sciences, Sharif University of Technology, Tehran, Iran |
DOI:
10.1081/SAP-120000221
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
19,
Issue
5
October
2001
, pages 771
- 798
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Abstract
We give stopped Doob inequalities for p-th moment, 0<p<∞, of stochastic convolution integrals ∫(0,t]U(t,s)φs- dMs in a Hilbert space, where M is a Hilbert space-valued cadlag square integrable martingale, φ is an operator-valued predictable process and U(t,s) is a contraction-type evolution operator. We also generalize the previous results and try to get smaller constants.
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1This research was partially supported by Sharif University of Technology.
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| Keywords: Stochastic convolution integral; Stopped Doob inequality; Contraction-type evolution operator and martingale; 60H10; 34F05 |
| view references (19) : view citations |

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