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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: journal Stochastic Analysis and Applications, Volume 19, Issue 5 October 2001 , pages 771 - 798
Formats available: HTML (English) : PDF (English)
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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.
1This research was partially supported by Sharif University of Technology.
Keywords: Stochastic convolution integral; Stopped Doob inequality; Contraction-type evolution operator and martingale; 60H10; 34F05
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