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.
Citation
Jan Seidler. "Exponential Estimates for Stochastic Convolutions in 2-Smooth Banach Spaces." Electron. J. Probab. 15 1556 - 1573, 2010. https://doi.org/10.1214/EJP.v15-808
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