A Note on Maximal Inequality for Stochastic Convolutions
Erika HausenblasInstitute of Mathematics, University of Salzburg, Hellbrunnerstr. 34, 5020, Salzburg, AustriaJan SeidlerMathematical Institute, Academy of Sciences, Zitna 25, 115 67, Praha 1, Czech Republic
2001en
ABI
Abstract
Using unitary dilations we give a very simple proof of the maximal inequality for a stochastic convolution $$\int_0^t {S(t - s)} \psi (s){\text{d}}W(s)$$ driven by a Wiener process W in a Hilbert space in the case when the semigroup S(t) is of contraction type.
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