Some Exponential Moment Inequalities for the Wiener Functionals

✍ Scribed by Ali Süleyman Üstünel

• Publisher: Elsevier Science
• Year: 1996
• Tongue: English
• Weight: 690 KB
• Volume: 136
• Category: Article
• ISSN: 0022-1236
• DOI: 10.1006/jfan.1996.0025

✦ Synopsis

In this paper we prove, mainly, three probabilistic inequalities with which we can control the exponential moments of different Wiener functionals. The first one is a general exponential inequality for the functionals of a Markov process defined with a symmetric Dirichlet form under its invariant probability. The second one is for the Wiener functionals whose derivatives' norms' square are exponentially integrable and the third one is for the Wiener functionals of the divergence form. 1996 Academic Press, Inc. where * is a positive, locally integrable function on R + . Then we have m[,>c] E m _ exp& (c&P T ,) 2 24(T ) &1(,, ,)& 1 [c PT ,] & +m[P T ,>c], article no.