Some exponential moment inequalities for the Wiener functionals (Q1911531)

Motivated by the problem of estimating the exponential moments of Wiener functionals in terms of moments of their derivatives or powers of the Ornstein-Uhlenbeck operator, the author proves three probabilistic inequalities. The first one deals with a symmetric Markov process on a Lusin space; an exponential inequality for the functionals of the Markov process is proved. The second one estimates the exponential of a Wiener functional (minus its mean value) in terms of the exponential of the square of the norm of the derivative of the functional. This estimate is particularly strong from the viewpoint of the constants involved. The third estimate deals with the Wiener functionals of the divergence form.