No label defined (Q4940281)

Let \(\{\Omega,{\mathcal F},({\mathcal F}_{s})_{s\geq 0},P\}\) be a filtered probability space and let \((\mu(s))_{s\geq 0}\) be an \(R^{m}\)-valued continuous local \(({\mathcal F}_{s})_{s\geq 0}\)-martingale. The author considers the stochastic integrals \[ \eta(t)=\int_0^{t}\beta(t,s) d\mu(s), \quad \xi(t)=\int_0^{t}[\beta(t,s)-\beta(s,s)]d\mu(s), \] where the \(d\times m\) matrix \(\beta(t,s,\omega)\) is assumed to be defined for \(t,s\in R_+\), \(\omega\in\Omega.\) For example, the author proves the following statement: Assume that there exist a non-negative \(({\mathcal F}_{s})_{s\geq 0}\)-adapted measurable process \(({\overline \beta}_{s})_{s\geq 0}\), \(k\in N\), and increasing continuous functions \((\varphi(t))_{t\geq 0}\) and \((\psi(u))_{0<u\leq 1}\), \(0<\psi(u)\leq{1\over 2}\), such that \[ \int_0^{1/2}{\varphi(u) du\over \psi(u)u^{1+\psi(2u)}}<\infty \] and for \(t\vee t'\leq k\), \[ {\overline\eta}(t){\buildrel \Delta\over =}\biggl( \int_0^{t}{\overline\beta}_{k}^2(s) d{\overline\mu}(s) \biggr)^{1/2}<\infty\quad \text{a.s.}, \] \[ |\beta(t,s)|\leq{\overline\beta}_{k}(s), \quad |\beta(t',s)-\beta(t,s)|\leq{\overline\beta}_{k}(s) \varphi(|t'-t|). \] Then the process \(\eta(t)\) has a continuous modification. Moreover, for \(\delta\in ]0,1/2 ]\), \(\sigma\in T_{k}\), \(p\in [2,\psi^{-1}(1) ]\), \[ (E\Delta^{p}(\sigma,\delta,\xi))^{1/p} \leq C_{k,\varphi,\psi}\Biggl\{\delta^{-1/p} \varphi(\delta)p(E{\overline\eta}_{k}^{p}(\sigma))^{1/p} +\int_0^{\delta}{\varphi(u)\bigl( E{\overline\eta}_{k}^{\psi^{-1}(u)}(\sigma)\bigr)^{\psi(u)} \over \psi(u)u^{1+\psi(2u)}} du\Biggr\}, \] where \[ \Delta(t,u,x)=\sup_{0\leq s\leq v\leq s+u\leq t} |x(v)-x(s)|,\quad t\geq 0, u\geq 0. \]