Two results on continuity and boundedness of stochastic convolutions
The sample path continuity and boundedness of stochastic convolutions, \[ (f\times Z)(t):=\int_0^t f(t-s)\,dZ(s),\quad t\in T=[0,1] , \] are investigated, where \(f:T\rightarrow \mathbb R\) is a continuous function with \(f(0)=0\) and \(Z\) is a semimartingale. It is proved that for each symmetric Lévy process \(Z\) with paths of infinite variation there exists a continuous one-periodic function \(f:\mathbb R\rightarrow \mathbb R\) with \(f(0)=0\) for which \((f\times Z)\) has unbounded paths almost surely. The next statement is as follows. For a continuous Gaussian process \(G(t)\), \(t\in \mathbb R\), \(G(0)=0,\) with stationary increments and independent of a semimartingale \(Z\), the convolution \( \int_0^t f(t-s)dZ(s)\), \(t\in T \), is continuous almost surely.
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- scientific article; zbMATH DE number 4126424
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