A maximal inequality for pth power of stochastic convolution integrals

DOI10.1186/S13660-016-1094-0MaRDI QIDQ295018zbMATH OpenOpenAlexWikidataFDO

Authors Erfan Salavati, Bijan Z. Zangeneh

Publication date 17 June 2016

Published in Journal of Inequalities and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1501.00402

zbMATH Keywords

monotone operatorstochastic evolution equationstochastic convolution integralLévy noiseItō-type inequality

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Monotone operators and generalizations (47H05) Nonlinear evolution equations (47J35)

Abstract: An inequality for the $p$th power of the norm of a stochastic convolution integral in a Hilbert space is proved. The inequality is stronger than analogues inequalities in the Literature in the sense that it is pathwise and not in expectation. An application of this inequality is provided for the semilinear stochastic evolution equations with L'evy noise and monotone nonlinear drift. The existence and uniqueness of the mild solutions in $L^p$ for these equations is proved and a sufficient condition for exponential asymptotic stability of the solutions is derived.

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Cites work

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Cited in

(10)

• An estimate of Burkholder type for stochastic processes defined by the stochastic integral
• Stochastic Convolutions Driven by Martingales: Maximal Inequalities and Exponential Integrability
• Some inequalities for martingales and stochastic convolutions
• A stochastic convolution integral inequality
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Stopped Doob inequality forp-th moment, 0 <p<∞, stochastic convolution integrals
• The Meyer-Emery inequalities for norms of stochastic integrals with a parameter
• The first exit problem of reaction-diffusion equations for small multiplicative Lévy noise
• A Note on Maximal Inequality for Stochastic Convolutions
• Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals

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