A maximal inequality for stochastic convolutions in 2-smooth Banach spaces
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Abstract: Let (e^{tA})_{t geq 0} be a C_0-contraction semigroup on a 2-smooth Banach space E, let (W_t)_{t geq 0} be a cylindrical Brownian motion in a Hilbert space H, and let (g_t)_{t geq 0} be a progressively measurable process with values in the space gamma(H,E) of all gamma-radonifying operators from H to E. We prove that for all 0<p<infty there exists a constant C, depending only on p and E, such that for all T geq 0 we have E sup_{0le tle T} || int_0^t e^{(t-s)A} g_s dW_s ||^p leq C mathbb{E} (int_0^T || g_t ||_{gamma(H,E)}^2 dt)^frac{p}{2}. For p geq 2 the proof is based on the observation that psi(x) = || x ||^p is Fr'echet differentiable and its derivative satisfies the Lipschitz estimate || psi'(x) - psi'(y)|| leq C(|| x || + || y ||)^{p-2} || x-y ||; the extension to 0<p<2 proceeds via Lenglart's inequality.
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