Itô isomorphisms for L^p-valued Poisson stochastic integrals

DOI10.1214/13-AOP906MaRDI QIDQ471155zbMATH OpenFDO

Authors Sjoerd Dirksen

Publication date 14 November 2014

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1208.3885

zbMATH Keywords

\(L^{p}\)-valued Poisson stochastic integralsdecoupling inequalitiesnoncommutative \(L^{p}\)-spacesrandom matricesvector-valued Rosenthal inequalities

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Noncommutative probability and statistics (46L53) Random matrices (probabilistic aspects) (60B20) Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: Motivated by the study of existence, uniqueness and regularity of solutions to stochastic partial differential equations driven by jump noise, we prove It^{o} isomorphisms for $L^p$-valued stochastic integrals with respect to a compensated Poisson random measure. The principal ingredients for the proof are novel Rosenthal type inequalities for independent random variables taking values in a (noncommutative) $L^p$-space, which may be of independent interest. As a by-product of our proof, we observe some moment estimates for the operator norm of a sum of independent random matrices.

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Cited in

(17)

• Stochastic reaction-diffusion equations driven by jump processes
• Burkholder-Davis-Gundy inequalities in UMD Banach spaces
• Covariance estimation under one-bit quantization
• Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes
• Local characteristics and tangency of vector-valued martingales
• On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions
• Global solutions to stochastic Volterra equations driven by Lévy noise
• On the approximation of Lévy driven Volterra processes and their integrals
• The Itô integral for a certain class of Lévy processes and its application to stochastic partial differential equations
• The expected norm of a sum of independent random matrices: an elementary approach
• On maximal inequalities for purely discontinuous martingales in infinite dimensions
• The Kakutani–Hellinger affinity of processes of Itô processes driven by Poisson random measures
• Maximal inequalities and exponential estimates for stochastic convolutions driven by Lévy-type processes in Banach spaces with application to stochastic quasi-geostrophic equations
• Stochastic integration in quasi-Banach spaces
• Maximal inequalities and some applications
• Cylindrical martingale-valued measures, stochastic integration and SPDEs
• Regularisation of cylindrical Lévy processes in Besov spaces

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