Continuity properties of Hilbert space valued martingales

DOI10.1016/0304-4149(84)90314-4MaRDI QIDQ794341zbMATH OpenOpenAlexFDO

Authors Peter M. Kotelenez

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90314-4

zbMATH Keywords

Hölder continuity of Hilbert space valued martingalesmild solution of a stochastic evolution

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

Necessary and sufficient conditions for Hölder continuity of Hilbert space valued martingales are given in terms of the associated quadratic variation. A corollary of this result is a readily verifiable sufficient condition for the sample path continuity of the mild solution of a stochastic evolution equation. Furthermore Levy's modulus of continuity and a generalized loglog law are obtained for a Hilbert space valued stochastic integral with a Wiener process integrator.

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Cited in

(13)

• Linear parabolic differential equations as limits of space-time jump Markov processes
• High density limit theorems for nonlinear chemical reactions with diffusion
• Hilbert-valued anticipating stochastic differential equations
• Remarks on Hilbert-space-valued multimartingale measures
• Sample path properties of G-Brownian motion
• scientific article; zbMATH DE number 3872403 (Why is no real title available?)
• On the sample properties of distribution valued semimartingales
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• Equivalent conditions for the tightness of a sequence of continuous Hilbert valued martingales
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