Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130111 | Stochastic Processes and their Applications | 2017 | 23 Pages |
Abstract
In this paper we extend an inequality of Lenglart et al. (1980, Lemma 1.1) to general continuous adapted stochastic processes with values in topological spaces. Using this inequality we prove Burkholder-Davies-Gundy's inequality for stochastic integrals in Orlicz-type spaces (a class of quasi-Banach spaces) with respect to cylindrical Brownian motions. As an application, we show the well-posedness of stochastic heat equations in Orlicz spaces.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Yingchao Xie, Xicheng Zhang,