An exponential estimate for Hilbert space-valued Ornstein--Uhlenbeck processes
Probability
2016-12-23 v1
Abstract
Let be a -valued Ornstein--Uhlenbeck process, and be a bounded, Borel measurable functions with then holds, where the constant is an absolute constant and depends only on the eigenvalues of the drift term of and , the norm of , in an explicit way. Using this we furthermore prove a concentration of measure result and estimate the moments of the above integral.
Cite
@article{arxiv.1612.07745,
title = {An exponential estimate for Hilbert space-valued Ornstein--Uhlenbeck processes},
author = {Lukas Wresch},
journal= {arXiv preprint arXiv:1612.07745},
year = {2016}
}