English

An exponential estimate for Hilbert space-valued Ornstein--Uhlenbeck processes

Probability 2016-12-23 v1

Abstract

Let ZZ be a HH-valued Ornstein--Uhlenbeck process, b ⁣:[0,1]×HHb\colon[0,1]\times H \rightarrow H and h ⁣:[0,1]Hh\colon[0,1] \rightarrow H be a bounded, Borel measurable functions with b1\|b\|_\infty \leq 1 then Eexpα01b(t,Zt+h(t))b(t,Zt)dtH2C\mathbb E \exp \alpha \left| \int\limits_0^1 b(t, Z_t + h(t)) - b(t, Z_t) \, \mathrm d t \right|_H^2 \leq C holds, where the constant CC is an absolute constant and α>0\alpha>0 depends only on the eigenvalues of the drift term of ZZ and h\|h\|_\infty, the norm of hh, in an explicit way. Using this we furthermore prove a concentration of measure result and estimate the moments of the above integral.

Keywords

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}
}
R2 v1 2026-06-22T17:32:44.738Z