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Keywords:
infinite-dimensional Wiener process; stochastic convolution; maximal inequality
infinite-dimensional Wiener process; stochastic convolution; maximal inequality
Summary:
Using unitary dilations we give a very simple proof of the maximal inequality for a stochastic convolution \[ \int ^t_0 S(t-s)\psi (s)\mathrm{d}W(s) \] driven by a Wiener process $W$ in a Hilbert space in the case when the semigroup $S(t)$ is of contraction type.
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