Stochastic Processes with Value in Exponential Type Orlicz Spaces
Weber, Michel
Ann. Probab., Tome 16 (1988) no. 4, p. 1365-1371 / Harvested from Project Euclid
Let $(T, \Theta)$ be a compact measurable topological space and $\Psi_q(x) = \exp|x|^q - 1, 1 \leq q < \infty$. Let $X = \{X(\omega, t), \omega \in \Omega, t \in T\}$ be a $\Theta$-measurable stochastic process such that $\|X(s) - X(t)\|_{L^\Psi q(\Omega)}\leq d(s, t)$ for every $(s, t) \in T \otimes T$, where $d(\cdot, \cdot)$ is some continuous pseudometric on $(T, \Theta)$. We give a sufficient condition expressed in terms of a majorizing measure on $(T, d)$ in order that $X$ take values in the Orlicz space $L^{\Psi_q}(T, \mu)$, where $q \leq q' < \infty$ and $\mu$ any Borel probability measure on $(T, \Theta)$.
Publié le : 1988-07-14
Classification:  Sample path properties,  integrability,  majorizing measure,  60G17,  60G15
@article{1176991696,
     author = {Weber, Michel},
     title = {Stochastic Processes with Value in Exponential Type Orlicz Spaces},
     journal = {Ann. Probab.},
     volume = {16},
     number = {4},
     year = {1988},
     pages = { 1365-1371},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991696}
}
Weber, Michel. Stochastic Processes with Value in Exponential Type Orlicz Spaces. Ann. Probab., Tome 16 (1988) no. 4, pp.  1365-1371. http://gdmltest.u-ga.fr/item/1176991696/