Double Stochastic Integrals, Random Quadratic Forms and Random Series in Orlicz Spaces
Kwapien, Stanislaw ; Woyczynski, Wojbor A.
Ann. Probab., Tome 15 (1987) no. 4, p. 1072-1096 / Harvested from Project Euclid
Let $X(t), t \geq 0$, be a process with independent, symmetric and stationary increments and let $(\xi_i)$ be i.i.d. symmetric real random variables. We provide a characterization of functions $f(s, t), s, t \geq 0$, such that the double integral $\int\int f(s, t) dX(s) dX(t)$ exists, a characterization of infinite matrices $(\alpha_{ij})$ such that the double series $\sum\alpha_{ij}\xi_i\xi_j$ converges a.s. and a characterization of Orlicz space $l_\psi$ valued sequences $(a_i)$ for which the series $\sum a_i\xi_i$ converges a.s. in $l_\psi$. The above three problems are closely related.
Publié le : 1987-07-14
Classification:  Double stochastic integral,  random quadratic form,  process with independent increments,  Orlicz space,  60H05,  60E07,  60B11,  60B12
@article{1176992082,
     author = {Kwapien, Stanislaw and Woyczynski, Wojbor A.},
     title = {Double Stochastic Integrals, Random Quadratic Forms and Random Series in Orlicz Spaces},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1072-1096},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992082}
}
Kwapien, Stanislaw; Woyczynski, Wojbor A. Double Stochastic Integrals, Random Quadratic Forms and Random Series in Orlicz Spaces. Ann. Probab., Tome 15 (1987) no. 4, pp.  1072-1096. http://gdmltest.u-ga.fr/item/1176992082/