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2022 Exponential tightness of a family of Skorohod integrals
Nhu N. Nguyen
Author Affiliations +
Electron. Commun. Probab. 27: 1-14 (2022). DOI: 10.1214/21-ECP442

Abstract

Exponential tightness of a family of Skorohod integrals is studied in this paper. We first provide a counterexample to illustrate that in general the exponential tightness with speed ε similar to Itô integral does not hold, even for any speed εα with α>0. Then, some characterizations of this subject are given. Application is also provided to illustrate our results.

Funding Statement

This research was supported in part by the National Science Foundation under grant DMS-1710827.

Acknowledgments

The author is grateful to the editors and reviewers for the evaluation and for the detailed comments and suggestions on earlier versions of the manuscript, which have much improved the paper. The author thanks his supervisor Professor George Yin for reading an early version of the manuscript and his tireless guidance and support; he also thanks Professor David Nualart for the discussion on Meyer’s inequality.

Funding Statement

This research was supported in part by the National Science Foundation under grant DMS-1710827.

Acknowledgments

The author is grateful to the editors and reviewers for the evaluation and for the detailed comments and suggestions on earlier versions of the manuscript, which have much improved the paper. The author thanks his supervisor Professor George Yin for reading an early version of the manuscript and his tireless guidance and support; he also thanks Professor David Nualart for the discussion on Meyer’s inequality.

Funding Statement

This research was supported in part by the National Science Foundation under grant DMS-1710827.

Acknowledgments

The author is grateful to the editors and reviewers for the evaluation and for the detailed comments and suggestions on earlier versions of the manuscript, which have much improved the paper. The author thanks his supervisor Professor George Yin for reading an early version of the manuscript and his tireless guidance and support; he also thanks Professor David Nualart for the discussion on Meyer’s inequality.

Citation

Download Citation

Nhu N. Nguyen. "Exponential tightness of a family of Skorohod integrals." Electron. Commun. Probab. 27 1 - 14, 2022. https://doi.org/10.1214/21-ECP442

Information

Received: 10 January 2021; Accepted: 26 December 2021; Published: 2022
First available in Project Euclid: 14 January 2022

Digital Object Identifier: 10.1214/21-ECP442

Subjects:
Primary: 60H05 , 60H07

Keywords: anticipating integrals , Exponential tightness , Malliavin calculus

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