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 with . 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
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
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