Séminaire de Probabilités XLVI pp 293-315 | Cite as

# On Maximal Inequalities for Purely Discontinuous Martingales in Infinite Dimensions

## Abstract

The purpose of this paper is to give a survey of a class of maximal inequalities for purely discontinuous martingales, as well as for stochastic integral and convolutions with respect to Poisson measures, in infinite dimensional spaces. Such maximal inequalities are important in the study of stochastic partial differential equations with noise of jump type.

## Keywords

Stochastic Integral Stochastic Partial Differential Equation Maximal Inequality Poisson Random Measure Stochastic Convolution## 1 Introduction

The purpose of this work is to collect several proofs, in part revisited and extended, of a class of maximal inequalities for stochastic integrals with respect to compensated random measures, including Poissonian integrals as a special case. The precise formulation of these inequalities can be found in Sects. 3–5 below. Their main advantage over the maximal inequalities of Burkholder, Davis and Gundy is that their right-hand side is expressed in terms of predictable “ingredients”, rather than in terms of the quadratic variation. Since our main motivation is the application to stochastic partial differential equations (SPDE), in particular to questions of existence, uniqueness, and regularity of solutions (cf. [25, 26, 27, 28, 29]), we focus on processes in continuous time taking values in infinite-dimensional spaces. Corresponding estimates for finite-dimensional processes have been used in many areas, for instance in connection to Malliavin calculus for processes with jumps, flow properties of solutions to SDEs, and numerical schemes for Lévy-driven SDEs (see e.g. [2, 16, 18]). Very recent extensions to vector-valued settings have been used to develop the theory of stochastic integration with jumps in (certain) Banach spaces (see [8] and references therein).

We have tried to reconstruct the historical developments around this class of inequalities (an investigation which led us to quite a few surprises), providing relevant references, and we hope that our account could at least serve to correct some terminology that seems, from an historical point of view, not appropriate. In fact, while we refer to Sect. 6 below for details, it seems important to remark already at this stage that the estimates which we termed “Bichteler-Jacod’s inequalities” in our previous article [27] should have probably more rightfully been baptized as “Novikov’s inequalities”, in recognition of the contribution [33].

Let us conclude this introductory section with a brief outline of the remaining content: after fixing some notation and collecting a few elementary (but useful) results in Sect. 2, we state and prove several upper and lower bounds for purely discontinuous Hilbert-space-valued continuous-time martingales in Sect. 3. We actually present several proofs, adapting, simplifying, and extending arguments of the existing literature. The proofs in Sects. 3.2 and 3.3 might be, at least in part, new. On the issue of who proved what and when, however, we refer to the (hopefully) comprehensive discussion in Sect. 6. Section 4 deals with *L* _{ q }-valued processes that can be written as stochastic integrals with respect to compensated Poisson random measures. Unfortunately, to keep this survey within a reasonable length, it has not been possible to reproduce the proof, for which we refer to the original contribution [8]. The (partial) extension to the case of stochastic convolutions is discussed in Sect. 5.

## 2 Preliminaries

*H*a real (separable) Hilbert space with norm \(\Vert \cdot \Vert\). If

*ξ*is an

*E*-valued random variable, with

*E*a normed space, and

*p*> 0, we shall use the notation

^{1}

*μ*be a random measure on a measurable space \((Z,\mathcal{Z})\), with dual predictable projection (compensator)

*ν*. We shall use throughout the paper the symbol

*M*to denote a martingale of the type \(M = g\star \bar{\mu }\), where \(\bar{\mu }:=\mu -\nu\) and

*g*is a vector-valued (predictable) integrand such that the stochastic integral

*g*(hence

*M*) takes values in

*H*or in an

*L*

_{ q }space. Integrals with respect to

*μ*,

*ν*and \(\bar{\mu }\) will often be written in abbreviated form, e.g. \(\int _{0}^{t}g\,d\bar{\mu }:= (g\star \bar{\mu })_{t}\) and \(\int g\,d\bar{\mu }:= (g\star \bar{\mu })_{\infty }\). If

*M*is

*H*-valued, the following well-known identities hold for the quadratic variation [

*M*,

*M*] and the Meyer process \(\langle M,M\rangle\):

*T*. Moreover, we shall need the fundamental Burkholder-Davis-Gundy’s (BDG) inequality:

*N*such that

*a*≤

*Nb*. If

*N*depends on the parameters

*p*

_{1},

*…*,

*p*

_{ n }, we shall write \(a \lesssim _{p_{1},\ldots,p_{n}}b\). Moreover, if \(a \lesssim b\) and \(b \lesssim a\), we shall write \(a \eqsim b\).

The following lemma about (Fréchet) differentiability of powers of the norm of a Hilbert space is elementary and its proof is omitted.

### Lemma 1

*Let*\(\phi: H \rightarrow \mathbb{R}\)

*be defined as*\(\phi: x\mapsto \Vert x\Vert ^{p}\)

*, with p > 0. Then*\(\phi \in C^{\infty }(H\setminus \{0\})\)

*, with first and second Fréchet derivatives*

*In particular, ϕ ∈ C*

^{1}

*(H) if p > 1, and ϕ ∈ C*

^{2}

*(H) if p > 2.*

It should be noted that, here and in the following, for \(p \in \left [1,2\right [\) and \(p \in \left [2,4\right [\), the linear form \(\Vert x\Vert ^{p-2}\langle x,\cdot \rangle\) and the bilinear form \(\Vert x\Vert ^{p-4}\langle x,\cdot \rangle \langle x,\cdot \rangle\), respectively, have to be interpreted as the zero form if *x* = 0.

The estimate contained in the following lemma is simple but perhaps not entirely trivial.

### Lemma 2

*Let 1 ≤ p ≤ 2. One has, for any x,y ∈ H,*

### Proof

*x*,

*y*≠ 0, otherwise (3) trivially holds. Since the function \(\phi: x\mapsto \Vert x\Vert ^{p}\) is convex and Fréchet differentiable on \(H\setminus \{0\}\) for all

*p*≥ 1, one has

*θ*∈ ]0, 1[ (in particular

*x*+

*θ y*≠ 0). Moreover, we have

*p*− 2 ≤ 0, \(\Vert x +\theta y\Vert ^{p-2} \leq \Vert y\Vert ^{p-2}\). □

For the purposes of the following lemma only, let \((X,\mathcal{A},m)\) be a measure space, and denote \(L_{p}(X,\mathcal{A},m)\) simply by *L* _{ p }.

### Lemma 3

*Let 1 < q < p. For any α ≥ 0, one has*

### Proof

*r*< 1. Raising to the power

*α*and applying Young’s inequality (see e.g. [13, Sect. 4.8]) with conjugate exponents \(s:= 1/r\) and \(s^{{\prime}}:= 1/(1 - r)\) yields

## 3 Inequalities for Martingales with Values in Hilbert Spaces

The following domination inequality, due to Lenglart [21], will be used several times.

### Lemma 4

*Let X and A be a positive adapted right-continuous process and an increasing predictable process, respectively, such that*\(\mathbb{E}[X_{T}\vert \mathcal{F}_{0}] \leq \mathbb{E}[A_{T}\vert \mathcal{F}_{0}]\)

*for any bounded stopping time. Then one has*

### Theorem 1

*Let α ∈ [1,2]. One has*

*and*

Sometimes we shall use the notation BJ _{ α, p } to denote the inequality BJ with parameters *α* and *p*.

*α*= 2 and

*α*=

*p*, respectively, one obtains the probably more familiar expressions

*L*

_{ p }spaces with respect to a random measure. However, if

*μ*is a Poisson measure, then

*ν*is “deterministic” (i.e. it does not depend on

*ω*∈

*Ω*), and the above notation is thus perfectly lawful. In particular, if

*ν*is deterministic, it is rather straightforward to see that the above estimates imply

*p*∈ [1,

*∞*[, where \(1/p + 1/p^{{\prime}} = 1\), by a duality argument one can obtain the lower bound

### 3.1 Proofs

We first prove the lower bound (4). The proof is taken from [24] (we recently learned, however, cf. Sect. 6 below, that the same argument already appeared in [10]).

### Proof (Proof of (4))

Since *p*∕2 > 1, one has

We now give several alternative arguments for the upper bounds.

The first proof we present is based on Itô’s formula and Lenglart’s domination inequality. It does not rely, in particular, on the BDG inequality, and it is probably, in this sense, the most elementary.

### Proof (First Proof of BJ)

*α*∈ ]1, 2], and \(\phi: H \ni x\mapsto \Vert x\Vert ^{\alpha } = h(\Vert x\Vert ^{2})\), with \(h: y\mapsto y^{\alpha /2}\). Furthermore, let \((h_{n})_{n\in \mathbb{N}}\) be a sequence of functions of class \(C_{c}^{\infty }(\mathbb{R})\) such that

*h*

_{ n }→

*h*pointwise, and define \(\phi _{n}: x\mapsto h_{n}(\Vert x\Vert ^{2})\), so that

*ϕ*

_{ n }∈

*C*

_{ b }

^{2}(

*H*).

^{2}Itô’s formula (see e.g. [31]) then yields

*n*→

*∞*, one has, by estimate (3) and the dominated convergence theorem,

*α*= 1 we cannot use Doob’s inequality, but we can argue by a direct calculation:

*α*∈ [1, 2],

*p*∈ ]0,

*α*].

*α*= 2,

*p*> 2. We apply Itô’s formula to a

*C*

_{ b }

^{2}approximation of \(x\mapsto \Vert x\Vert ^{p}\), as in the first part of the proof, then take expectation and pass to the limit, obtaining

*p*>

*α*= 2 is completed choosing \(\varepsilon\) small enough.

*α*∈ [1, 2[,

*p*>

*α*. Note that, by Lemma 3,

*α*= 2 proved above. □

### Remark 1

The proof of BJ _{2, p }, *p* ≥ 2, just given is a (minor) adaptation of the proof in [27], while the other cases are taken from [24]. However (cf. Sect. 6 below), essentially the same result with a very similar proof was already given by Novikov [33]. In the latter paper the author treats the finite-dimensional case, but the constants are explicitly dimension-free. Moreover, he deduces the case *p* < *α* from the case *p* = *α* using the extrapolation principle of Burkholder and Gundy [6], where we used instead Lenglart’s domination inequality. However, the proof of the latter is based on the former.

### Proof (Second Proof of BJ _{ α, p } (*p* ≤ *α*))

*M*, taking into account that

*α*∕2 ≤ 1, yields

*T*. The result then follows by Lenglart’s domination inequality. □

We are now going to present several proofs for the case *p* > *α*. As seen at the end of the first proof of BJ, it suffices to consider the case *p* > *α* = 2.

### Proof (Second Proof of BJ _{2, p } (*p* > 2))

_{2, 2p }holds if BJ

_{2, p }does: the identity

_{2, p }imply

*p*, one has, by Lemma 3,

_{2, 2p }holds true. Let us now show that BJ

_{2, p }implies BJ

_{2, 2p }also for any

*p*∈ [1, 2]. Recalling that BJ

_{2, p }does indeed hold for

*p*∈ [1, 2], this proves that BJ

_{2, p }holds for all

*p*∈ [2, 4], hence for all

*p*≥ 2, thus completing the proof. In fact, completely similarly as above, one has, for any

*p*∈ [1, 2],

### Remark 2

The above proof, with *p* > 2, is adapted from [3], where the authors assume \(H = \mathbb{R}\) and *p* = 2^{ n }, \(n \in \mathbb{N}\), mentioning that the extension to any *p* ≥ 2 can be obtained by an interpolation argument.

### Proof (Third Proof of BJ _{2, p } (*p* > 2))

^{ k }≤

*p*< 2

^{ k+1}. Applying the BDG inequality twice, one has

^{ i }≤

*p*for all 1 ≤

*i*≤

*k*, one has, by Lemma 3,

### Remark 3

The above proof, which can be seen as a variation of the previous one, is adapted from [37, Lemma 4.1] (which was translated to the *H*-valued case in [25]). In [37] the interpolation step at the end of the proof is obtained in a rather tortuous (but interesting way), which is not reproduced here.

The next proof is adapted from [16].

### Proof (Fourth Proof of BJ _{2, p } (*p* > 2))

*M*,

*M*] is a real, positive, increasing, purely discontinuous process with \(\varDelta [M,M] =\Vert \varDelta M\Vert ^{2}\), one has

*a*,

*b*≥ 0, the mean value theorem applied to the function \(x\mapsto x^{p/2}\) yields the inequality

thus concluding the proof.

### 3.2 A (Too?) Sophisticated Proof

In this subsection we prove a maximal inequality valid for any *H*-valued local martingale *M* (that is, we do not assume that *M* is purely discontinuous), from which BJ _{2, p }, *p* > 2, follows immediately.

### Theorem 2

*Let M be*any

*local martingale with values in H. One has, for any p ≥ 2,*

### Proof

*S*: = (

*Δ M*)

^{∗}, one has \(M = L + K\), where

*L*and

*K*are martingales satisfying the following properties:

- (i)
\(\Vert \varDelta L\Vert \lesssim S_{-}\);

- (ii)
*K*has integrable variation and \(K = K^{1} +\widetilde{ K^{1}}\), where \(\widetilde{K^{1}}\) is the predictable compensator of*K*^{1}and \(\int \vert dK^{1}\vert \lesssim S_{\infty }\).

*M*

^{∗}≤

*L*

^{∗}+

*K*

^{∗}, we have

^{3}and the elementary estimate \(\langle L,L\rangle ^{1/2} \leq \langle M,M\rangle ^{1/2} +\langle K,K\rangle ^{1/2}\), one has

*p*≥ 2, the inequality between moments of a process and of its dual predictable projection in [22, Theoreme 4.1] yields \(\Vert \langle K,K\rangle ^{1/2}\Vert _{\mathbb{L}_{p}} \lesssim _{p}\Vert [K,K]^{1/2}\Vert _{\mathbb{L}_{p}}\). In particular, we are left with

*p*≥ 2,

_{2, p }(for

*p*≥ 2): in fact, one has

### 3.3 A Conditional Proof

_{2, p },

*p*≥ 2, holds for real (local) martingales, then it also holds for (local) martingales with values in

*H*. For this we are going to use Khinchine’s inequality: let

*x*∈

*H*, and \(\{e_{k}\}_{k\in \mathbb{N}}\) be an orthonormal basis of

*H*. Setting \(x_{k}:=\langle x,e_{k}\rangle\). Then one has

where \((\bar{\varOmega },\bar{\mathcal{F}},\bar{ \mathbb{P}})\) is an auxiliary probability space, on which a sequence \((\varepsilon _{k})\) of i.i.d Rademacher random variables are defined.

The proof is completed by appealing to Doob’s inequality.

### Remark 5

This conditional proof has probably not appeared in published form, although the idea is contained in [36].

## 4 Inequalities for Poisson Stochastic Integrals with Values in *L* _{ q } Spaces

Even though there exist in the literature some maximal inequalities for stochastic integrals with respect to compensated Poisson random measures and Banach-space-valued integrands, here we limit ourselves to reporting about (very recent) two-sided estimates in the case of *L* _{ q }-valued integrands. Throughout this section we assume that *μ* is a Poisson random measure, so that its compensator *ν* is of the form \(\mbox{ Leb} \otimes \nu _{0}\), where Leb stands for the one-dimensional Lebesgue measure and *ν* _{0} is a (non-random) *σ*-finite measure on *Z*. Let \((X,\mathcal{A},n)\) be a measure space, and denote *L* _{ q } spaces on *X* simply by *L* _{ q }, for any *q* ≥ 1. Moreover, let us introduce the following spaces, where *p* _{1}, *p* _{2}, *p* _{3} ∈ [1, *∞*[:

*p*≥ 2 and \(\xi = (\xi _{k})_{k}\) is any (finite) sequence of centered independent real random variables (see [38]). In particular, if \(\xi = (\xi _{k})_{k}\) is a finite sequence of independent centered random variables taking values in

*L*

_{ q }, one has

*s*

_{ p, q }is defined replacing in the above definition of \(\mathcal{I}_{p,q}\) the spaces

*L*

_{ p, q, q },

*L*

_{ p, p, q }and \(\tilde{L}_{p,q}\) by the spaces

*D*

_{ q, q },

*D*

_{ p, q }and

*S*

_{ p, q }, respectively, with

*L*

_{ q }spaces (in particular in connection with the notions of type and cotype). An important role is also played by the duality of sums and intersections of Banach spaces. The maximal inequalities (6) for stochastic integrals of step processes with respect to compensated Poisson random measures are then implied by (8), via a simple argument based on decoupling techniques and on Doob’s inequality (for the decoupling approach to stochastic integration cf. [19]).

## 5 Inequalities for Stochastic Convolutions

In this section we show how one can extend, under certain assumptions, maximal inequalities from stochastic integrals to stochastic convolutions using dilations of semigroups. As is well known, stochastic convolutions are in general not semimartingales, hence establishing maximal inequalities for them is, in general, not an easy task. Usually one tries to approximate stochastic convolutions by processes which can be written as solutions to stochastic differential equations in either a Hilbert or a Banach space, for which one can (try to) obtain estimates using tools of stochastic calculus. As a final step, one tries to show that such estimates can be transferred to stochastic convolutions as well, based on establishing suitable convergence properties. At present it does not seem possible to claim that any of the two methods is superior to the other (cf., e.g., the discussion in [41]). We choose to concentrate on the dilation technique for its simplicity and elegance.

We shall say that a linear operator *A* on a Banach space *E*, such that − *A* is the infinitesimal generator of a strongly continuous semigroup *S*, is of class *D* if there exist a Banach space \(\bar{E}\), an isomorphic embedding \(\iota: E \rightarrow \bar{ E}\), a projection \(\pi:\bar{ E} \rightarrow \iota (E)\), and a strongly continuous bounded group \((U(t))_{t\in \mathbb{R}}\) on \(\bar{E}\) such that the following diagram commutes for all *t* > 0:

As far as we know there is no general characterization of operators of class *D*.^{4} Several sufficient conditions, however, are known.

We begin with the classical dilation theorem by Sz.-Nagy (see e.g. [40]).

### Proposition 1

*Let A be a linear m-accretive operator on a Hilbert space H. Then A is of class D.*

The next result, due to Fendler [11], is analogous to Sz.-Nagy’s dilation theorem in the context of *L* _{ q } spaces, although it requires an extra positivity assumption. Here and in the following *X* stands for a measure space and *m* for a measure on it.

### Proposition 2

*Let E = L* _{q} *(X,m), with* \(q \in \left ]1,\infty \right [\) *. Assume that A is a linear densely defined m-accretive operator on E such that* \(S(t):= e^{-tA}\) *is positivity preserving for all t > 0. Then A is of class D, with* \(\bar{E} = L_{q}(Y )\) *, where Y is another measure space.*

The following very recent result, due to Fröhlich and Weis [12], allows one to consider classes of operators that are not necessarily accretive (for many interesting examples, see e.g. [41]). For all unexplained notions of functional calculus for operators we refer to, e.g., [42].

### Proposition 3

*Let E = L* _{q} *(X,m), with* \(q \in \left ]1,\infty \right [\) *, and assume that A is sectorial and admits a bounded H* ^{∞} *-calculus with* \(\omega _{H^{\infty }}(A) <\pi /2\) *. Then A is of class D, and one can choose* \(\bar{E} = L_{q}([0,1] \times X,\mbox{ Leb} \otimes m)\) *.*

*D*. As mentioned at the beginning of the section, the problem is that stochastic convolutions are not martingales, hence maximal inequalities for the latter class of processes cannot be directly used. The workaround presented here is, roughly speaking, based on the idea of embedding the stochastic convolution in the larger space \(\bar{E}\), where the semigroup

*S*can be replaced by the group

*U*, to the effect that inequalities for martingales can be applied. In particular, note that, since

*U*is a strongly continuous group of contractions and the operator norms of

*π*is less than or equal to one, we have

If *E* is a Hilbert space we can proceed rather easily.

### Proposition 4

*Let A be of class D on a Hilbert space E. Then one has, for any α ∈ [1,2],*

### Proof

*p*>

*α*, as the other one is actually simpler. The estimate BJ

_{ α, p }and (9) yield

*U*is a unitary group and the embedding \(\iota\) is isometric. □

*E*=

*L*

_{ q }(

*X*), the transposition of maximal inequalities from stochastic integrals to stochastic convolution is not so straightforward. In particular, (9) implies that the corresponding upper bounds will be functions of the norms of \(U(-\,\cdot )\,\iota \circ g\) in three spaces of the type

*L*

_{ p, p, q },

*L*

_{ p, q, q }and \(\tilde{L}_{p,q}\) (with

*X*replaced by a different measure space

*Y*, so that \(\bar{E} = L_{q}(Y )\)). In analogy to the previous proposition, it is not difficult to see that

*g*in \(\tilde{L}_{p,q}\) does not seem to be possible without further assumptions. Nonetheless, the following sub-optimal estimates can be obtained.

### Proposition 5

*Let A be of class D on*\(E = L_{q}:= L_{q}(X)\)

*and μ a Poisson random measure. Then one has*

*where*

### Proof

*q*< 2, one has, by definition, \(\Vert \cdot \Vert _{\mathcal{I}_{p,q}} \leq \Vert \cdot \Vert _{\mathcal{J}p,q}\) [where the spaces \(\mathcal{I}_{p,q}\) have been defined in (7)]; if

*q*≥ 2, by Minkowski’s inequality,

*q*≥ 2, hence for all (admissible) values of

*p*and

*q*. Therefore (9) and the maximal estimate (7) yield the desired result. □

### Remark 6

The above maximal inequalities for stochastic convolutions continue to hold if *A* is only quasi-*m*-accretive and *g* has compact support in time. In this case the inequality sign \(\lesssim _{p,q}\) has to be replaced by \(\lesssim _{p,q,\eta,T}\), where *T* is a finite time horizon. One simply has to repeat the same arguments using the *m*-accretive operator *A* +*η I*, for some *η* > 0.

## 6 Historical and Bibliographical Remarks

In this section we try to reconstruct, at least in part, the historical developments around the maximal inequalities presented above. Before doing that, however, let us briefly explain how we became interested in the class of maximal inequalities: the first-named author used in [25] a Hilbert-space version of a maximal inequality in [37] to prove well-posedness for a Lévy-driven SPDE arising in the modeling of the term structure of interest rates. The second-named author pointed out that such an inequality, possibly adapted to the more general case of integrals with respect to compensated Poisson random measures (rather than with respect to Lévy processes), was needed to solve a problem he was interested in, namely to establish regularity of solutions to SPDEs with jumps with respect to initial conditions: our joint efforts led to the results in [27], where we proved a slightly less general version of the inequality BJ _{2, p }, *p* ≥ 2, using an argument involving only Itô’s formula. At the time of writing [27] we did not realize that, as demonstrated in the present paper, it would have been possible to obtain the same result adapting one of the two arguments (for Lévy-driven integrals) we were aware of, i.e. those in [3] and [37].

The version in [27] of the inequality BJ _{2, p }, *p* ≥ 2, was called in that paper “Bichteler-Jacod inequality”, as we believed it appeared (in dimension one) for the first time in [3]. This is still what we believed until a few days ago (this explains the label BJ), when, after this paper as well as the first drafts of [23] and [24] were completed, we found a reference to [33] in [44]. This is one of the surprises we alluded to in the introduction. Namely, Novikov proved (in 1975, hence well before Bichteler and Jacod, not to mention how long before ourselves) the upper bound BJ _{ α, p } for all values of *α* and *p*, assuming \(H = \mathbb{R}^{n}\), but with constants that are independent of the dimension. For this reason it seems that, if one wants to give a name (as we do) to the inequality BJ and its extensions, they should be called Novikov’s inequalities.^{5} Unfortunately Novikov’s paper [33] was probably not known also to Kunita, who proved in [18] (in 2004) a slightly weaker version of BJ _{2, p }, *p* ≥ 2, in \(H = \mathbb{R}^{n}\), also using Itô’s formula. Moreover, Applebaum [1] calls these inequalities “Kunita’s estimates”, but, again, they are just a version of what we called (and are going to call) Novikov’s inequality.

Even though the proofs in [2, 3] are only concerned with the real-valued case, the authors explicitly say that they knew how to get the constant independent of the dimension (see, in particular, [2, Lemma 5.1 and remark 5.2]). The proofs in [16, 37] are actually concerned with integrals with respect to Lévy processes, but the adaptation to the more general case presented here is not difficult. Moreover, the inequalities in [2, 3, 16, 37] are of the type

where *μ* is a Poisson random measure with compensator \(\nu = \mbox{ Leb} \otimes \nu _{0}\). Our proofs show that all their arguments can be improved to yield a constant depending only on *p* and that the first term on the right-hand side can be replaced by \(\mathbb{E}{\bigl (\Vert g\Vert ^{2} \star \nu \bigr )}_{ T}^{p/2}\).

Again through [44] we also became aware of the Novikov-like inequality by Dzhaparidze and Valkeila [10], where Theorem 2 in proved with \(H = \mathbb{R}\). It should be observed that the inequality in the latter theorem is apparently more general than, but actually equivalent to BJ (cf. [24]).

Another method to obtain Novikov-type inequalities, also in vector-valued settings, goes through their analogs in discrete time, i.e. the Burkholder-Rosenthal inequality. We have not touched upon this method, as we are rather interested in “direct” methods in continuous time. We refer the interested reader to the very recent preprints [8, 9], as well as to [35, 43] and references therein.

The idea of using dilation theorems to extend results from stochastic integrals to stochastic convolutions has been introduced, to the best of our knowledge, in [14]. This method has then been generalized in various directions, see e.g. [15, 25, 41]. In this respect, it should be mentioned that the “classical” direct approach, which goes through approximations by regular processes and avoid dilations (here “classical” stands for equations on Hilbert spaces driven by Wiener process), has been (partially) extended to Banach-space valued stochastic convolutions with jumps in [4]. The former and the latter methods are complementary, in the sense that none is more general than the other. Furthermore, it is well known (see e.g. [34]) that the factorization method breaks down when applied to stochastic convolutions with respect to jump processes.

## Footnotes

- 1.
Just to avoid (unlikely) confusion, we note that \(\mathbb{E}(\cdots \,)^{\alpha }\) always stands for the expectation of (⋯ )

^{ α }, and not for \([\mathbb{E}(\cdots \,)]^{\alpha }\). - 2.
The subscript ⋅

_{ c }means “with compact support”, and*C*_{ b }^{2}(*H*) denotes the set of twice continuously differentiable functions \(\varphi: H \rightarrow \mathbb{R}\) such that \(\varphi\), \(\varphi ^{{\prime}}\) and \(\varphi ^{{\prime\prime}}\) are bounded. - 3.
One can verify that the proof in [22] goes through without any change also for Hilbert-space-valued martingales.

- 4.
The definition of class

*D*is not standard and it is introduced just for the sake of concision. - 5.
It should be mentioned that there are discrete-time real-valued analogs of BJ

_{2, p },*p*≥ 2, that go under the name of Burkholder-Rosenthal (in alphabetical but reverse chronological order: Rosenthal [38] proved it for sequences of independent random variables in 1970, then Burkholder [5] extended it to discrete-time (real) martingales in 1973), and some authors speak of continuous-time Burkholder-Rosenthal inequalities. One may then also propose to use the expression Burkholder-Rosenthal-Novikov inequality, that, however, seems too long.

## Notes

### Acknowledgements

A large part of the work for this paper was carried out during visits of the first-named author to the Interdisziplinäres Zentrum für Komplexe Systeme, Universität Bonn, invited by S. Albeverio. The second-named author is supported by the DFG through the SFB 701.

## References

- 1.D. Applebaum,
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