Maximal inequalities for stochastic convolutions and pathwise uniform convergence of time discretisation schemes

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Abstract

We prove a new Burkholder–Rosenthal type inequality for discrete-time processes taking values in a 2-smooth Banach space. As a first application we prove that if (S(t, s)) stT is a C-evolution family of contractions on a 2-smooth Banach space X and (Wt)t∈[0,T] is a cylindrical Brownian motion on a probability space (Ω , P) adapted to some given filtration, then for every 0 < p< ∞ there exists a constant Cp,X such that for all progressively measurable processes g: [0 , T] × Ω → X the process (∫0tS(t,s)gsdWs)t∈[0,T] has a continuous modification and Esupt∈[0,T]‖∫0tS(t,s)gsdWs‖p⩽Cp,XpE(∫0T‖gt‖γ(H,X)2dt)p/2.Moreover, for 2 ⩽ p< ∞ one may take Cp,X=10Dp, where D is the constant in the definition of 2-smoothness for X. The order O(p) coincides with that of Burkholder’s inequality and is therefore optimal as p→ ∞. Our result improves and unifies several existing maximal estimates and is even new in case X is a Hilbert space. Similar results are obtained if the driving martingale gtdWt is replaced by more general X-valued martingales dMt. Moreover, our methods allow for random evolution systems, a setting which appears to be completely new as far as maximal inequalities are concerned. As a second application, for a large class of time discretisation schemes (including splitting, implicit Euler, Crank-Nicholson, and other rational schemes) we obtain stability and pathwise uniform convergence of time discretisation schemes for solutions of linear SPDEs dut=A(t)utdt+gtdWt,u0=0,where the family (A(t)) t[,T] is assumed to generate a C-evolution family (S(t, s)) stT of contractions on a 2-smooth Banach spaces X. Under spatial smoothness assumptions on the inhomogeneity g, contractivity is not needed and explicit decay rates are obtained. In the parabolic setting this sharpens several know estimates in the literature; beyond the parabolic setting this seems to provide the first systematic approach to pathwise uniform convergence to time discretisation schemes.

Original languageEnglish
Number of pages66
JournalStochastics and Partial Differential Equations: Analysis and Computations
DOIs
Publication statusPublished - 2021

Keywords

  • 2-smooth Banach spaces
  • Evolution families
  • Maximal inequalities
  • Stochastic convolutions
  • Time discretisation schemes

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