No free lunch for continuity of stochastic convolutions
We construct compact, exponentially stable $C_0$-semigroups $S$ on Hilbert spaces $X$ such that, for every $T>0$, the stochastic convolution $U_g(t)=\int_0^t S(t-s)g(s)\,\mathrm{d}β_s $ is unbounded on $[0,T]$ with positive probability for some predictable $g\in L^\infty(Ω;L^2(0,T;X))$, where $β$ is a real Brownian motion. One example is even an analytic semigroup. For the other, the negative generator $A$ has sectorial angle $π/2$ and a bounded $H^\infty$-calculus. Our main tool is a necessary condition: for exponentially stable semigroups, an $L^2$-maximal estimate on $\mathbb R_+$ forces a lower square-function estimate for the negative generator. We deduce this implication from a new identity involving the stochastic convolution, the subordinated Poisson semigroup, and a stopped Brownian motion. Combining this condition with Schauder multipliers on a conditional trigonometric basis yields counterexamples to the maximal estimate. An extrapolation argument then produces the integrands with unbounded stochastic convolutions. Finally, an energy-adapted chaining argument gives continuity and maximal estimates for arbitrary $C_0$-semigroups under the stronger condition $g\in L^2([0,T]; L^\infty(Ω;X))$.