Sharp supremum and Hölder bounds for stochastic integrals indexed by a parameter

We provide sharp bounds for the supremum of countably many stochastic convolutions taking values in a 2-smooth Banach space. As a consequence, we obtain sharp bounds on the modulus of continuity of a family of stochastic integrals indexed by parameter $x\in M$, where $M$ is a metric space with finite doubling dimension. In particular, we obtain a theory of stochastic integration in Hölder spaces on arbitrary bounded subsets of ${\mathbb{R}}^d$. This is done by relating the (generalized) Hölder-seminorm associated with a modulus of continuity to a supremum over countably many variables, using a Kolmogorov-type chaining argument. We provide two applications of our results: first, we show long-term bounds for Ornstein-Uhlenbeck processes, and second, we derive novel results regarding the modulus of continuity of the parabolic Anderson model.