Some inequalities for \(p\)-variations of martingales. (Q2574624): Difference between revisions

Let \((\Omega , \mathcal F,(\mathcal F)_ {n\geq 1},\mathbf P)\) be a complete filtered probability space. Each \(f\in L^ 1(\Omega )\) with \(\mathbf Ef=0\) defines a martingale \(f=(f_ {n})\) by \(f_ {n} = \mathbf E(f \mid \mathcal F_ {n})\) and a martingale difference sequence \(d= (d_ {n})\) by \(d_ {n} = f_ {n}-f_ {n-1}\), \(n\geq 1\). Denote by \(M(f)\), \(S_ {p}(f)\), \(s_ {p}(f)\), \(1\leq p<\infty \), the maximal function, \(p\)-variation and conditional \(p\)-variation of the martingale \(f\), respectively, that is \(M(f) =\sup _ {k\geq 1}| f_ {k}| \), \(S_ {p}(f) = (\sum ^ \infty _ {k=1}| d_ {k}| ^ {p})^ {1/p}\), \(s_ {p}(f) = (\sum ^ \infty _ {k=1}\mathbf E(| d_ {k}| ^ {p}\mid \mathcal F_ {k-1}))^ {1/p}\). The author proves sharpened versions of several classical inequalities concerning these (or related quantities) and/or finds the best possible constants in these inequalities. As a sample, let us quote one of his results. Suppose that \(X\) is a rearrangement invariant space over \(\Omega \) with a strictly positive lower Boyd index. Then \(\| S_ {p}(f)\| _ {X} \leq c_ {p,X} (\| s_ {p}(f)\| _ {X} + \| M(d)\| _ {X})\) holds for \(1\leq p<\infty \) and all martingales \(f\), and \(\| M(f)\| _ {X} \leq c_ {p,X}(\| s_ {p}(f)\| _ {X} + \| M(d)\| _ {X})\) holds for \(1\leq p\leq 2\).