Vector-valued decoupling and the Burkholder-Davis-Gundy inequality (Q1928909): Difference between revisions

A decoupling inequality for \(X\)-valued tangent sequences, where \(X\) is a (quasi-) Banach space, is studied. It is proved that, if the decoupling inequality is satisfied in \(X\) for some \(p \in (0,\infty)\), then it is satisfied for all \(p \in (0,\infty)\). Let us quote the authors: ``we may speak of a (quasi-)Banach space \(X\) for which the decoupling inequality holds, meaning a space for which it holds for some, and hence all, \(p \in (0,\infty)\).'' If \(X\) is a Hilbert space then there exists a universal constant \(D\) such that the decoupling inequality holds with this \(D\) for all \(p \in [1,\infty)\). The authors apply the decoupling inequalities to the theory of stochastic integration in Banach spaces. More precisely, in order to obtain Burkholder-Davis-Gundy type inequalities for \(X\)-valued stochastic integrals with respect to a cylindrical Brownian motion in a real separable Hilbert space.