Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces (Q2461048): Difference between revisions
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English | Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces |
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Some remarks on tangent martingale difference sequences in \(L^{1}\)-spaces (English)
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19 November 2007
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From the summary: ``Let \(X\) be a Banach space. Suppose that for all \(p\) in \((1, \infty )\) a constant \(C_{p,X}\) depending only on \(X\) and \(p\) exists such that for any two \(X\)-valued martingales \(f\) and \(g\) with tangent martingale difference sequences one has \[ E\| f\| ^{p} \leq C_{p,X} E\| g\| ^{p}.\tag{1} \] This property is equivalent to the UMD condition. In fact, it is still equivalent to the UMD condition if in addition one demands that either \(f\) or \(g\) satisfy the so-called (CI) condition. However, for some applications it suffices to assume that (1) holds whenever \(g\) satisfies the (CI) condition. We show that the class of Banach spaces for which (1) holds whenever only \(g\) satisfies the (CI) condition is more general than the class of UMD spaces, in particular it includes the space \(L^{1}\).'' The authors give a detailed introduction to the subject and pose 16 open problems. The main result, mentioned above, is claimed to be useful for developing a stochastic integration theory in \(L^{1}\) spaces, following the methods of [\textit{J. M. A. M. van Neerven, M. C. Veraar} and \textit{L. Weis}, Ann. Probab. 35, 1438--1478 (2007; Zbl 1121.60060)].
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tangent sequences
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UMD Banach spaces
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martingale difference sequences
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decoupling inequalities
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Davis decomposition
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