Convergence of weighted averages of noncommutative martingales (Q365818): Difference between revisions

Let \(( w_n )_{n \geqslant 1}\) be a sequence of positive numbers such that \(W_n = \sum_{k = 1}^n w_k \to \infty\) as \(n \to \infty\), let \(m = ( m_n )_{n \geqslant 1}\) be a classical martingale and let \[ \sigma_n( m ) = \frac{1}{W_n} \sum_{k = 1}^n w_k m_k. \] \textit{N. Kazamaki} and \textit{T. Tsuchikura} [Tohoku Math. J., II. Ser. 19, 297--302 (1967; Zbl 0271.60052)] proved the following. (i) For any \(p \in [ 1, \infty )\), it holds that \(\sup_n \| m_n \|_p = \sup_n \| \sigma_n( m ) \|_p\), and therefore \(( m_n )_{n \geqslant 1}\) is \(L^p\)~convergent if and only if \(( \sigma_n( m ) )_{n \geqslant 1}\) is. (ii) Given a certain condition (\(H\)) on the filtration for which \(m\) is a martingale, if one of the sequences \(( m_n )_{n \geqslant 1}\) and \(( \sigma_n( m ) )_{n \geqslant 1}\) is almost surely convergent, then so is the other and they have the same limit. The authors of the present article extend these results to the noncommutative setting. Let \(\mathcal{M}\) be a von~Neumann algebra with a faithful normal trace and a filtration \(( \mathcal{M}_n )_{n \geqslant 1}\) of von~Neumann subalgebras, the union of which is weak\(^*\) dense in \(\mathcal{M}\); let \(L^p( \mathcal{M} )\) be the noncommutative \(L^p\)~space associated with \(\mathcal{M}\). If \(x = ( x_n )_{n \geqslant 1} \subseteq L^1( \mathcal{M} )\) is a martingale then the following results are established. (i) For any \(p \in [ 1, \infty )\), it holds that \(\sup_n \| x_n \|_p = \sup_n \| \sigma_n( x ) \|_p\), and \(( x_n )_{n \geqslant 1}\) is \(L^p\)~convergent if and only if \(( \sigma_n( x ) )_{n \geqslant 1}\) is. (ii) Given a certain condition (\(H\)) on the filtration \(( \mathcal{M}_n )_{n \geqslant 1}\), if one of the sequences \(( x_n )_{n \geqslant 1}\) and \(( \sigma_n( x ) )_{n \geqslant 1}\) is bilaterally almost uniformly convergent, then so is the other and they have the same limit. The condition (\(H\)) of the authors is the natural noncommutative generalisation of the condition (\(H\)) used by Kazamaki and Tsuchikura. The article concludes with some results on uniformly integrable subsets of \(L^1( \mathcal{M} )\). In particular, it is shown that the martingale \(( x_n )_{n \geqslant 1}\) is uniformly integrable if and only if \(( \sigma_n( x ) )_{n \geqslant 1}\) is.