Maximal inequalities for \(g\)-martingales (Q1017811)

Let \((\Omega,{\mathcal F},P)\) be a complete probability space carrying an \(n\)-dimensional Brownian motion \((W_t)\). Let \(({\mathcal F}_t)\) be the filtration generated by \((W_t)\) and augmented by all \(P\)-null sets in \({\mathcal F}\). Let \(L^2({\mathcal F}_t)\) be the family of all \({\mathcal F}_t\)-measurable random variables \(\xi\in L^2\) and let \({\mathcal H}(0,T;\mathbb{R}^n)\) (for fixed \(0<T<\infty)\) denote the family of all adapted \(\mathbb{R}^n\)-valued processes \((\psi_t)\) \((0\leq t\leq T)\) such that \(E[\int^T_0|\psi_t|^2dt]< \infty\). Let \(g(t,y,z)\) \((0\leq t\leq T)\) be progressively measurable for \((y,z)\in R\times \mathbb{R}^n\). Consider the following conditions for \(g\): (H1) \(g\) satisfies a Lipschitz condition, i.e., there exists a constant \(\mu >0\) such that, for \(y,y'\in \mathbb{R}\) and \(z,z'\in \mathbb{R}^n\), \(|g(t,y,z)-g(t,y',z')|\leq \mu(|y-y'|+|z-z'|)\), \(0\leq t\leq T\). (H2) The process \(g(t,0,0)\) \((0\leq t\leq T)\) belongs to \({\mathcal H}(0,T;\mathbb{R})\). (H3) \(g(t,y,0)\equiv 0\) for all \((t,y)\in[0,T]\times \mathbb{R}\). \textit{E. Pardoux} and \textit{S. G. Peng} [Syst. Control Lett. 14, No. 1, 55--61 (1990; Zbl 0692.93064)] showed under (H1), (H2) that, for any \(\xi\in L^2({\mathcal F}_T)\), the backward differential equation \[ y_t=\xi+\int^T_TG(s,y_s,z_s)ds-\int^T_tz_sdW_s (0\leq t\leq T) \] has a unique solution \(((y_t,z_t))\in{\mathcal H}^2(0,T;\mathbb{R}) \times{\mathcal H}^2(0,T; \mathbb{R}^n)\). When \(g\) even satisfies (H1) and (H3), \textit{S. Peng} [Pitman Res. Notes Math. Ser. 364, 141--159 (1997; Zbl 0892.60066)] introduced a (nonlinear) real-valued functional \({\mathcal E}_g [\cdot]\) on \(L^2({\mathcal F}_T)\) by putting \({\mathcal E}_g[\xi]:=y_0\) (called the \(g\)-expectation of \(\xi)\). In a corresponding fashion, \textit{S. Peng} [Probab. Theory Relat. Fields 113, No.~4, 473--499 (1999; Zbl 0953.60059)] introduced (nonlinear) \(g\)-martingales, \(g\)-submartingales, \dots and obtained a general nonlinear Doob-Meyer decomposition for \(g\)-supermartingales. Using the latter result, the author of the present paper obtains two kinds of maximal inequalities for \(g\)-martingales.