On smooth martingales (Q1328256)

The paper is devoted to quasi-sure analysis of Wiener functionals. The author works on the probability space \(X= C_ 0 ([0, \infty)\to R^ d)\) of the \(d\)-dimensional Brownian motion on \([0, +\infty)\). He gives a quasi-sure version of Kolmogorov's criterion for the continuity of trajectories of a stochastic process, and proves that any \(W_ \infty\)- continuous martingale admits a representation \(M_ t= \sum^ d_{i=1} \int^ t_ 0 H^ i_ s dy^ i_ s\), where the integrand \(M\) is smooth, and establishes Doob's inequality for smooth martingales in terms of \((p,r)\)-capacity. This inequality has the form \[ C_{p,r} \Bigl(\sup_{t\in [0,T]} | \widetilde{M} (t,\omega)| \geq C \Bigr)\leq {p \over {C(p-1)}} \| M(T,\omega) \|_{p,2r}, \] where \(C_{p,r} (A)= \inf (C_{p,r} ({\mathcal O})\), \(A\subset {\mathcal O}\), \({\mathcal O}\) is open), \(C_{p,r} ({\mathcal O})\) is the \((p,r)\)-capacity of the set \({\mathcal O}\), \(\widetilde{M}\) is an \(\infty\)-modification of the smooth martingale \(M\), \(\|\cdot \|_{p,2r}\) is the norm in Sobolev space \(W^ p_{2r}\) of order \(2r\) and of power \(p\) over \(X\), \(p>1\).