Interpolation theorems on weighted Lorentz martingale spaces (Q2465135)

Let \((\Omega,\Sigma,P)\) be a complete probability space and let \((\Sigma_n)\) \((n\geq 0)\) be a filtration such that \(\Sigma_\infty= \Sigma\). The conditional expectation operator given \(\Sigma_n\) is denoted by \(E_n\). For a martingale \(f= (f_n)\) \((n\geq 0)\) let \(\Delta_n f= f_n- f_{n-1}\) \((n\geq 0)\) (where \(f_{-1}= 0\) and \(\Sigma_{-1}= \{\emptyset,\Omega\}\)) and \[ s(f)= \Biggl(\sum^\infty_{n=0} E_{n-1}|\Delta_n f|^2\Biggr)^{1/2}. \] For a strictly positive random variable \(\omega\) on \((\Omega,\Sigma, P)\) let \(\omega(A):= \int_A \omega \,dP\), \(A\in\Sigma\). For any random variable \(f\) on \((\Omega,\Sigma, P)\) put \[ \begin{alignedat}{2} \lambda_{f,\omega}(y)&= \omega\{x\in\Omega: |f(x)|> y\},&\quad &y> 0,\\ f^*_\omega(t)&= \text{inf}\{y: \lambda_{f,\omega}(y)\leq t\},&\quad &t> 0. \end{alignedat} \] The weighted Lorentz space \(L_{p,q;\omega}\) is defined to be the family of all random variables \(f\) on \((\Omega,\Sigma,P)\) such that \(\| f\|_{p,q;\omega}< \infty\), where \[ \| f\|_{p,q;\omega}= \begin{cases} ({q\over p} \int^\infty_0 [t^{1/p} f^*_\omega(t)]^q {dt\over t})^{1/q}, & 0< p<\infty,\;0< q<\infty,\\ \sup_{t> 0} t^{1/p} f^*_\omega(t), & 0< p\leq\infty,\;q=\infty.\end{cases} \] For \(0< p\), \(q\leq\infty\), one of the weighted Lorentz martingale spaces studied by the authors is defined by \[ H^s_{p,q;\omega}= \{f= (f_n):\| f\|_{H^s_{p,q;\omega}}:=\| s(f)\|_{p,q;\omega}< \infty\}. \] The main result on the spaces \(H^s_{p,q;\omega}\) is: Theorem. For \(i= 0,1\) let \(0< p_i\leq q_i\leq\infty\), \(1< r_i\leq\infty\) and let \(v\) and \(\omega_i\) be strictly positive random variables. For given \(0<\theta< 1\) let \(r\), \(p\) be given by \(1/r= (1-\theta)/r_0+ \theta/r_1\), \(1/p= (1-\theta)p_0+ \theta/p_1\). Suppose \(T: H^s_{p_i,q_i; v}\to H^s_{r_i,\infty; \omega_i}\) is a bounded linear operator. Let \(q\leq p\leq 1\) and \(\omega^{1/r}= \omega^{(1-\theta)r_0} \omega^{\theta/r_1}_1\). Then there exists a finite constant \(C\) such that \[ \| Tf\|_{H^s_{r,\infty;\omega}}\leq C\| f\|_{H^s_{p,q; v}}\quad\text{for all }f\in H^s_{p,q; v}. \] Similar results are obtained for two other classes of weighted Lorentz martingale spaces. Finally, the interpolation theorems are used to obtain some inequalities for martingale transform operators.