Logarithmic estimates for submartingales and their differential subordinates (Q639329)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Logarithmic estimates for submartingales and their differential subordinates
scientific article

    Statements

    Logarithmic estimates for submartingales and their differential subordinates (English)
    0 references
    20 September 2011
    0 references
    The author establishes several sharp inequalities for (sub)martin\-gale sequences \(f=(f_n)_{n\geq 0}\) and sequences \(g=(g_n)_{n\geq 0}\) that are \(\alpha\)-subordinate (or differentially subordinate) to \(f\). The first main result states that, if \(g\) is \(\alpha\)-subordinate to a nonnegative submartingale \(f\), \(\alpha\in [0,1]\), then, for any \(K>1\), \[ \|g\|_1\leq K \sup_n \operatorname{E}f_n\log^+ f_n +L(K,\alpha), \] with an explicitly determined constant \(L(K,\alpha)\) which is best possible. Furthermore, if \(K\leq 1\), the inequality does not hold in general with any universal \(L(K,\alpha)<\infty\). Related sharp logarithmic inequalities are derived for \(g\) and its one-sided maximal function in the case when both \(f\) and \(g\) are martingales and \(g\) is differentially subordinate to \(f\). The results are proved in a more general continuous-time settings for \(X\) and \(Y\) real-valued càdlàg semimartingales. As an application, the author derives logarithmic estimates for smooth functions on Euclidean domains.
    0 references
    martingale
    0 references
    submartingale
    0 references
    subharmonic function
    0 references
    maximal function
    0 references
    differential subordination
    0 references
    strong differential subordination
    0 references
    LlogL class
    0 references
    boundary value problem
    0 references
    0 references

    Identifiers