One modification of the martingale transform and its applications to paraproducts and stochastic integrals

DOI10.1016/J.JMAA.2015.02.015MaRDI QIDQ2264012zbMATH OpenOpenAlexFDO

Authors Vjekoslav Kovač, K. A. Škreb

Publication date 19 March 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.6403

zbMATH Keywords

stochastic integralsparaproductBellman functionmartingale transformspace of homogeneous typeItō construction

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Abstract: In this paper we introduce a variant of Burkholder's martingale transform associated with two martingales with respect to different filtrations. Even though the classical martingale techniques cannot be applied, we show that the discussed transformation still satisfies some expected $mathrm{L}^p$ estimates. Then we apply the obtained inequalities to general-dilation twisted paraproducts, particular instances of which have already appeared in the literature. As another application we construct stochastic integrals $in{t}_0^t{H}_{s}d(X_s{Y}_s)$ associated with certain continuous-time martingales $(X_t{)}_{tgeq0}$ and $(Y_t{)}_{tgeq0}$. The process $(X_t{Y}_t{)}_{tgeq0}$ is shown to be a "good integrator", although it is not necessarily a semimartingale, or even adapted to any convenient filtration.

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Cited in

(11)

• Trilinear smoothing inequalities and a variant of the triangular Hilbert transform
• Singular Brascamp-Lieb: a survey
• T(1) theorem for dyadic singular integral forms associated with hypergraphs
• On singular integral and martingale transforms
• Rough semimartingales and \(p\)-variation estimates for martingale transforms
• Density theorems for anisotropic point configurations
• Convergence of ergodic-martingale paraproducts
• Bellman functions and \(L^p\) estimates for paraproducts
• Variational estimates for martingale paraproducts
• Norm variation of ergodic averages with respect to two commuting transformations
• Paraproducts and Commutators of Martingale Transforms

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