Some remarks on tangent martingale difference sequences in L^1-spaces

DOI10.1214/ECP.V12-1328MaRDI QIDQ2461048zbMATH OpenOpenAlexFDO

Authors Sonja Cox, Mark Veraar

Publication date 19 November 2007

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.0695, https://eudml.org/doc/128922

zbMATH Keywords

Davis decompositiondecoupling inequalitiesmartingale difference sequencestangent sequencesUMD Banach spaces

Mathematics Subject Classification ID

Probabilistic methods in Banach space theory (46B09) Martingales with discrete parameter (60G42)

Abstract: Let X be a Banach space. Suppose that for all $pin(1,infty)$ a constant $C_{p,X}$ depending only on X and p exists such that for any two X-valued martingales f and g with tangent martingale difference sequences one has [E|f|^p leq C_{p,X} E|g|^p (*).] This property is equivalent to the UMD condition. In fact, it is still equivalent to the UMD condition if in addition one demands that either f or g satisfy the so-called (CI) condition. However, for some applications it suffices to assume that (*) holds whenever g satisfies the (CI) condition. We show that the class of Banach spaces for which (*) holds whenever only g satisfies the (CI) condition is more general than the class of UMD spaces, in particular it includes the space L^1. We state several problems related to (*) and other decoupling inequalities.

Review text

From the summary: ``Let \(X\) be a Banach space. Suppose that for all \(p\) in \((1, \infty )\) a constant \(C_{p,X}\) depending only on \(X\) and \(p\) exists such that for any two \(X\)-valued martingales \(f\) and \(g\) with tangent martingale difference sequences one has \[ E\| f\| ^{p} \leq C_{p,X} E\| g\| ^{p}.\tag{1} \] This property is equivalent to the UMD condition. In fact, it is still equivalent to the UMD condition if in addition one demands that either \(f\) or \(g\) satisfy the so-called (CI) condition. However, for some applications it suffices to assume that (1) holds whenever \(g\) satisfies the (CI) condition. We show that the class of Banach spaces for which (1) holds whenever only \(g\) satisfies the (CI) condition is more general than the class of UMD spaces, in particular it includes the space \(L^{1}\). The authors give a detailed introduction to the subject and pose 16 open problems. The main result, mentioned above, is claimed to be useful for developing a stochastic integration theory in \(L^{1}\) spaces, following the methods of [\textit{J. M. A. M. van Neerven, M. C. Veraar} and \textit{L. Weis}, Ann. Probab. 35, 1438--1478 (2007; Zbl 1121.60060)].

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Cited in

(6)

• Local characteristics and tangency of vector-valued martingales
• Bounds for partial derivatives: necessity of UMD and sharp constants
• On the UMD constant of the space _1N
• A counterexample concerning the relation between decoupling constants and UMD-constants
• scientific article; zbMATH DE number 4000785 (Why is no real title available?)
• Stochastic evolution equations in UMD Banach spaces

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