On strongly orthogonal martingales in UMD Banach spaces

DOI10.37190/0208-4147.41.1.10zbMATH Open1495.60032arXiv1812.08049OpenAlexW3181718730MaRDI QIDQ5013239FDOQ5013239

Ivan Yaroslavtsev

Publication date: 29 November 2021

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: In the present paper we introduce the notion of strongly orthogonal martingales. Moreover, we show that for any UMD Banach space $X$ and for any $X$-valued strongly orthogonal martingales $M$ and $N$ such that $N$ is weakly differentially subordinate to $M$ one has that for any $1<p<infty$ [ mathbb E |N_t|^p leq chi_{p, X}^p mathbb E |M_t|^p,;;; tgeq 0, ] with the sharp constant $ch{i}_{p,X}$ being the norm of a decoupling-type martingale transform and being within the range [ maxBigl{sqrt{�eta_{p, X}}, sqrt{hbar_{p,X}}Bigr} leq max{�eta_{p, X}^{gamma,+}, �eta_{p, X}^{gamma, -}} leq chi_{p, X} leq min{�eta_{p, X}, hbar_{p,X}}, ] where $$ is the UMD${}_p$ constant of $X$, $hba{r}_{p,X}$ is the norm of the Hilbert transform on $L^p(mathbbR;X)$, and $$ and $$ are the Gaussian decoupling constants.

Full work available at URL: https://arxiv.org/abs/1812.08049

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zbMATH Keywords

Hilbert transformmartingale transformsharp estimatesUMDweak differential subordinationdecoupling constantdiagonally plurisubharmonic functionstrongly orthogonal martingales

Mathematics Subject Classification ID

Multipliers for harmonic analysis in several variables (42B15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

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Cited In (1)

• The strong p-variation of martingales and orthogonal series

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