On strongly orthogonal martingales in UMD Banach spaces

DOI10.37190/0208-4147.41.1.10MaRDI QIDQ5013239zbMATH OpenOpenAlexFDO

Authors Ivan Yaroslavtsev

Publication date 29 November 2021

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

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

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)

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.

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Cited in

(3)

• Martingale decompositions and weak differential subordination in UMD Banach spaces
• The strong p-variation of martingales and orthogonal series
• Fourier multipliers and weak differential subordination of martingales in UMD Banach spaces

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