On the concave -inequalities for nonnegative submartingales

DOI10.1016/S0252-9602(17)30302-8MaRDI QIDQ701561zbMATH OpenOpenAlexFDO

Authors Tao Mei, Peide Liu

Publication date 26 November 2002

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0252-9602(17)30302-8

zbMATH Keywords

martingale inequalitymaximal functionOrlicz spacesquare function

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with discrete parameter (60G42)

Review text

Let \(\Phi_1,\Phi_2\) be nonnegative nondecreasing functions, and \(\Phi_1\) be concave. The authors prove the equivalence of the following two conditions: (i) \(E\Phi_1(Mf)\leq cE\Phi_2(Z_0+A_{\infty})\) for every nonnegative submartingale \(f=(f_n)_{n\geq 0}\) with its Doob's decomposition \(f=Z+A\), where \(Z\) is a martingale in \(L^1\) and \(A\) is a nonnegative increasing and predictable process. (ii) There exist positive constants \(c,t_0\) such that \(\int_t^{\infty}\frac{\Phi_1(s)}{s^2} ds\leq c\frac{\Phi_2(t)}{t}\), \(\forall t>t_0\). If \(\Phi_1=\Phi_2\), the condition (ii) above is equivalent to the classical condition \(\overline{p_{\Phi}}<1\). As a consequence, for a concave function \(\Phi\), \(\overline{p_{\Phi}}<1\) if and only if \(E\Phi_1(Mf)\leq cE\Phi_2(Z_0+A_{\infty})\) for every nonnegative submartingale \(f\).

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Cited in

(6)

• Double \(\Phi\)-function inequality for nonnegative submartingales
• ON Φ-INEQUALITIES FOR BOUNDED SUBMARTINGALES AND SUBHARMONIC FUNCTIONS
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• scientific article; zbMATH DE number 147655 (Why is no real title available?)
• Some new \(\Phi \)-moment martingale inequalities associated with concave functions
• Maximal phi-Inequalities for Nonnegative Submartingales

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