Weak type estimates associated to Burkholder's martingale inequality

DOI10.4171/RMI/522zbMATH Open1155.46033arXivmath/0508447MaRDI QIDQ925118FDOQ925118

Authors: Javier Parcet 

Publication date: 29 May 2008

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Abstract: Given a probability space $(Omega,mathsfA,mu)$, let $mathsf{A}_1,mathsf{A}_2,\mathrm{...}$ be a filtration of $sigma$-subalgebras of $mathsfA$ and let $mathsf{E}_1,mathsf{E}_2,\mathrm{...}$ denote the corresponding family of conditional expectations. Given a martingale $f=(f_1,f_2,\mathrm{...})$ adapted to this filtration and bounded in $L_p(Omega)$ for some $2lep<infty$, Burkholder's inequality claims that ${\displaystyle }$|f|_{L_p(Omega)} sim_{mathrm{c}_p} Big| Big(sum_{k=1}^infty mathsf{E}_{k-1}(|df_k|^2) Big)^{1/2} Big|_{L_{p}(Omega)} + Big(sum_{k=1}^infty |df_k|_p^p Big)^{1/p}.${\displaystyle }$ Motivated by quantum probability, Junge and Xu recently extended this result to the range $1<p<2$. In this paper we study Burkholder's inequality for $p=1$, for which the techniques (as we shall explain) must be different. Quite surprisingly, we obtain two non-equivalent estimates which play the role of the weak type $(1,1)$ analog of Burkholder's inequality. As application, we obtain new properties of Davis decomposition for martingales.

Full work available at URL: https://arxiv.org/abs/math/0508447

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zbMATH Keywords

Rosenthal's inequalityBurkholder-Davis-Gundy inequalitiesDavis' decompositionnoncommutative generalizations

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Noncommutative function spaces (46L52) Noncommutative probability and statistics (46L53) Martingales and classical analysis (60G46) Noncommutative measure and integration (46L51)

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Cited In (10)

• Square functions for noncommutative differentially subordinate martingales
• A note on the Burkholder-Rosenthal inequality
• Conditioned square functions for noncommutative martingales
• On martingale transform inequalities in certain quasi-Banach function spaces
• A transference method in quantum probability
• A trick for investigation of near-martingales in quantum probability spaces
• \(L_{p,q }\)-norm estimates associated with Burkholder's inequalities
• Maximal singular integral operators acting on noncommutative \(L_p\)-spaces
• Burkholder's inequalities associated with Orlicz functions in rearrangement invariant spaces
• Weak-type estimates for martingale maximal functions

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