Weak type estimates associated to Burkholder's martingale inequality

DOI10.4171/RMI/522MaRDI QIDQ925118zbMATH OpenFDO

Authors Javier Parcet

Publication date 29 May 2008

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

Full work available at URL https://arxiv.org/abs/math/0508447, https://projecteuclid.org/euclid.rmi/1204128309, https://eudml.org/doc/43624

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)

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.

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Cited in

(10)

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

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