The maximal function and conditional square function control the variation: an elementary proof

DOI10.1090/PROC/12866MaRDI QIDQ2809214zbMATH OpenOpenAlexFDO

Authors Kevin Hughes, Ben Krause, Bartosz Trojan

Publication date 27 May 2016

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.1213

zbMATH Keywords

\(p\)-variationmartingalesmaximal functionsquare function

Mathematics Subject Classification ID

Maximal functions, Littlewood-Paley theory (42B25) Applications of functional analysis in probability theory and statistics (46N30) Linear operators on function spaces (general) (47B38) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

Abstract: In this note we prove the following good-$lambda$ inequality, for $r>2$, all $lambda>0$, $$ [

u�ig{ V_r(f) > 3 lambda ; mathcal{M}(f) leq delta lambda�ig} leq 4 u{s(f) > delta lambda} + {delta^2 left(1+frac{16}{r-2} ight)^2} cdot

u�ig{ V_r(f) > lambda�ig}, ] where $mathcalM(f)$ is the martingale maximal function, $s(f)$ is the conditional martingale square function. This immediately proves that $V_r(f)$ is bounded on $L^p$, $1<p<infty$ and moreover is integrable when the maximal function is.

Review text

Let \((X,{\mathcal F},\nu)\) be a \(\sigma\)-finite measure space and let \(({\mathcal F_n}; n \in \mathbb{Z})\) be a sequence of \(\sigma\)-fields such that \({\mathcal F}_n\subseteq {\mathcal F}_{n+1}\subseteq {\mathcal F}\). For a martingale \((f_n: n\in\mathbb Z)\), consider the maximal and the conditional martingale square function defined, respectively, by NEWLINE\[NEWLINE M(f)= \sup_{n\in \mathbb{Z}} |f_n|, \;\;s(f)=\left( \sum_{n\in \mathbb{Z}} \mathbb{E}[|f_n-f_{n-1}|^2 |{\mathcal F}_{n-1}]\right)^{1/2}.NEWLINE\]NEWLINENEWLINENEWLINEAlso, define for \(r\geq 1\) the following family of \(r\)-variation operators controlling the oscillation NEWLINE\[NEWLINEV_r(f)=\sup_{n_0<n_1<\cdots <n_j} \left( \sum_{j=1}^J |f_{n_j}-f_{n_{j-1}} |^r \right)^{1/r}.NEWLINE\]NEWLINE It is a result of \textit{D. Lepingle} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 36, 295--316 (1976; Zbl 0325.60047)] that \(V_r\) is bounded on \(L^p(\nu)\) for \(p>1\) and satisfies a weak-type boundedness for \(p=1\).NEWLINENEWLINEThe main result of the paper is the proof of the following good-\(\lambda\) inequality, for \(r>2\) and all \(\lambda>0\), \(\delta \in (0,1/2)\): NEWLINE\[NEWLINE\nu\{ V_r(f) >3\lambda; Mf< \delta\lambda\} \lesssim \nu\{s(f)> \delta \lambda\} +\frac{\delta^2}{(r-2)^2} \nu\{V_r(f)>\lambda\}.NEWLINE\]NEWLINE This result proves that, for all \(p\in (0,+\infty)\) and \(r>2\), \(V_r(f)\in L^p(X,\nu)\) whenever \(s(f)\) and \(M(f)\) are in \(L^p(X,\nu)\). In this way, a new proof of Lépingle's result is provided by means of establishing a relationship between the maximal function, the conditional square function and the variation operator.

Recommendations

• Some inequalities for \(p\)-variations of martingales.
• Maximal function on generalized martingale Lebesgue spaces with variable exponent
• On a relation between norms of the maximal function and the square function of a martingale
• Sharp inequalities for the conditional square function of a martingale
• On the variation of the Hardy-Littlewood maximal function

Cites work

• scientific article; zbMATH DE number 3400258 (Why is no real title available?)
• La variation d'ordre p des semi-martingales
• Martingale Transforms
• On the integrability of the martingale square function
• Pointwise ergodic theorems for arithmetic sets. With an appendix on return-time sequences, jointly with Harry Furstenberg, Yitzhak Katznelson and Donald S. Ornstein
• Strong variational and jump inequalities in harmonic analysis
• The \(p\)-variation of partial sum processes and the empirical process
• The strong p-variation of martingales and orthogonal series
• Variation inequalities for the Fejér and Poisson kernels
• Weighted Littlewood-Paley theory and exponential-square integrability

Cited in

(1)

• \(\ell ^p\left(\mathbb {Z}^d\right)\)-estimates for discrete operators of Radon type: variational estimates

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