Weak-type estimates for martingale maximal functions

DOI10.1214/22-ECP494MaRDI QIDQ2090747zbMATH OpenOpenAlexFDO

Authors Mateusz Wojtas, Adam Osȩkowski

Publication date 31 October 2022

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/22-ecp494

zbMATH Keywords

best constantsBurkholder's methodmartingalemaximalweak-type

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

Review text

Let \((\Omega, \mathcal F, P)\) be a probability space equipped with the discrete-time filtration (\(\sigma\)-fields) \((\mathcal F_n)_{n\geq 0}\). Let \(f=(f_n)_{n\geq 0}\) be the adapted martingale with the maximal function \(f^{*}=\sup_{n\geq 0} |f_{n}|\). It is known that \(||f^{*}||_{p,\infty}\leq ||f||_p, 1\leq p<\infty \), and \(||f^{*}||\leq \frac{p}{p-1} ||f||_p, 1

0}(\lambda^p P(f^*\geq \lambda))^{1/p}\) denotes the weak-\(L^p\) quasinorm of \(f^*\) and \(||f||_p=\sup_{n\geq 0}(E|f_n|^p)^{1/p}\) is the \(L^p\) norm of a martingale \(f\) , and these inequalities are sharp. The main purpose of this paper is the study of sharp extensions of weak-type estimates for a martingale maximal function. Given \(1<p<\infty\) and a pair \((x,y)\) of nonnegative numbers satisfying \(x^p\leq y\), they identify the optimal upper bounds for \(|||\sup_n f_n|||_{p,\infty}\), for nonnegative martingales \(f=(f_n)_{n\geq 0}\) satisfying \(||f||_1=x \,\text{ and }\, ||f||^p_{p}=y\).

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Cited in

(11)

• Upper bounds for the \(L_ p\)-norms of martingales
• A four-weight weak type maximal inequality for martingales
• Some estimates related to the Doob's martingale inequalities
• On some martingale inequalities for mean oscillations in weak spaces
• On a relation between norms of the maximal function and the square function of a martingale
• scientific article; zbMATH DE number 5811715 (Why is no real title available?)
• On weighted weak type maximal inequalities for martingales
• scientific article; zbMATH DE number 1423945 (Why is no real title available?)
• On Generalized Maximal Functions
• Some extremal problems for martingale transforms. I
• Sharp maximal estimates for BMO martingales

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