Martingale inequalities for spline sequences
Functional Analysis
2018-12-20 v1 Probability
Abstract
We show that D. L\'{e}pingle's -inequality \begin{equation*} \Big\| \big( \sum_n \mathbb E[f_n | \mathscr F_{n-1}]^2 \big)^{1/2}\Big\|_1 \leq 2\cdot \Big\| \big( \sum_n f_n^2 \big)^{1/2} \Big\|_1, \qquad f_n\in\mathscr F_n, \end{equation*} extends to the case where we substitute the conditional expectation operators with orthogonal projection operators onto spline spaces and where we can allow that is contained in a suitable spline space . This is done provided the filtration satisfies a certain regularity condition depending on the degree of smoothness of the functions contained in . As a by-product, we also obtain a spline version of - duality under this assumption.
Cite
@article{arxiv.1812.07817,
title = {Martingale inequalities for spline sequences},
author = {Markus Passenbrunner},
journal= {arXiv preprint arXiv:1812.07817},
year = {2018}
}