English

One-sided Davis inequality for (F4) filtrations

Probability 2025-11-13 v1

Abstract

The classical Davis inequality EMfESf\mathbb{E} Mf\simeq \mathbb{E} Sf, where (Sf)2=kfkfk12(Sf)^2=\sum_{k}\left|f_{k}-f_{k-1}\right|^2 is the square function and Mf=supnfnMf= \sup_n \left|f_n\right| is the maximal function, is true with a universal constant for any martingale ff on any filtration. A natural analog in the setting of (F4) doubly indexed filtrations, i.e. (Fi,j)i,j\left(\mathcal{F}_{i,j}\right)_{i,j} such that the operators E(Fi,)\mathbb{E}\left(\cdot\mid \mathcal{F}_{i,\infty}\right) and E(F,j)\mathbb{E}\left(\cdot\mid \mathcal{F}_{\infty,j}\right) commute and their product is E(Fi,j)\mathbb{E}\left(\cdot\mid \mathcal{F}_{i,j}\right), is the conjecture Esupn,mfn,mE(i,jΔfi,j2)12,\mathbb{E}\sup_{n,m} \left|f_{n,m}\right|\simeq\mathbb{E}\left(\sum_{i,j}\left|\Delta f_{i,j}\right|^2\right)^\frac{1}{2}, where Δfi,j=fi,jfi1,jfi,j1+fi1,j1\Delta f_{i,j}=f_{i,j}-f_{i-1,j}-f_{i,j-1}+f_{i-1,j-1}. It was known to be true only with some highly restrictive additional assumptions, e.g. regularity of the filtration (gn,mgn+1,m,gn,m+1g_{n,m}\gtrsim g_{n+1,m},g_{n,m+1} for any positive martingale gg) or ff being a strong martingale (E(Δfi,jFi1,jFi,j1)=0\mathbb{E}\left(\Delta f_{i,j}\mid \mathcal{F}_{i-1,j}\vee \mathcal{F}_{i,j-1}\right)=0). We prove the inequality \lesssim assuming just the (F4) condition.

Keywords

Cite

@article{arxiv.2511.08712,
  title  = {One-sided Davis inequality for (F4) filtrations},
  author = {Maciej Rzeszut},
  journal= {arXiv preprint arXiv:2511.08712},
  year   = {2025}
}
R2 v1 2026-07-01T07:32:56.120Z