English

Variation inequalities for smartingales

Probability 2026-05-29 v2 Functional Analysis

Abstract

A result by N.G. Makarov [Algebra i Analiz, 1989] states that for martingales (Mn)(M_n) on the torus we have the strict inequality lim infnMnk=1nΔMk>0 \liminf_{n\to\infty} \frac{M_n}{\sum_{k=1}^n |\Delta M_k|} > 0 on a set of Hausdorff dimension one, denoting by ΔMn\Delta M_n the martingale differences ΔMn=MnMn1 \Delta M_n = M_n - M_{n-1} . We discuss an extension of this inequality to so-called smartingales on convex, compact subsets of Rd\mathbb R^d, which are piecewise polynomial (or spline) versions of martingales. As a tool we need and prove an estimate for smartingales in the spirit of the law of the iterated logarithm.

Keywords

Cite

@article{arxiv.2409.13227,
  title  = {Variation inequalities for smartingales},
  author = {Markus Passenbrunner},
  journal= {arXiv preprint arXiv:2409.13227},
  year   = {2026}
}
R2 v1 2026-06-28T18:50:58.206Z