Related papers: Doob's inequality for non-commutative martingales

We establish weighted inequalities for $BMO$ commutators of sublinear operators for all $0<p<\infty$. For weights $w$ satisfying the doubling condition of order $q$ with $0<q<p$ and the reverse H\"{o}lder condition, we prove that $\bullet$…

Recently a new approach to varying exponent $L^{p(\cdot)}$ space norms employing weak solutions to first order ordinary differential equations was initiated by the author. The duality of these ODE-determined $L^{p(\cdot)}$ spaces is…

The $L^p$ maximal inequalities for martingales are one of the classical results in the theory of stochastic processes. Here we establish the sharp moderate maximal inequalities for one-dimensional diffusion processes, which include the…

For any two real-valued continuous-path martingales $X=\{X_t\}_{t\geq 0}$ and $Y=\{Y_t\}_{t\geq 0}$, with $X$ and $Y$ being orthogonal and $Y$ being differentially subordinate to $X$, we obtain sharp $L^p$ inequalities for martingales of…

In the paper we study sharp maximal inequalities for martingales and non-negative submartingales: if $f$, $g$ are martingales satisfying \[|\mathrm{d}g_n|\leq|\mathrm{d}f_n|,\qquad n=0,1,2,...,\] almost surely, then…

{Consider a c\`adl\`ag local martingale $M$ with square brackets $[M]$. In this paper, we provide upper and lower bounds for expectations of the type ${\mathbb E} [M]^{q/2}_{\tau}$, for any stopping time $\tau$ and $q\ge 2$, in terms of…

We consider filtration consistent nonlinear expectations in probability spaces satisfying only the usual conditions and separability. Under a domination assumption, we demonstrate that these nonlinear expectations can be expressed as the…

This paper studies the problem of testing the null assumption of no-change in the mean of chronologically ordered independent observations on a random variable $X$ {\it versus} the at most one change in the mean alternative hypothesis. The…

It is well known that if a submartingale $X$ is bounded then the increasing predictable process $Y$ and the martingale $M$ from the Doob decomposition $% X=Y+M$ can be unbounded. In this paper for some classes of increasing convex functions…

In this paper, we obtain the desired noncommutative maximal inequalities of the truncated Calder\'on-Zygmund operators of non-convolution type acting on operator-valued $L_p$-functions for all $1<p<\infty$, answering a question left open in…

Counting permutations of $[n]$ by the number of records, i.e. left-to-right maxima, is a classic problem in combinatorial enumeration. In the first volume of ``The Art of Computer Programming", Donald Knuth demonstrated its relevance for…

We prove an analogue of the classical Davis' decomposition for martingales in noncommutative L_p-spaces, involving the square functions. We also determine the dual space of the noncommutative conditioned Hardy space \h_1. We further extend…

For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We…

Using the spectral measure $\mu_\mathbb{S}$ of the stopping time $\mathbb{S},$ we define the stopping element $X_\mathbb{S}$ as a Daniell integral $\int X_t\,d\mu_\mathbb{S}$ for an adapted stochastic process $(X_t)_{t\in J}$ that is a…

Carbery (2006) proposed novel estimates for the $L^p$ norm of a sum of two nonnegative measurable functions. Subsequently, Carlen, Frank, Ivanisvili and Lieb (2018) provided stronger bounds, which Ivanisvili and Mooney (2020) further…

Let $v,~\omega_1, ~\omega_2$ be weights and $1<p_1, ~p_2<\infty.$ Suppose that $\frac{1}{p}=\frac{1}{p_1}+\frac{1}{p_2}$ and $(\omega_1, \omega_2)\in RH(p_1, p_2).$ For the multisublinear maximal operator $\mathfrak{M}$ in martingale…

We show that $\ell_p$ norms are characterized as the unique norms which are both invariant under coordinate permutation and multiplicative with respect to tensor products. Similarly, the $L_p$ norms are the unique rearrangement-invariant…

In a filtered measure space, a characterization of weights for which the trace inequality of a positive operator holds is given by the use of discrete Wolff's potential. A refinement of the Carleson embedding theorem is also introduced.…

We develop a general framework for extracting highly uniform bounds on local stability for stochastic processes in terms of information on fluctuations or crossings. This includes a large class of martingales: As a corollary of our main…

In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it an optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous…