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 on the torus we have the strict inequality on a set of Hausdorff dimension one, denoting by the martingale differences . We discuss an extension of this inequality to so-called smartingales on convex, compact subsets of , 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.
Cite
@article{arxiv.2409.13227,
title = {Variation inequalities for smartingales},
author = {Markus Passenbrunner},
journal= {arXiv preprint arXiv:2409.13227},
year = {2026}
}