相关论文: Burkholder-Davis-Gundy inequalities in UMD Banach …

Let X be a Banach space. We prove p-independence of the one-sided decoupling inequality for X-valued tangent martingales as introduced by Kwapien and Woyczynski. It is known that a Banach space X satisfies the two-sided decoupling…

In this paper we consider local martingales with values in a UMD Banach function space. We prove that such martingales have a version which is a martingale field. Moreover, a new Burkholder--Davis--Gundy type inequality is obtained.

We consider decoupling inequalities for random variables taking values in a Banach space $X$. We restrict the class of distributions that appear as conditional distributions while decoupling and show that each adapted process can be…

{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 present a new proof of the Burkholder-Davis-Gundy inequalities for $1\leq p<\infty$. The novelty of our method is that these martingale inequalities are obtained as consequences of elementary deterministic counterparts. The latter have a…

A general device is proposed, which provides for extension of exponential inequalities for sums of independent real-valued random variables to those for martingales in the 2-smooth Banach spaces. This is used to obtain optimum bounds of the…

We show that the canonical decomposition (comprising both the Meyer-Yoeurp and the Yoeurp decompositions) of a general $X$-valued local martingale is possible if and only if $X$ has the UMD property. More precisely, $X$ is a UMD Banach…

We prove an inequality for the spectral norm of matrix valued stochastic integrals. This inequality can be seen either as a non-commutative version of the Burkholder-Davis-Gundy inequality or as an extension of the non-commutative…

In this paper we consider Meyer-Yoeurp decompositions for UMD Banach space-valued martingales. Namely, we prove that $X$ is a UMD Banach space if and only if for any fixed $p\in (1,\infty)$, any $X$-valued $L^p$-martingale $M$ has a unique…

In this paper, we will study concentration inequalities for Banach space-valued martingales. Firstly, we prove that a Banach space $X$ is linearly isomorphic to a $p$-uniformly smooth space ($1<p\leq 2$) if and only if an Azuma-type…

We give a proof of the maximal inequalities of Burkholder, Davis and Gundy for real as well as Hilbert-space-valued local martingales using almost only stochastic calculus. Some parts of the exposition, especially in the infinite…

Linear equivalences of norms of vector-valued singular integral operators and vector-valued martingale transforms are studied. In particular, it is shown that the UMD(p)-constant of a Banach space X equals the norm of the real (or the…

In this paper, the classical Dellacherie's theorem about stochastic process is extended to variable exponent Lebesgue spaces. As its applications, we obtain variable exponent analogues of several famous inequalities in classical martingale…

Let X be a Banach space. Suppose that for all $p\in (1, \infty)$ a constant $C_{p,X}$ depending only on X and p exists such that for any two X-valued martingales f and g with tangent martingale difference sequences one has \[\E\|f\|^p \leq…

We provide a simple proof, as well as several generalizations, of a recent result by Davis and Suh, characterizing a class of continuous submartingales and supermartingales that can be expressed in terms of a squared Brownian motion and of…

We prove generalized versions of the Variance Inequality known for barycenters in CAT(0) spaces, inspired by an analogous result for $p$-uniformly convex Banach spaces. Our generalizations apply to balls of sufficiently small radius in…

In the present paper we introduce the notion of strongly orthogonal martingales. Moreover, we show that for any UMD Banach space $X$ and for any $X$-valued strongly orthogonal martingales $M$ and $N$ such that $N$ is weakly differentially…

Multi-dimensional continuous local martingales, enhanced with their stochastic area process, give rise to geometric rough paths with a.s. finite homogenous p-variation, p>2. Here we go one step further and establish quantitative bounds of…

Given any Banach space $X$, let $L_2^X$ denote the Banach space of all measurable functions $f:[0,1]\to X$ for which ||f||_2:=(int_0^1 ||f(t)||^2 dt)^{1/2} is finite. We show that $X$ is a UMD--space (see \cite{BUR:1986}) if and only if…

We obtain the following dimension independent Bernstein-Markov inequality in Gauss space: for each $1\leq p<\infty$ there exists a constant $C_p>0$ such that for any $k\geq 1$ and all polynomials $P$ on $\mathbb{R}^{k}$ we have $$ \| \nabla…