We discuss existence, uniqueness, and space-time Hölder regularity for solutions of the parabolic stochastic evolution equation dU(t) = (AU(t) + F(t,U(t))) dt + B(t,U(t)) dW_H(t), t\in [0,\Tend], U(0) = u_0, where $A$ generates an analytic $C_0$-semigroup on a UMD Banach space $E$ and $W_H$ is a cylindrical Brownian motion with values in a Hilbert space $H$. We prove that if the mappings $F:[0,T]\times E\to E$ and $B:[0,T]\times E\to \mathscr{L}(H,E)$ satisfy suitable Lipschitz conditions and $u_0$ is $\F_0$-measurable and bounded, then this problem has a unique mild solution, which has trajectories in $C^ł([0,T];\D((-A)^θ)$ provided $λ\ge 0$ and $θ\ge 0$ satisfy $ł+θ<\frac12$. Various extensions of this result are given and the results are applied to parabolic stochastic partial differential equations.
A detailed theory of stochastic integration in UMD Banach spaces has been developed recently by the authors. The present paper is aimed at giving various sufficient conditions for stochastic integrability.
Using the theory of stochastic integration for processes with values in a UMD Banach space developed recently by the authors, an Ito formula is proved which is applied to prove the existence of strong solutions for a class of stochastic evolution equations in UMD Banach spaces. The abstract results are applied to prove regularity in space and time of the solutions of the Zakai equation.
In this paper we introduce the notion of weak differential subordination for martingales and show that a Banach space $X$ is a UMD Banach space if and only if for all $p\in (1,\infty)$ and all purely discontinuous $X$-valued martingales $M$ and $N$ such that $N$ is weakly differentially subordinated to $M$, one has the estimate $\mathbb E \|N_{\infty}\|^p \leq C_p\mathbb E \|M_{\infty}\|^p$. As a corollary we derive the sharp estimate for the norms of a broad class of even Fourier multipliers, which includes e.g. the second order Riesz transforms.
Let H be a separable real Hilbert space and let F = (F_t)_{t\in [0,T]} be the augmented filtration generated by an H-cylindrical Brownian motion W_H on [0,T]. We prove that if E is a UMD Banach space, 1\leq p<\infty, and f\in D^{1,p}(E) is F_T-measurable, then f = \E f + \int_0^T P_F(Df) dW_H where D is the Malliavin derivative and P_F is the projection onto the F-adapted elements in a suitable Banach space of L^p-stochastically integrable L(H,E)-valued processes.
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 decomposition $M = M^d + M^c$ such that $M^d$ is a purely discontinuous martingale, $M^c$ is a continuous martingale, $M^c_0=0$ and \[ \mathbb E \|M^d_{\infty}\|^p + \mathbb E \|M^c_{\infty}\|^p\leq c_{p,X} \mathbb E \|M_{\infty}\|^p. \] An analogous assertion is shown for the Yoeurp decomposition of a purely discontinuous martingales into a sum of a quasi-l…
In this paper we study the Malliavin derivatives and Skorohod integrals for processes taking values in an infinite dimensional space. Such results are motivated by their applications to SPDEs and in particular financial mathematics. Vector-valued Malliavin theory in Banach space E is naturally restricted to spaces E which have the so-called UMD property, which arises in harmonic analysis and stochastic integration theory. We provide several new results and tools for the Malliavin derivatives and Skorohod integrals in an infinite dimensional setting. In particular, we prove weak characterizatio…
In this paper we construct a theory of stochastic integration of processes with values in $\mathcal{L}(H,E)$, where $H$ is a separable Hilbert space and $E$ is a UMD Banach space (i.e., a space in which martingale differences are unconditional). The integrator is an $H$-cylindrical Brownian motion. Our approach is based on a two-sided $L^p$-decoupling inequality for UMD spaces due to Garling, which is combined with the theory of stochastic integration of $\mathcal{L}(H,E)$-valued functions introduced recently by two of the authors. We obtain various characterizations of the stochastic integral…
Extending results of Pardoux and Peng and Hu and Peng, we prove well-posedness results for backward stochastic evolution equations in UMD Banach spaces.
We prove an existence and uniqueness result for the infinitely delayed stochastic evolution equation $$dU(t) = &\big(AU(t) + F(t,U_t)\big) dt + B(t,U_t)dW_H(t), t\in[0,T_0]$$ where $A$ is the generator of an analytic semigroup on a UMD space $E$, $F$ and $B$ satisfy Lipschitz conditions and $\mathscr{B}$ is a weighted $L^p$ history space. This paper is based on recent work of van Neerven \emph{et al.}~which developed the theory of abstract stochastic evolution equations in UMD spaces.
In this paper we prove Burkholder-Davis-Gundy inequalities for a general martingale $M$ with values in a UMD Banach space $X$. Assuming that $M_0=0$, we show that the following two-sided inequality holds for all $1\leq p<\infty$: \begin{align}\label{eq:main}\tag{$\star$} \mathbb E \sup_{0\leq s\leq t} \|M_s\|^p \eqsim_{p, X} \mathbb E γ([\![M]\!]_t)^p ,\;\;\; t\geq 0. \end{align} Here $ γ([\![M]\!]_t) $ is the $L^2$-norm of the unique Gaussian measure on $X$ having $[\![M]\!]_t(x^*,y^*):= [\langle M,x^*\rangle, \langle M,y^*\rangle]_t$ as its covariance bilinear form. This extends to general U…
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 subordinate to $M$ one has that for any $1<p<\infty$ \[ \mathbb E \|N_t\|^p \leq χ_{p, X}^p \mathbb E \|M_t\|^p,\;\;\; t\geq 0, \] with the sharp constant $χ_{p, X}$ being the norm of a decoupling-type martingale transform and being within the range \[ \max\Bigl\{\sqrt{β_{p, X}}, \sqrt{\hbar_{p,X}}\Bigr\} \leq \max\{β_{p, X}^{γ,+}, β_{p, X}^{γ, -}\} \leq χ_{p…
We prove the $\ell^s$-boundedness of a family of integral operators with an operator-valued kernel on UMD Banach function spaces. This generalizes and simplifies earlier work by Gallarati, Veraar and the author, where the $\ell^s$-boundedness of this family of integral operators was shown on Lebesgue spaces. The proof is based on a characterization of $\ell^s$-boundedness as weighted boundedness by Rubio de Francia.
Using methods from Banach space theory, we prove two new structural results on maximal regularity. The first says that there exist positive analytic semigroups on UMD-Banach lattices, namely $\ell_p(\ell_q)$ for $p \neq q \in (1, \infty)$, without maximal regularity. In the second result we show that the extrapolation problem for maximal regularity behaves in the worst possible way: for every interval $I \subset (1, \infty)$ with $2 \in I$ there exists a family of consistent bounded analytic semigroups $(T_p(z))_{z \in Σ_{π/2}}$ on $L_p(\mathbb{R})$ such that $(T_p(z))$ has maximal regularity …
In this paper we study higher order Riesz transforms associated with the inverse Gaussian measure given by $π^{n/2}e^{|x|^2}dx$ on $\mathbb{R}^n$. We establish $L^p(\mathbb{R}^n,e^{|x|^2}dx)$-boundedness properties and obtain representations as principal values singular integrals for the higher order Riesz transforms. New characterizations of the Banach spaces having the UMD property by means of the Riesz transforms and imaginary powers of the operator involved in the inverse Gaussian setting are given.
We prove various extensions of the Coifman-Rubio de Francia-Semmes multiplier theorem to operator-valued multipliers on Banach function spaces. Our results involve a new boundedness condition on sets of operators which we call $\ell^{r}(\ell^{s})$-boundedness, which implies $\mathcal{R}$-boundedness in many cases. The proofs are based on new Littlewood-Paley-Rubio de Francia-type estimates in Banach function spaces which were recently obtained by the authors.
We consider the effect of perturbations to a quasi-linear parabolic stochastic differential equation set in a UMD Banach space $X$. To be precise, we consider perturbations of the linear part, i.e. the term concerning a linear operator $A$ generating an analytic semigroup. We provide estimates for the difference between the solution to the original equation $U$ and the solution to the perturbed equation $U_0$ in the $L^p(Ω;C([0,T];X))$-norm. In particular, this difference can be estimated $|| R(λ:A)-R(λ:A_0) ||$ for sufficiently smooth non-linear terms. The work is inspired by the desire to pr…
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 study conical square function estimates for Banach-valued functions, and introduce a vector-valued analogue of the Coifman-Meyer-Stein tent spaces. Following recent work of Auscher-McIntosh-Russ, the tent spaces in turn are used to construct a scale of vector-valued Hardy spaces associated with a given bisectorial operator (A) with certain off-diagonal bounds, such that (A) always has a bounded (H^{\infty})-functional calculus on these spaces. This provides a new way of proving functional calculus of (A) on the Bochner spaces (L^p(\R^n;X)) by checking appropriate conical square function est…
We prove that the class of trilinear multiplier forms with singularity over a one dimensional subspace, including the bilinear Hilbert transform, admit bounded $L^p$-extension to triples of intermediate $\mathrm{UMD}$ spaces. No other assumption, for instance of Rademacher maximal function type, is made on the triple of $\mathrm{UMD}$ spaces. Among the novelties in our analysis is an extension of the phase-space projection technique to the $\mathrm{UMD}$-valued setting. This is then employed to obtain appropriate single tree estimates by appealing to the $\mathrm{UMD}$-valued bound for bilinea…
We prove a transference principle for general (i.e., not necessarily bounded) strongly continuous groups on Banach spaces. If the Banach space has the UMD property, the transference principle leads to estimates for the functional calculus of the group generator. In the Hilbert space case, the results cover classical theorems of McIntosh and Boyadzhiev-de Laubenfels; in the UMD case they are analogues of classical results by Hieber and Pruess. By using functional calculus methods, consequences for sectorial operators are derived. For instance it is proved, that every generator of a cosine funct…
Let $1 < p \neq q < \infty $ and $(D, μ) = (\{\pm 1\}, 1/2 δ_{-1} + 1/2 δ_1)$. Define by recursion: $X_0 = \C$ and $X_{n+1} = L_p(μ; L_q(μ; X_n))$. In this paper, we show that there exist $c_1=c_1(p, q)>1$ depending only on $p, q$ and $ c_2 = c_2(p, q, s)$ depending on $p, q, s$, such that the $\text{UMD}_s$ constants of $X_n$'s satisfy $c_1^n \leq C_s(X_n) \leq c_2^n$ for all $1 < s < \infty$. Similar results will be showed for the analytic $\text{UMD}$ constants. We mention that the first super-reflexive non-$\text{UMD}$ Banach lattices were constructed by Bourgain. Our results yield another…
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 inequality if and only if X is a UMD Banach space. The one-sided decoupling inequality is a weaker property, including e.g. the space L^1. We provide information on the optimal constants for various spaces, and give a upper estimate of order p in general. In the second part of our paper we derive Burkholder-Davis-Gundy type estimates for p-th moments, p in (0,infty),…
In this work we study the vector-valued Hardy spaces H p (D; F) (1 \leq p \leq \infty) and their relationship with RNP, ARNP and the UMDP properties. By following the approach of Taylor in the scalar-valued case, we prove that, when F and F have the ARNP property, then H p (D; F) and H q (D; F) are canonically topologically isomorphic (for p, q \in (1, \infty) conjugate indices) if and only if F has the UMDP.
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 \[\E\|f\|^p \leq C_{p,X} \E\|g\|^p (*).\] This property is equivalent to the UMD condition. In fact, it is still equivalent to the UMD condition if in addition one demands that either f or g satisfy the so-called (CI) condition. However, for some applications it suffices to assume that (*) holds whenever g satisfies the (CI) condition. We show that the class of Banach spaces…
The UMD property of a Banach space is one of the most useful properties when one thinks about possible applications. This is in particular due to the boundedness of the vector-valued Hilbert transform for functions with values in such a space. Looking at operators instead of at spaces, it is easy to check that the summation operator does not have the UMD property. The actual asymptotic behavior however of the UMD constants computed with martingales of length n is unknown. We explain, why it would be important to know this behavior, rephrase the problem of finding these UMD constants and give s…
This paper presents a brief survey of the theory of stochastic integration in Banach spaces. Expositions of the stochastic integrals in martingale type 2 spaces and UMD spaces are presented, as well as some applications of the latter to vector-valued Malliavin calculus and the stochastic maximal regularity problem. A new proof of the stochastic maximal regularity theorem is included.
We develop a theory of Malliavin calculus for Banach space valued random variables. Using radonifying operators instead of symmetric tensor products we extend the Wiener-Ito isometry to Banach spaces. In the white noise case we obtain two sided L^p-estimates for multiple stochastic integrals in arbitrary Banach spaces. It is shown that the Malliavin derivative is bounded on vector-valued Wiener-Ito chaoses. Our main tools are decoupling inequalities for vector-valued random variables. In the opposite direction we use Meyer's inequalities to give a new proof of a decoupling result for Gaussian …
We prove $L^p$-bounds for the bilinear Hilbert transform acting on functions valued in intermediate UMD spaces. Such bounds were previously unknown for UMD spaces that are not Banach lattices. Our proof relies on bounds on embeddings from Bochner spaces $L^p(\mathbb{R};X)$ into outer Lebesgue spaces on the time-frequency-scale space $\mathbb{R}^3_+$.
We introduce the notion of an ACF space, that is, a space for which a generalized version of M. Riesz's theorem for conjugate functions with values in the Banach space is bounded. We use transference to prove that spaces for which the Hilbert transform is bounded, iė\. $X\in\text{HT}$, are ACF spaces. We then show that Bourgain's proof of $X\in\text{HT}\implies X\in\text{UMD}$ is a consequence of this result.
We develop a general theory of multilinear singular integrals with operator-valued kernels, acting on tuples of UMD Banach spaces. This, in particular, involves investigating multilinear variants of the $\mathcal R$-boundedness condition naturally arising in operator-valued theory. We proceed by establishing a suitable representation of multilinear, operator-valued singular integrals in terms of operator-valued dyadic shifts and paraproducts, and studying the boundedness of these model operators via dyadic-probabilistic Banach space-valued analysis. In the bilinear case, we obtain a $T(1)$-typ…
In this article, we characterize the $UMD$--property of a Banach space $X$ by ideal norms associated with trigonometric orthonormal systems. The asymptotic behavior of that numerical parameters can be used to decide whether or not $X$ is a $UMD$--space. Moreover, in the negative case, we obtain a measure that shows how far $X$ is from being a $UMD$--space. The main result is, that all described parameters are equivalent also in the quantitative setting.
Institute for Advanced Study in Mathematics of HIT, Harbin Institute of Technology（哈尔滨工业大学数学高等研究院）；School of Mathematics and Statistics, University of New South Wales（新南威尔士大学数学与统计学院）
We extend Rubio de Francia's extrapolation theorem for functions valued in UMD Banach function spaces, leading to short proofs of some new and known results. In particular we prove Littlewood-Paley-Rubio de Francia-type estimates and boundedness of variational Carleson operators for Banach function spaces with UMD concavifications.
It is shown here that if $(Y,\|\cdot\|_Y)$ is a Banach space in which martingale differences are unconditional (a UMD Banach space) then there exists $c=c(Y)\in (0,\infty)$ with the following property. For every $n\in \mathbb{N}$ and $\varepsilon\in (0,1/2]$, if $(X,\|\cdot\|_X)$ is an $n$-dimensional normed space with unit ball $B_X$ and $f:B_X\to Y$ is a $1$-Lipschitz function then there exists an affine mapping $Λ:X\to Y$ and a sub-ball $B^*=y+ρB_X\subseteq B_X$ of radius $ρ\ge \exp(-(1/\varepsilon)^{cn})$ such that $\|f(x)-Λ(x)\|_Y\le \varepsilon ρ$ for all $x\in B^*$. This estimate on the…
The paper studies Banach spaces satisfying the Littlewood-Paley-Rubio de Francia property LPR_p, 2 \leq p < \infty. The paper shows that every Banach lattice whose 2-concavification is a UMD Banach lattice has this property. The paper also shows that every space having LPR_q also has LPR_p with q \leq p < \infty.
Let $T$ be a bounded linear operator on $L^p$. We study the rate of growth of the norms of the powers of $T$ under resolvent conditions or Cesàro boundedness assumptions. Actually the relevant properties of $L^p$ spaces in our study are their type and cotype, and for $1<p<\infty$, the fact that they are UMD. Some of the proofs make use of Fourier multipliers on Banach spaces, which explains why UMD spaces come into play.
In this paper we consider Littlewood-Paley functions defined by the semigroups associated with the operator $\mathcal{A}=-\fracΔ{2}-x\nabla$ in the inverse Gaussian setting for Banach valued functions. We characterize the uniformly convex and smooth Banach spaces by using $L^p(\mathbb{R}^n,γ_{-1})$- properties of the $\mathcal{A}$-Littlewood-Paley functions. We also use Littlewood-Paley functions associated with $\mathcal{A}$ to characterize the Köthe function spaces with the UMD property.
We prove modulation invariant embedding bounds from Bochner spaces $L^p(\mathbb{W};X)$ on the Walsh group to outer-$L^p$ spaces on the Walsh extended phase plane. The Banach space $X$ is assumed to be UMD and sufficiently close to a Hilbert space in an interpolative sense. Our embedding bounds imply $L^p$ bounds and sparse domination for the Banach-valued tritile operator, a discrete model of the Banach-valued bilinear Hilbert transform.
This paper is devoted to tangent martingales in Banach spaces. We provide the definition of tangency through local characteristics, basic $L^p$- and $ϕ$-estimates, a precise construction of a decoupled tangent martingale, new estimates for vector-valued stochastic integrals, and several other claims concerning tangent martingales and local characteristics in infinite dimensions. This work extends various real-valued and vector-valued results in this direction e.g. due to Grigelionis, Hitczenko, Jacod, Kallenberg, Kwapień, McConnell, and Woyczyński. The vast majority of the assertions presented…
We consider operators acting on a UMD Banach lattice $X$ that have the same algebraic structure as the position and momentum operators associated with the harmonic oscillator $-\frac12Δ+ \frac12|x|^{2} $ acting on $L^{2}(\mathbb{R}^{d})$. More precisely, we consider abstract harmonic oscillators of the form $\frac12 \sum _{j=1} ^{d}(A_{j}^{2}+B_{j}^{2})$ for tuples of operators $A=(A_{j})_{j=1} ^{d}$ and $B=(B_{k})_{k=1} ^{d}$, where $iA_j$ and $iB_k$ are assumed to generate $C_{0}$ groups and to satisfy the canonical commutator relations. We prove functional calculus results for these abstrac…
In this paper we consider structurally damped plate and wave equations with point and distributed random forces. In order to treat space dimensions more than one, we work in the setting of $L^q$--spaces with (possibly small) $q\in(1,2)$. We establish existence, uniqueness and regularity of mild and weak solutions to the stochastic equations employing recent theory for stochastic evolution equations in UMD Banach spaces.
A continuous quadratic form ("quadratic form", in short) on a Banach space $X$ is: (a) delta-semidefinite (i.e., representable as a difference of two nonnegative quadratic forms) if and only if the corresponding symmetric linear operator $T\colon X\to X^*$ factors through a Hilbert space; (b) delta-convex (i.e., representable as a difference of two continuous convex functions) if and only if $T$ is a UMD-operator. It follows, for instance, that each quadratic form on an infinite-dimensional $L_p(μ)$ space ($1\le p \le\infty$) is: (a) delta-semidefinite iff $p \ge 2$; (b) delta-convex iff $p>1$…
In the first part we show that a vector-valued almost separably valued function $f$ is holomorphic (harmonic) if and only if it is dominated by an $L^1_\mathrm{loc}$ function and there exists a separating set $W\subset X'$ such that $\langle f,x'\rangle$ is holomorphic (harmonic) for all $x'\in W$. This improves a known result which requires $f$ to be locally bounded. In the second part we consider classical results in the $L^p$ theory for elliptic differential operators of second order. In the vector-valued setting these results are shown to be equivalent to the UMD property.
Let $X$ be a Banach space. It is proved that an analogue of the Rubio de Francia square function estimate for partial sums of the Fourier series of $X$-valued functions holds true for all disjoint collections of subintervals of the set of integers of equal length and for all exponents $p$ greater or equal than 2 if and only if the space $X$ is a UMD space of type 2. The same criterion is obtained for the case of subintervals of the real line and Fourier integrals instead of Fourier series.
Let $A$ be a generator of an analytic semigroup having a H{ö}rmander functional calculus on $X = L^p(Ω,Y)$, where $Y$ is a UMD lattice. Using methods from Banach space geometry in connection with functional calculus, we show that for H{ö}rmander spectral multipliers decaying sufficiently fast at $\infty$, there holds a maximal estimate $\| \sup_{t \geq 0} |m(tA)f|\, \|_{L^p(Ω,Y)} \lesssim \|f\|_{L^p(Ω,Y)}$. We also show square function estimates $\left\| \left( \sum_k \sup _{t \geq 0} |m_k(tA)f_k|^2 \right)^{\frac12} \right\|_{L^p(Ω,Y)} \lesssim \left\| \left( \sum _k |f_k|^2 \right)^{\frac12}…
This paper presents a survey of maximal inequalities for stochastic convolutions in $2$-smooth Banach spaces and their applications to stochastic evolution equations.
We define a scale of L^q Carleson norms, all of which characterize the membership of a function in BMO. The phenomenon is analogous to the John-Nirenberg inequality, but on the level of Carleson measures. The classical Carleson condition corresponds to the L^2 case in our theory. The result is applied to give a new proof for the L^p-boundedness of paraproducts with a BMO symbol. A novel feature of the argument is that all p are covered at once in a completely interpolation-free manner. This is achieved by using the L^1 Carleson norm, and indicates the usefulness of this notion. Our approach is…
A stochastic sewing lemma which is applicable for processes taking values in Banach spaces is introduced. Applications to additive functionals of fractional Brownian motion of distributional type are discussed.
Using a multiplicative structure (for example that of a Banach algebra) and a partial order we construct a weak version of a Banach space valued stochastic integral with respect to square integrable martingales.
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 \lim_n||f-S_n(f)||_2=0 for all $f\in L_2^X$, where S_n(f):=sum_{i=0}^{n-1} (f,w_i)w_i is the $n$--th partial sum associated with the Walsh system $(w_i)$.
We prove new upper and lower bounds for Banach space-valued stochastic integrals with respect to a compensated Poisson random measure. Our estimates apply to Banach spaces with non-trivial martingale (co)type and extend various results in the literature. We also develop a Malliavin framework to interpret Poisson stochastic integrals as vector-valued Skorohod integrals, and prove a Clark-Ocone representation formula.
