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 inequality holds for $X$-valued martingales. This can be viewed as a generalization of Pinelis' work on Azuma inequality for martingales with values in $2$-uniformly smooth space. Secondly, Azuma-type inequality for self-normalized sums will be presented. Finally, some further inequalities for Banach space-valued martingales, such as moment inequalities for double indexed dyadic martingales and the De la Peña-type inequalities for conditionally symmetric martingales, will also be discussed.
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 establish an Azuma type inequality under a Lipshitz condition for martingales in the framework of noncommutative probability spaces and apply it to deduce a noncommutative Heoffding inequality as well as a noncommutative McDiarmid type inequality. We also provide a noncommutative Azuma inequality for noncommutative supermartingales in which instead of a fixed upper bound for the variance we assume that the variance is bounded above by a linear function of variables. We then employ it to deduce a noncommutative Bernstein inequality and an inequality involving $L_p$-norm of the sum of a marti…
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 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.
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…
For a Banach space X we define RUMD_n(X) to be the infimum of all c>0 such that (AVE_{ε_k =\pm 1} || \sum_1^n epsilon_k (M_k - M_{k-1} )||_{L_2^X}^2 )^{1/2} <= c || M_n ||_{L_2^X} holds for all Walsh-Paley martingales {M_k}_0^n subset L_2^X with M_0 =0. We relate the asymptotic behaviour of the sequence {RUMD(X)}_{n=1}^{infinity} to geometrical properties of the Banach space X such as K-convexity and superreflexivity.
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…
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…
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.
We introduce stronger versions of the usual notions of martingale type p <= 2 and cotype q >= 2 of a Banach space X and show that these concepts are equivalent to uniform p-smoothness and q-convexity, respectively. All these are metric concepts, so they depend on the particular norm in X. These concepts allow us to get some more insight into the fine line between X being isomorphic to a uniformly p-smooth space or being uniformly p-smooth itself. Instead of looking at Banach spaces, we consider linear operators between Banach spaces right away. The situation of a Banach space X can be rediscov…
The concept of Rademacher type $p$ ($1\leq p\leq2$) plays an important role in the local theory of Banach spaces. In \cite{mas88} Mascioni considers a weakening of this concept and shows that for a Banach space $X$ weak Rademacher type $p$ implies Rademacher type $r$ for all $r<p$. As with Rademacher type $p$ and weak Rademacher type $p$, we introduce the concept of Haar type $p$ and weak Haar type $p$ by replacing the Rademacher functions by the Haar functions in the respective definitions. We show that weak Haar type $p$ implies Haar type $r$ for all $r<p$. This solves a problem left open by…
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 concept of uniform convexity of a Banach space was generalized to linear operators between Banach spaces and studied by Beauzamy [1976]. Under this generalization, a Banach space X is uniformly convex if and only if its identity map I_X is. Pisier showed that uniformly convex Banach spaces have martingale type p for some p>1. We show that this fact is in general not true for linear operators. To remedy the situation, we introduce the new concept of martingale subtype and show, that it is equivalent, also in the operator case, to the existence of an equivalent uniformly convex norm on X. In…
In this paper non-asymptotic exponential estimates are derived for the tail distribution of polynomial martingale differences in terms unconditional tails distributions of summands. Applications are considered in the theory of polynomials on independent random variables, to the theory of U-statistics, multiply martingale series and in the theory of weak compactness measures on the Banach spaces. Partially supported by the Israel Ministry of Absorbtion Mathematics Subject Classification (2000): 47A45, 47B10, 60F10, 60G42.
Let $X$ be a given Banach space and let $M$, $N$ be two orthogonal $X$-valued local martingales such that $N$ is weakly differentially subordinate to $M$. The paper contains the proof of the estimate $$ \mathbb E Ψ(N_t) \leq C_{Φ,Ψ,X} \mathbb E Φ(M_t),\;\;\; t\geq 0, $$ where $Φ, Ψ:X \to \mathbb R_+$ are convex continuous functions and the least admissible constant $C_{Φ,Ψ,X}$ coincides with the $Φ,Ψ$-norm of the periodic Hilbert transform. As a corollary, it is shown that the $Φ,Ψ$-norms of the periodic Hilbert transform, the Hilbert transform on the real line, and the discrete Hilbert transf…
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.
In \cite{Troitsky:05,Korostenski:08}, the authors introduced and studied the space $\mathcal M_r$ of regular martingales on a vector lattice and the space $M_r$ of bounded regular martingales on a Banach lattice. In this note, we study these two spaces from the vector lattice point of view. We show, in particular, that these spaces need not be vector lattices. However, if the underlying space is order complete then $\mathcal M_r$ is a vector lattice and $M_r$ is a Banach lattice under the regular norm.
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…
A positive operator $T:E\to E$ on a Banach lattice $E$ with an order continuous norm is said to be $\mathfrak{B}$-Volterra with respect to a Boolean algebra $\mathfrak{B}$ of order projections of $E$ if the bands canonically corresponding to elements of $\mathfrak{B}$ are left fixed by $T$. A linearly ordered sequence $ξ$ in $\mathfrak{B}$ connecting $\textbf{0}$ to $\textbf{1}$ is called a forward filtration. A forward filtration can be to used to lift the action of the $\mathfrak{B}$-Volterra operator $T$ from the underlying Banach lattice $E$ to an action of a new norm continuous operator $…
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 space if and only if for any $X$-valued local martingale $M$ there exist a continuous local martingale $M^c$, a purely discontinuous quasi-left continuous local martingale $M^q$, and a purely discontinuous local martingale $M^a$ with accessible jumps such that $M = M^c + M^q + M^a$. The corresponding weak $L^1$-estimates are provided. Important tools used in the…
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.
In this paper we define a new type of quadratic variation for cylindrical continuous local martingales on an infinite dimensional spaces. It is shown that a large class of cylindrical continuous local martingales has such a quadratic variation. For this new class of cylindrical continuous local martingales we develop a stochastic integration theory for operator valued processes under the condition that the range space is a UMD Banach space. We obtain two-sided estimates for the stochastic integral in terms of the $γ$-norm. In the scalar or Hilbert case this reduces to the Burkholder-Davis-Gund…
A net $(x_α)_{α\in Γ}$ in a vector lattice $X$ is unbounded order convergent (uo-convergent) to $x$ if $|x_α-x| \wedge y \xrightarrow{o} 0$ for each $y \in X_+$, and is unbounded order Cauchy (uo-Cauchy) if the net $(x_α-x_{α'})_{Γ\times Γ}$ is uo-convergent to 0. In the first part of this article, we study uo-convergent and uo-Cauchy nets in Banach lattices and use them to characterize Banach lattices with the positive Schur property and KB-spaces. In the second part, we use the concept of uo-Cauchy sequences to extend Doob's submartingale convergence theorems to a measure-free setting. Our r…
We establish distributional estimates for noncommutative martingales, in the sense of decreasing rearrangements of the spectra of unbounded operators, which generalises the study of distributions of random variables. Our results include distributional versions of the noncommutative Stein, dual Doob, martingale transform and Burkholder-Gundy inequalities. Our proof relies upon new and powerful extrapolation theorems. As an application, we obtain some new martingale inequalities in symmetric quasi-Banach operator spaces and some interesting endpoint estimates. Our main approach demonstrates a me…
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),…
If Z is a quotient of a subspace of a separable Banach space X, and V is any separable Banach space, then there is a Banach couple (A_0,A_1) such that A_0 and A_1 are isometric to $X\oplus V$, and any intermediate space obtained using the real or complex interpolation method contains a complemented subspace isomorphic to Z. Thus many properties of Banach spaces, including having non-trivial cotype, having the Radon-Nikodym property, and having the analytic unconditional martingale difference sequence property, do not pass to intermediate spaces.
In this article we introduce and investigate some new Banach spaces, so - called moment spaces, and consider applications to the Fourier series, singular integral operators, theory of martingales.
The paper gives a Banach space -valued extension of the Tb theorem of Nazarov, Treil and Volberg (2003) concerning the boundedness of singular integral operators with respect to a measure, which only satisfies an upper control on the size of balls. Under the same assumptions as in their result, such operators are shown to be bounded on the Bochner spaces of functions with values in a Banach space with the unconditionality property of martingale differences (UMD). The new proof deals directly with all Lebesgue exponents p in the range 1<p<infinity, and relies on delicate estimates for the non-h…
We find a class of metric structures which do not admit bilipschitz embeddings into Banach spaces with the Radon-Nikodým property. Our proof relies on Chatterji's (1968) martingale characterization of the RNP and does not use the Cheeger's (1999) metric differentiation theory. The class includes the infinite diamond and both Laakso (2000) spaces. We also show that for each of these structures there is a non-RNP Banach space which does not admit its bilipschitz embedding. We prove that a dual Banach space does not have the RNP if and only if it admits a bilipschitz embedding of the infinite dia…
A vector-valued version of the Girsanov theorem is presented, for a scalar process with respect to a Banach-valued measure. Previously, a short discussion about the Birkhoff-type integration is outlined, as for example integration by substitution, in order to fix the measure-theoretic tools needed for the main result, Theorem 6, where a martingale equivalent to the underlying vector probability has been obtained in order to represent the modified process as a martingale with the same marginals as the original one.
Brownian motions, martingales, and Wiener processes are introduced and studied for set valued functions taking values in the subfamily of compact convex subsets of arbitrary Banach space $X$. The present paper is an application of one the paper of the second author in which an embedding result is obtained which considers also the ordered structure of $ck(X)$ and f-algebras.
In this paper, we establish $\mathcal B$-valued variational inequalities for differential operators, ergodic averages and symmetric diffusion semigroups under the condition that Banach space $\mathcal B$ has martingale cotype property. These results generalize, on the one hand Pisier and Xu's result on the variational inequalities for $\mathcal B$-valued martingales, on the other hand many classical variational inequalities in harmonic analysis and ergodic theory. Moreover, we show that Rademacher cotype $q$ is necessary for the $\mathcal B$-valued $q$-variational inequalities. As applications…
Jump inequalities are the $r=2$ endpoint of Lépingle's inequality for $r$-variation of martingales. Extending earlier work by Pisier and Xu we interpret these inequalities in terms of Banach spaces which are real interpolation spaces. This interpretation is used to prove endpoint jump estimates for vector-valued martingales and doubly stochastic operators as well as to pass via sampling from $\mathbb{R}^{d}$ to $\mathbb{Z}^{d}$ for jump estimates for Fourier multipliers.
Let $\mathcal{M}$ be a semifinite von Nemann algebra equipped with an increasing filtration $(\mathcal{M}_n)_{n\geq 1}$ of (semifinite) von Neumann subalgebras of $\M$. For $0<p \leq\infty$, let $\h_p^c(\mathcal{M})$ denote the noncommutative column conditioned martingale Hardy space associated with the filtration $(\mathcal{M}_n)_{n\geq 1}$ and the index $p$. We prove that for $0<p<\infty$, the compatible couple $\big(\h_p^c(\mathcal{M}), \h_\infty^c(\mathcal{M})\big)$ is $K$-closed in the couple $\big(L_p(\mathcal{N}), L_\infty(\mathcal{N}) \big)$ for an appropriate amplified semifinite von …
We prove variation and oscillation $L^p$-inequalities associated with fractional derivatives of certain semigroups of operators and with the family of truncations of Riesz transforms in the inverse Gaussian setting. We also study these variational $L^p$-inequalities in a Banach-valued context by considering Banach spaces with the UMD-property and whose martingale cotype is fewer than the variational exponent. We establish $L^p$-boundedness properties for weighted difference involving the semigroups under consideration.
We introduce asymptotic analogues of the Rademacher and martingale type and cotype of Banach spaces and operators acting on them. Some classical local theory results related, for example, to the `automatic-type' phenomenon, the type-cotype duality, or the Maurey-Pisier theorem, are extended to the asymptotic setting. We also investigate operator ideals corresponding to the asymptotic subtype/subcotype. As an application of this theory, we provide a sharp version of a result of Brooker and Lancien by showing that any twisted sum of Banach spaces with Szlenk power types $p$ and $q$ has Szlenk po…
We develop a generalized Littlewood-Paley theory for semigroups acting on $L^p$-spaces of functions with values in uniformly convex or smooth Banach spaces. We characterize, in the vector-valued setting, the validity of the one-sided inequalities concerning the generalized Littlewood-Paley-Stein $g$-function associated with a subordinated Poisson symmetric diffusion semigroup by the martingale cotype and type properties of the underlying Banach space. We show that in the case of the usual Poisson semigroup and the Poisson semigroup subordinated to the Ornstein-Uhlenbeck semigroup on ${\mathbb …
Let $\mathcal{M}$ be a semifinite von Nemann algebra equipped with an increasing filtration $(\mathcal{M}_n)_{n\geq 1}$ of (semifinite) von Neumann subalgebras of $\mathcal{M}$. For $0<p <\infty$, let $\mathsf{h}_p^c(\mathcal{M})$ denote the noncommutative column conditioned martingale Hardy space and $\bmo^c(\M)$ denote the column \lq\lq little\rq\rq \ martingale BMO space associated with the filtration $(\mathcal{M}_n)_{n\geq 1}$. We prove the following real interpolation identity: if $0<p <\infty$ and $0<θ<1$, then for $1/r=(1-θ)/p$, \[ \big(\mathsf{h}_p^c(\mathcal{M}), \bmo^c(\mathcal{M})\…
For each ordinal $ξ$ and each $1\leqslant q<\infty$, we define the notion of $ξ$-$q$-summable Szlenk index. When $ξ=0$ and $q=1$, this recovers the usual notion of summable Szlenk index. We define for an arbitrary weak$^*$-compact set a transfinite, asymptotic analogue $α_{ξ,p}$ of the martingale type norm of an operator. We prove that this quantity is determined by norming sets and determines $ξ$-Szlenk power type and $ξ$-$q$-summability of Szlenk index. This fact allows us to prove that the behavior of operators under the $α_{ξ,p}$ seminorms passes in the strongest way to injective tensor pr…
Let $E$ be a Banach space such that $E'$ has the Radon-Nikodým property. The aim of this work is to connect relative weak compactness in the $E$-valued martingale Hardy space $H^{1}(μ,E)$ to a convex compactness criterion in a weaker topology, such as the topology of uniform convergence on compacts in measure. These results represent a dynamic version of the deep result of Diestel, Ruess, and Schachermayer on relative weak compactness in $L^{1}(μ,E)$. In the reflexive case, we obtain a Kadec-Pełczyński dichotomy for $H^{1}(μ,E)$-bounded sequences, which decomposes a subsequence into a relative…
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 studies a new maximal operator introduced by Hytönen, McIntosh and Portal in 2008 for functions taking values in a Banach space. The L^p-boundedness of this operator depends on the range space; certain requirements on type and cotype are present for instance. The original Euclidean definition of the maximal function is generalized to sigma-finite measure spaces with filtrations and the L^p-boundedness is shown not to depend on the underlying measure space or the filtration. Martingale techniques are applied to prove that a weak type inequality is sufficient for L^p-boundedness and a…
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…
We prove a new Burkholder-Rosenthal type inequality for discrete-time processes taking values in a 2-smooth Banach space. As a first application we prove that if $(S(t,s))_{0\leq s\leq T}$ is a $C_0$-evolution family of contractions on a $2$-smooth Banach space $X$ and $(W_t)_{t\in [0,T]}$ is a cylindrical Brownian motion on a probability space $(Ω,P)$, then for every $0<p<\infty$ there exists a constant $C_{p,X}$ such that for all progressively measurable processes $g: [0,T]\times Ω\to X$ the process $(\int_0^t S(t,s)g_sdW_s)_{t\in [0,T]}$ has a continuous modification and $$E\sup_{t\in [0,T]…
We prove that for every Banach space $Y$, the Besov spaces of functions from the $n$-dimensional Euclidean space to $Y$ agree with suitable local approximation spaces with equivalent norms. In addition, we prove that the Sobolev spaces of type $q$ are continuously embedded in the Besov spaces of the same type if and only if $Y$ has martingale cotype $q$. We interpret this as an extension of earlier results of Xu (1998), and Martínez, Torrea and Xu (2006). These two results combined give the characterization that $Y$ admits an equivalent norm with modulus of convexity of power type $q$ if and o…
Best constants in the vector-valued Littlewood-Paley-Stein theory
Institute for Advanced Study in Mathematics, Harbin Institute of Technology（哈尔滨工业大学数学高等研究院）；Laboratoire de Mathématiques, Université de Bourgogne Franche-Comté（勃艮第弗朗什-孔泰大学数学实验室）；Department of Mathematics, University of Illinois Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校数学系）
