We prove an atomic type decomposition for the noncommutative martingale Hardy space $\h_p$ for all $0<p<2$ by an explicit constructive method using algebraic atoms as building blocks. Using this elementary construction, we obtain a weak form of the atomic decomposition of $\h_p$ for all $0< p < 1,$ and provide a constructive proof of the atomic decomposition for $p=1$. We also study $(p,\8)_c$-atoms, and show that every $(p,2)_c$-atom can be decomposed into a sum of $(p,\8)_c$-atoms; consequently, for every $0<p\le 1$, the $(p,q)_c$-atoms lead to the same atomic space for all $2\le q\le\8$. As applications, we obtain a characterization of the dual space of the noncommutative martingale Hardy space $\h_p$ ($0<p<1$) as a noncommutative Lipschitz space via the weak form of the atomic decomposition. Our constructive method can also be applied to proving some sharp martingale inequalities.
We prove Kolmogorov's law of the iterated logarithm for noncommutative martingales. The commutative case was due to Stout. The key ingredient is an exponential inequality proved recently by Junge and the author.
We prove a deviation inequality for noncommutative martingales by extending Oliveira's argument for random matrices. By integration we obtain a Burkholder type inequality with satisfactory constant. Using continuous time, we establish noncommutative Poincaré type inequalities for "nice" semigroups with a positive curvature condition. These results allow us to prove a general deviation inequality and a noncommutative transportation inequality due to Bobkov and Götze in the commutative case. To demonstrate our setting is general enough, we give various examples, including certain group von Neuma…
We show the dual spaces of conditional Hardy space and symmetric Hardy space of noncommutative martingales. We derive relationship between the symmetric Hardy space of noncommutative martingales and its conditioned version.
We prove a weak-type (1, 1) inequality involving conditioned versions of square functions for martingales in noncommutative $L^p$-spaces associated with finite von Neumann algebras. As application, we determine the optimal orders for the best constants in the noncommutative Burkholder/Rosenthal inequalities from [Ann. Probab. 31 (2003) 948--995]. We also discuss BMO-norms of sums of noncommuting order-independent operators.
We prove that atomic decomposition for the Hardy spaces h_1 and H_1 is valid for noncommutative martingales. We also establish that the conditioned Hardy spaces of noncommutative martingales h_p and bmo form interpolation scales with respect to both complex and real interpolations.
We report recent advances on noncommutative martingale inequalities associated with convex functions. These include noncommutative Burkholder-Gundy inequalities associated with convex functions due to the present authors and Dirksen and Ricard, noncommutative maximal inequalities associated with convex functions due to Osȩkowski and the present authors, and noncommutative Burkholder and Junge-Xu inequalities associated with convex functions due to Randrianantoanina and Lian Wu. Some open problems for noncommutative martingales are also included.
This paper is devoted to the study of $Φ$-moment inequalities for noncommutative martingales. In particular, we prove the noncommutative $Φ$-moment analogues of martingale transformations, Stein's inequalities, Khintchine's inequalities for Rademacher's random variables, and Burkholder-Gundy's inequalities. The key ingredient is a noncommutative version of Marcinkiewicz type interpolation theorem for Orlicz spaces which we establish in this paper.
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 this latter result to the case 1<p<2.
We prove inequalities involving noncommutative differentially subordinate martingales. More precisely, we prove that if $x$ is a self-adjoint noncommutative martingale and $y$ is weakly differentially subordinate to $x$ then $y$ admits a decomposition $dy=a +b +c$ (resp. $dy=z +w$) where $a$, $b$, and $c$ are adapted sequences (resp. $z$ and $w$ are martingale difference sequences) such that: $$ \Big\| (a_n)_{n\geq 1}\Big\|_{L_{1,\infty}({\mathcal M}\overline{\otimes}\ell_\infty)} +\Big\| \Big(\sum_{n\geq 1} \mathcal{E}_{n-1}|b_n|^2 \Big)^{{1}/{2}}\Big\|_{1, \infty} + \Big\| \Big(\sum_{n\geq 1…
We provide generalizations of Burkholder's inequalities involving conditioned square functions of martingales to the general context of martingales in noncommutative symmetric spaces. More precisely, we prove that Burkholder's inequalities are valid for any martingale in noncommutative space constructed from a symmetric space defined on the interval $(0,\infty)$ with Fatou property and whose Boyd indices are strictly between 1 and 2. This answers positively a question raised by Jiao and may be viewed as a conditioned version of similar inequalities for square functions of noncommutative martin…
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…
We establish a noncommutative Blackwell--Ross inequality for supermartingales under a suitable condition which generalize Khan's works to the noncommutative setting. We then employ it to deduce an Azuma-type inequality.
In this paper we prove the existence of conditional expectations in the noncommutative $L_p(M,Φ)$ spaces associated with center-valued traces. Moreover, their description is also provided. As an application of the obtained results, we establish the norm convergence of the martingales in noncommutative $L_p(M,Φ)$ spaces.
The purpose of the paper is to establish weighted maximal $L_p$-inequalities in the context of operator-valued martingales on semifinite von Neumann algebras. The main emphasis is put on the optimal dependence of the $L_p$ constants on the characteristic of the weight involved. As applications, we establish weighted estimates for the noncommutative version of Hardy-Littlewood maximal operator and weighted bounds for noncommutative maximal truncations of a wide class of singular integrals.
In this paper, we study the John-Nirenberg inequality for BMO and the atomic decomposition for H1 of noncommutative martingales. We first establish a crude version of the column (resp. row) John-Nirenberg inequality for all 0 < p < \infty. By an extreme point property of Lp -space for 0 < p \leq 1, we then obtain a fine version of this in equality. The latter corresponds exactly to the classical John-Nirenberg inequality and enables us to obtain an exponential integrability inequality like in the classical case. These results extend and improve Junge and Musat's John-Nirenberg inequality. By d…
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})\…
Let $\M$ be a hyperfinite finite von Nemann algebra and $(\M_k)_{k\geq 1}$ be an increasing filtration of finite dimensional von Neumann subalgebras of $\M$. We investigate abstract fractional integrals associated to the filtration $(\M_k)_{k\geq 1}$. For a finite noncommutative martingale $x=(x_k)_{1\leq k\leq n} \subseteq L_1(\M)$ adapted to $(\M_k)_{k\geq 1}$ and $0<α<1$, the fractional integral of $x$ of order $α$ is defined by setting: $$I^αx = \sum_{k=1}^n ζ_k^α dx_k$$ for an appropriate sequence of scalars $(ζ_k)_{k\geq 1}$. For the case of noncommutative dyadic martingale in $L_1(\R)$ …
We prove the noncommutative Davis decomposition for the column Hardy space $\H_p^c$ for all $0<p\leq 1$. A new feature of our Davis decomposition is a simultaneous control of $\H_1^c$ and $\H_q^c$ norms for any noncommutative martingale in $\H_1^c \cap \H_q^c$ when $q\geq 2$. As applications, we show that the Burkholder/Rosenthal inequality holds for bounded martingales in a noncommutative symmetric space associated with a function space $E$ that is either an interpolation of the couple $(L_p, L_2)$ for some $1<p<2$ or is an interpolation of the couple $(L_2, L_q)$ for some $2<q<\infty$. We al…
We consider the reduction of problems on general noncommutative $L_p$-spaces to the corresponding ones on those associated with finite von Neumann algebras. The main tool is a unpublished result of the first named author which approximates any noncommutative $L_p$-space by tracial ones. We show that under some natural conditions a map between two von Neumann algebras extends to their crossed products by a locally compact abelian group or to their noncommutative $L_p$-spaces. We present applications of these results to the theory of noncommutative martingale inequalities by reducing most recent…
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 present a new, elementary proof of Boyd's interpolation theorem. Our approach naturally yields a noncommutative version of this result and even allows for the interpolation of certain operators on l^1-valued noncommutative symmetric spaces. By duality we may interpolate several well-known noncommutative maximal inequalities. In particular we obtain a version of Doob's maximal inequality and the dual Doob inequality for noncommutative symmetric spaces. We apply our results to prove the Burkholder-Davis-Gundy and Burkholder-Rosenthal inequalities for noncommutative martingales in these spaces…
Let $\mathcal{M}$ be a von Neumann algebra equipped with a faithful semifinite normal weight $ϕ$ and $\mathcal{N}$ be a von Neumann subalgebra of $\mathcal{M}$ such that the restriction of $ϕ$ to $\mathcal{N}$ is semifinite and such that $\mathcal{N}$ is invariant by the modular group of $ϕ$. Let $\mathcal{E}$ be the weight preserving conditional expectation from $\mathcal{M}$ onto $\mathcal{N}$. We prove the following inequality: \[\|x\|_p^2\ge\bigl \|\mathcal{E}(x)\bigr\|_p^2+(p-1)\bigl\|x-\mathcal{E}(x)\bigr\|_p^2, \qquad x\in L_p(\mathcal{M}),1<p\le2,\] which extends the celebrated Ball-Ca…
A noncommutative Kunita-Watanabe-type representation theorem is established for the martingales of quasifree states of CCR algebras. To this end the basic theory of quasifree stochastic integrals is developed using the abstract Itô integral in symmetric Fock space, whose interaction with the operators of Tomita-Takesaki theory we describe. Our results extend earlier quasifree martingale representation theorems in two ways: the states are no longer assumed to be gauge-invariant, and the multiplicity space may now be infinite-dimensional. The former involves systematic exploitation of Araki's Du…
We show that for a quantum $L^p$-martingale $(X(t))$, $p>2$, there exists a Doob-Meyer decomposition of the submartingale $(|X(t)|^2)$. A noncommutative counterpart of a classical process continuous with probability one is introduced, and a quantum stochastic integral of such a process with respect to an $L^p$-martingale, $p>2$, is constructed. Using this construction, the uniqueness of the Doob-Meyer decomposition for a quantum martingale `continuous with probability one' is proved, and explicit forms of this decomposition and the quadratic variation process for such a martingale are obtained…
We prove noncommutative Khintchine inequalities for all interpolation spaces between $L_p$ and $L_2$ with $p<2$. In particular, it follows that Khintchine inequalities hold in $L_{1,\infty}$. Using a similar method, we find a new deterministic equivalent for the $RC$-norm in all interpolation spaces between $L_p$-spaces which unifies the cases $p > 2$ and $p < 2$. It produces a new proof of Khintchine inequalities for $p<1$ for free variables. To complete the picture, we exhibit counter-examples which show that neither of the usual closed formulas for Khintchine inequalities can work in $L_{2,…
Let $\mathcal{M}$ be a $σ$-finite von Neumann algebra equipped with a normal faithful state $φ$, and let $Φ$ be a growth function. We consider Haagerup noncommutative Orlicz spaces $L^Φ(\M,φ)$ associated with $\M$ and $φ$, which are analogues of Haagerup $L^p$-spaces. We show that $L^Φ(\M,φ)$ is independent of $φ$ up to isometric isomorphism. We prove the Haagerup's reduction theorem and the duality theorem for this spaces. As application of these results, we extend some noncommutative martingale inequalities in the tracial case to the Haagerup noncommutative Orlicz space case.
We introduce Hardy spaces for martingales with respect to continuous filtration for von Neumann algebras. In particular we prove the analogues of the Burkholder/Gundy and Burkholder/Rosenthal inequalities in this setting. The usual arguments using stopping times in the commutative case are replaced by tools from noncommutative function theory and allow us to obtain the analogue of the Feffermann-Stein duality and prove a noncommutative Davis decomposition.
Let $f_1, f_2, ..., f_n$ be a family of independent copies of a given random variable f in a probability space $(Ω, \mathcal{F}, μ)$. Then, the following equivalence of norms holds whenever $1 \le q \le p < \infty$ $$\Big(\int_Ω \Big[ \sum_{k=1}^n |f_k|^q \Big]^{\frac{p}{q}} d μ\Big)^{\frac1p} \sim \max_{r \in \{p,q\}} {n^{\frac1r} \Big(\int_Ω|f|^r dμ\Big)^{\frac1r}}.$$ We prove a noncommutative analogue of this inequality for sums of free random variables over a given von Neumann subalgebra. This formulation leads to new classes of noncommutative function spaces which appear in quantum probab…
Calderón-Zygmund operators with noncommuting kernels may fail to be Lp-bounded for $p \neq 2$, even for kernels with good size and smoothness properties. Matrix-valued paraproducts, Fourier multipliers on group vNa's or noncommutative martingale transforms are frameworks where we find such difficulties. We obtain weak type estimates for perfect dyadic CZO's and cancellative Haar shifts associated to noncommuting kernels in terms of a row/column decomposition of the function. Arbitrary CZO's satisfy $H_1 \to L_1$ type estimates. In conjunction with $L_\infty \to BMO$, we get certain row/column …
In this paper we investigate asymmetric forms of Doob maximal inequality. The asymmetry is imposed by noncommutativity. Let $(\M,τ)$ be a noncommutative probability space equipped with a weak-$*$ dense filtration of von Neumann subalgebras $(\M_n)_{n \ge 1}$. Let $\E_n$ denote the corresponding family of conditional expectations. As an illustration for an asymmetric result, we prove that for $1 < p < 2$ and $x \in L_p(\M,τ)$ one can find $a, b \in L_p(\M,τ)$ and contractions $u_n, v_n \in \M$ such that $$\E_n(x) = a u_n + v_n b \quad \mbox{and} \quad \max \big\{ \|a\|_p, \|b\|_p \big\} \le c_p…
This is a survey article of geometric properties of noncommutative symmetric spaces of measurable operators $E(\mathcal{M},τ)$, where $\mathcal{M}$ is a semifinite von Neumann algebra with a faithful, normal, semifinite trace $τ$, and $E$ is a symmetric function space. If $E\subset c_0$ is a symmetric sequence space then the analogous properties in the unitary matrix ideals $C_E$ are also presented. In the preliminaries we provide basic definitions and concepts illustrated by some examples and occasional proofs. In particular we list and discuss the properties of general singular value functio…
