We develop a new approach to prove multiplier theorems in various geometric settings. The main idea is to use martingale transforms and a Gundy-Varopoulos representation for multipliers defined via a suitable extension procedure. Along the way, we provide a probabilistic proof of a generalization of a result by Stinga and Torrea, which is of independent interest. Our methods here also recover the sharp $L^p$ bounds for second order Riesz transforms by a liming argument.
We give a class of Fourier multipliers with non-symmetric symbols and explicit norm bounds on $L^p$ spaces by using the stochastic calculus of Lévy processes and Burkholder-Wang estimates for differentially subordinate martingales.
Using the argument of Geiss, Montgomery-Smith and Saksman \cite{GMSS}, and a new martingale inequality, the $L^p$--norms of certain Fourier multipliers in $\R^d$, $d\geq 2$, are identified. These include, among others, the second order Riesz transforms $R_j^2$, $j=1, 2,..., d$, and some of the Lévy multipliers studied in \cite{BBB}, \cite{BB}
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.
We study stability estimates for the almost extremal functions associated with the $L^p$-bound for the real and imaginary parts of the Beurling-Ahlfors operator. The proof exploits probabilistic methods and rests on analogous results for differentially subordinate martingales which are of independent interest. This allows us to obtain stability inequalities for a larger class of Fourier multipliers.
We introduce generalized Campanato spaces $\mathcal{L}_{p,ϕ}$ on a probability space $(Ω,\mathcal{F},P)$, where $p\in[1,\infty)$ and $ϕ:(0,1]\to(0,\infty)$. If $p=1$ and $ϕ\equiv1$, then $\mathcal{L}_{p,ϕ}=\mathrm{BMO}$. We give a characterization of the set of all pointwise multipliers on $\mathcal{L}_{p,ϕ}$.
In this paper we show sharp lower bounds for norms of even homogeneous Fourier multipliers in $\mathcal L(L^p(\mathbb R^d; X))$ for $1<p<\infty$ and for a UMD Banach space $X$ in terms of the range of the corresponding symbol. For example, if the range contains $a_1,\ldots,a_N \in \mathbb C$, then the norm of the multiplier exceeds $\|a_1R_1^2 + \cdots + a_NR_N^2\|_{\mathcal L(L^p(\mathbb R^N; X))}$, where $R_n$ is the corresponding Riesz transform. We also provide sharp upper bounds of norms of Bañuelos-Bogdan type multipliers in terms of the range of the functions involved. The main tools th…
We use a method of rotations to study the $L^p$ boundedness, $1<p<\infty$, of Fourier multipliers which arise as the projection of martingale transforms with respect to symmetric $α$-stable processes, $0<α<2$. Our proof does not use the fact that $0<α<2$, and therefore allows us to obtain a larger class of multipliers which are bounded on $L^p$. As in the case of the multipliers which arise as the projection of martingale transforms, these new multipliers also have potential applications to the study of the $L^p$ boundedness of the Beurling-Ahlfors transform.
We exhibit a large class of symbols $m$ on $\R^d$, $d\geq 2$, for which the corresponding Fourier multipliers $T_m$ satisfy the following inequality. If $D$, $E$ are measurable subsets of $\R^d$ with $E\subseteq D$ and $|D|<\infty$, then $$ \int_{D\setminus E} |T_{m}χ_E(x)|\mbox{d}x\leq \begin{cases} |E|+|E|\ln\left(\frac{|D|}{2|E|}\right), & \mbox{if}|E|<|D|/2, |D\setminus E|+\frac{1}{2}|D \setminus E|\ln \left(\frac{|E|}{|D\setminus E|}\right), & \mbox{if}|E|\geq |D|/2. \end{cases}. $$ Here $|\cdot|$ denotes the Lebesgue measure on $\bR^d$. When $d=2$, these multipliers include the real and …
This paper constructs a class of martingale transforms based on Lévy processes on Lie groups. From these, a natural class of bounded linear operators on the $L^p$-spaces of the group (with respect to Haar measure) for $1<p<\infty$, are derived. On compact groups these operators yield Fourier multipliers (in the Peter-Weyl sense) which include the second order Riesz transforms, imaginary powers of the Laplacian, and new classes of multipliers obtained by taking the Lévy process to have conjugate invariant laws. Multipliers associated to subordination of the Brownian motion on the group are spec…
We study Fourier multipliers which result from modulating jumps of Lévy processes. Using the theory of martingale transforms we prove that these operators are bounded in $L^p(\Rd)$ for $1<p<\infty$ and we obtain the same explicit bound for their norm as the one known for the second order Riesz transforms.
In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale and martingale transform by means of martingale differences in the terms of moments and tails of distributions of summands and multipliers. We show also the exactness of obtained estimations and consider some applications in the theory of limit theorem for Banach space valued martingales.
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 imaginary) part of the Beurling-Ahlfors singular integral operator, acting on the X-valued L^p-space on the plane. Moreover, replacing equality by a linear equivalence, this is found to be the typical property of even multipliers. A corresponding result for odd multipliers and the Hilbert transform is given.
This paper proves the $L^p$ boundedness of generalized first order Riesz transforms obtained as conditional expectations of martingale transforms à la Gundy-Varopoulos for quite general diffusions on manifolds and vector bundles. Several specific examples and applications are presented: Lie groups of compact type, the Heisenberg group, SU(2), and Riesz transforms on forms and spinors.
We prove new sharp $L^p$, logarithmic, and weak-type inequalities for martingales under the assumption of differentially subordination. The $L^p$ estimates are "Fyenman-Kac" type versions of Burkholder's celebrated martingale transform inequalities. From the martingale $L^p$ inequalities we obtain that Riesz transforms on manifolds of nonnegative Bakry-Emery Ricci curvature have exactly the same $L^p$ bounds as those known for Riesz transforms in the flat case of $\R^n$. From the martingale logarithmic and weak-type inequalities we obtain similar inequalities for Riesz transforms on compact Li…
We prove the boundedness on $L^p$, $1<p<\infty$, of operators on manifolds which arise by taking conditional expectation of transformations of stochastic integrals. These operators include various classical operators such as second order Riesz transforms and operators of Laplace transform-type.
We prove that a large class of operators, which arise as the projections of martingale transforms of stochastic integrals with respect to Brownian motion, as well as other closely related operators, are in fact Calderón--Zygmund operators. Consequently, such operators are not only bounded on $L^p$, $1<p<\infty$, but also satisfy weak-type inequalities. Unlike the boundedness on $L^p,$ which can be obtained directly from the Burkholder martingale transform inequalities, the weak-type estimates do not follow from the corresponding martingale results.
Let $(\mathcal{F}_n)_{n\ge 0}$ be the standard dyadic filtration on $[0,1]$. Let $\mathbb{E}_{\mathcal{F}_n}$ be the conditional expectation from $ L_1=L_1[0,1]$ onto $\mathcal{F} _n$, $n\ge 0$, and let $\mathbb{E}_{\mathcal{F} _{-1}} =0$. We present the sharp estimate for the distribution function of the martingale transform $T$ defined by \begin{align*} Tf=\sum_{m=0}^\infty \left( \mathbb{E}_{\mathcal{F}_{2m}} f-\mathbb{E}_{\mathcal{F}_{2m-1}}f \right), ~f\in L_1, \end{align*} in terms of the classical Calderón operator. As an application, for a given symmetric function space $E$ on $[0,1]$,…
We describe the class of functions $f: R^n\to R^m$ which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional equation.
We give a representation of the fractional integral for symmetric Markovian semigroups as the projection of martingale transforms and prove the Hardy-Littlewood-Sobolev(HLS) inequality based on this representation. The proof rests on a new inequality for a fractional Littlewood-Paley $g$-function.
The Fock transform recently introduced by the authors in a previous paper is applied to investigate convergence of generalized functional sequences of a discrete-time normal martingale $M$. A necessary and sufficient condition in terms of the Fock transform is obtained for such a sequence to be strong convergent. A type of generalized martingales associated with $M$ are introduced and their convergence theorems are established. Some applications are also shown.
In this paper, we aim at characterizing generalized functionals of discrete-time normal martingales. Let $M=(M_n)_{n\in \mathbb{N}}$ be a discrete-time normal martingale that has the chaotic representation property. We first construct testing and generalized functionals of $M$ with an appropriate orthonormal basis for $M$'s square integrable functionals. Then we introduce a transform, called the Fock transform, for these functionals and characterize them via the transform. Several characterization theorems are established. Finally we give some applications of these characterization theorems. O…
Let $\{d_k\}_{k \geq 0}$ be a complex martingale difference in $L^p[0,1],$ where $1<p<\infty,$ and $\{\e_k\}_{k \geq 0}$ a sequence in $\{\pm 1\}.$ We obtain the following generalization of Burkholder's famous result. If $τ\in [-\frac 12, \frac 12]$ and $n \in \Z_+$ then $$|\sum_{k=0}^n{(\{c} \e_k τ) d_k}|_{L^p([0,1], \C^2)} \leq ((p^*-1)^2 + τ^2)^{\frac 12}|\sum_{k=0}^n{d_k}|_{L^p([0,1], \C)},$$ where $((p^*-1)^2 + τ^2)^{\frac 12}$ is sharp and $p^*-1 = \max\{p-1, \frac 1{p-1}\}.$ For $2\leq p<\infty$ the result is also true with sharp constant for $τ\in \R.$
We establish a new scale of $p$-variation estimates for martingale paraproducts, martingale transforms, and Itô integrals, of relevance in rough paths theory, stochastic, and harmonic analysis. As an application, we introduce rough semimartingales, a common generalization of classical semimartingales and (controlled) rough paths, and their integration theory.
We study strict local martingales via h-transforms, a method which first appeared in Delbaen-Schachermayer. We show that strict local martingales arise whenever there is a consistent family of change of measures where the two measures are not equivalent to one another. Several old and new strict local martingales are identified. We treat examples of diffusions with various boundary behavior, size-bias sampling of diffusion paths, and non-colliding diffusions. A multidimensional generalization to conformal strict local martingales is achieved through Kelvin transform. As curious examples of non…
In this paper we introduce a variant of Burkholder's martingale transform associated with two martingales with respect to different filtrations. Even though the classical martingale techniques cannot be applied, we show that the discussed transformation still satisfies some expected $\mathrm{L}^p$ estimates. Then we apply the obtained inequalities to general-dilation twisted paraproducts, particular instances of which have already appeared in the literature. As another application we construct stochastic integrals $\int_{0}^{t}H_s d(X_s Y_s)$ associated with certain continuous-time martingales…
We establish a central limit theorem for (a sequence of) multivariate martingales which dimension potentially grows with the length $n$ of the martingale. A consequence of the results are Gaussian couplings and a multiplier bootstrap for the maximum of a multivariate martingale whose dimensionality $d$ can be as large as $e^{n^c}$ for some $c>0$. We also develop new anti-concentration bounds for the maximum component of a high-dimensional Gaussian vector, which we believe is of independent interest. The results are applicable to a variety of settings. We fully develop its use to the estimation…
We compute and discuss the Esscher martingale transform for exponential processes, the Esscher martingale transform for linear processes, the minimal martingale measure, the class of structure preserving martingale measures, and the minimum entropy martingale measure for stochastic volatility models of Ornstein-Uhlenbeck type as introduced by Barndorff-Nielsen and Shephard. We show, that in the model with leverage, with jumps both in the volatility and in the returns, all those measures are different, whereas in the model without leverage, with jumps in the volatility only and a continuous ret…
We prove a central limit theorem for a random field generated by d commuting probability preserving transformations; the martingale is given by a commuting filtration (cf. D. Khosnevisan, Multiparameter Processes, Springer 2002). The result has been known for Bernoulli random fields. Here, only ergodicity of one of generating transformations is supposed.
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…
Following the ideas of A. Lerner, F. Nazarov, S. Ombrosi from [12] we prove that there is a sequence of weights $w\in A^d_1$ such that $[w]^d_{A_1}\to \infty$, and martingale transforms $T$ such that with an absolute positive $c$ $\|T: L^1(w) \to L^{1, \infty}(w)\| \ge c [w]^d_{A_1}\log [w]^d_{A_1}$. We also show the existence of the sequence of weights (now in $A_2$) such that $[w]^d_{A_2}\to \infty$, and such that the following holds: $[w]_{A_2^d}\asymp \|M^d\|_{w^{-1}}^2$; $\|S_{w}: L^{2} (w) \to L^2(w^{-1})\| \ge c\, \|M^d\|_{w^{-1}}\sqrt{\log \|M^d\|_{w^{-1}}}$; $\|S_{w}: L^{2,1} (w) \to …
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state space. The key step is to prove the martingale property of an exponential local martingale, using the well-posedness of the associated martingale problem. By analytic extension we obtain the affine transform formula for complex exponentials, in particular for the characteristic function. Our results apply to a wide class of affine processes, including those…
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 investigate the almost sure asymptotic properties of vector martingale transforms. Assuming some appropriate regularity conditions both on the increasing process and on the moments of the martingale, we prove that normalized moments of any even order converge in the almost sure cental limit theorem for martingales. A conjecture about almost sure upper bounds under wider hypotheses is formulated. The theoretical results are supported by examples borrowed from statistical applications, including linear autoregressive models and branching processes with immigration, for which new asymptotic pr…
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the transform. The new exponential process is often merely a supermartingale even in cases where the original process is a martingale. We determine a necessary and sufficient condition for the transform to be a martingale process. The condition links expected values of the transformed stochastic exponential to the distribution function of certain time-integrals.
We prove a central limit theorem for stationary multiple (random) fields of martingale differences $f\circ T_{\underline{i}}$, $\underline{i}\in \Bbb Z^d$, where $T_{\underline{i}}$ is a $\Bbb Z^d$ action. In most cases the multiple (random) fields of martingale differences is given by a completely commuting filtration. A central limit theorem proving convergence to a normal law has been known for Bernoulli random fields and in [V15] this result was extended to random fields where one of generating transformations is ergodic. In the present paper it is proved that a convergence takes place alw…
