We provide sharp bounds for the exponential moments and $p$-moments, $1\leqslant p \leqslant 2$, of the terminate distribution of a martingale whose square function is uniformly bounded by one. We introduce a Bellman function for the corresponding extremal problem and reduce it to the already known Bellman function on $\mathrm{BMO}([0,1])$. In the case of tail estimates, a similar reduction does not work exactly, so we come up with a fine supersolution that leads to sharp tail estimates.
Let $f$ be a martingale with values in a uniformly $p$-smooth Banach space and $w$ any positive weight. We show that $\mathbb{E} (f^* \cdot w) \lesssim \mathbb{E}(S_p f \cdot w^*)$, where $\cdot^*$ is the martingale maximal operator and $S_p$ is the $\ell^p$ sum of martingale increments.
For any two real-valued continuous-path martingales $X=\{X_t\}_{t\geq 0}$ and $Y=\{Y_t\}_{t\geq 0}$, with $X$ and $Y$ being orthogonal and $Y$ being differentially subordinate to $X$, we obtain sharp $L^p$ inequalities for martingales of the form $aX+bY$ with $a, b$ real numbers. The best $L^p$ constant is equal to the norm of the operator $aI+bH$ from $L^p$ to $L^p$, where $H$ is the Hilbert transform on the circle or real line. The values of these norms were found by Hollenbeck, Kalton and Verbitsky \cite{HKV}.
The space of H1 martingales is interesting because of its duality with the space of BMO martingales. It is straightforward to show that every H1 martingale is a uniformly integrable martingale. However, the converse is not true. That is to say, some uniformly integrable martingales are not H1 martingales. This brief note provides a template for systematically constructing such processes.
We prove a martingale analog of van Schaftingen's theorem and give sharp estimates on the lower Hausdorff dimension of measures in martingale shift invariant spaces. We also provide martingale analogs of trace theorems for Sobolev functions.
We investigate the properties of a discrete-time martingale $\{X_m\}_{m\in \mathbb Z_{\geq 0}}$, where all differences between adjacent random variables are limited to be not more than a constant as a promise. In this situation, it is known that the Azuma-Hoeffding inequality holds, which gives an upper bound of a probability for exceptional events. The inequality gives a simple form of the upper bound, and it has been utilized for many investigations. However, the inequality is not tight. We give an explicit expression of a tight upper bound, and we show that it and the bound obtained from th…
This paper contributes to the study of relative martingales. Specifically, for a closed random set $H$, they are processes null on $H$ which decompose as $M=m+v$, where $m$ is a càdlàg uniformly integrable martingale and, $v$ is a continuous process with integrable variations such that $v_{0}=0$ and $dv$ is carried by $H$. First, we extend this notion to stochastic processes not necessarily null on $H$, where $m$ is considered local martingale instead of a uniformly integrable martingale. Thus, we provide a general framework for the new larger class of relative martingales by presenting some s…
For a continuous ${\cal L}_2$-bounded Martingale with no intervals of constancy, starting at $0$ and having final variance $σ^2$, the expected local time at $x \in \cal{R}$ is at most $\sqrt{σ^2+x^2}-|x|$. This sharp bound is attained by Standard Brownian Motion stopped at the first exit time from the interval $(x-\sqrt{σ^2+x^2},x+\sqrt{σ^2+x^2})$. Sharp bounds for the expected maximum, maximal absolute value, maximal diameter and maximal number of upcrossings of intervals, have been established by Dubins and Schwarz (1988), Dubins, Gilat and Meilijson (2009) and by the authors (2017).
We provide a unifying interpretation of various optimal transport problems as a minimisation of a linear functional over the set of all Choquet representations of a given pair of probability measures ordered with respect to a certain convex cone of functions. This allows us to provide novel proofs of duality formulae. Among our tools is Strassen's theorem. We provide new formulations of the primal and the dual problem for martingale optimal transport employing a novel representation of the set of extreme points of probability measures in convex order on Euclidean space. We exhibit a link to un…
For a Hilbert space valued martingale $(f_n)$ and an adapted sequence of positive random variables $(w_n)$, we show the weighted Davis type inequality \[ \mathbb{E} \Bigl( |f_0| w_0 + \frac{1}{4} \sum_{n=1}^{N} \frac{|df_n|^2}{f^*_n} w_n \Bigr) \leq \mathbb{E} ( f^*_N w^*_N). \] This inequality is sharp and implies several results about the martingale square function. We also obtain a variant of this inequality for martingales with values in uniformly convex Banach spaces.
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 derive inequalities for time-discrete and time-continuous martingales that are similar to the well-known Burkholder inequalities. For the time-discrete case arbitrary martingales in $L^p(Ω)$ are treated, whereas in the time-continuous case martingales defined by Itô integrals w.r.t. a multi-dimensional Wiener process are considered. The estimates for the time-discrete martingales are related to the more general results by I. Pinelis (1994) and are proved to be sharp by a different and more elementary proof for this special setting. Further, for time-continuous martingales the presented ineq…
We give an explicit description of the law of terminal value $W$ of additive martingales in a remarkable branching stable process. We show that the right tail probability of the terminal value decays exponentially fast and the left tail probability follows that $-\log \mathbb{P}(W<x) \sim \frac{1}{2} (\log x)^2$ as $x \rightarrow 0+$. These are in sharp contrast with results in the literature such as Liu (2000, 2001) and Buraczewski (2009). We further show that the law of $W$ is self-decomposable, and therefore, possesses a unimodal density. We specify the asymptotic behavior at $0$ and at $+\…
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 $(\mathcal{F}_n)_{n\ge 0}$ 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 extend some sharp inequalities for martingale-differences to general multiplicative systems of random variables. The key ingredient in the proofs is a technique reducing the general case to the case of Rademacher random variables without change of the constants in inequalities.
We give a definitive treatment of duality for optimal consumption over the infinite horizon, in a semimartingale incomplete market satisfying no unbounded profit with bounded risk (NUPBR). Rather than base the dual domain on (local) martingale deflators, we use a class of supermartingale deflators such that deflated wealth plus cumulative deflated consumption is a supermartingale for all admissible consumption plans. This yields a strong duality, because the enlarged dual domain of processes dominated by deflators is naturally closed, without invoking its closure. In this way we automatically …
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…
Càdlàg Solutions to Backward Stochastic Dynamics featuring Oblique Subgradients and driven by Martingale Noise
Simion Stoilow Institute of Mathematics of the Romanian Academy（罗马尼亚科学院西奥多·斯泰洛尤数学研究所）；Faculty of Mathematics, ”Alexandru Ioan Cuza” University of Iaşi（雅西亚历山德鲁·约安·库扎大学数学系）；Octav Mayer Institute of Mathematics of the Romanian Academy, Iaşi branch（罗马尼亚科学院奥克塔夫·梅耶数学研究所雅西分部）
We prove explicit and sharp two-sided estimates for the transition density of the Langevin process with quadratic potential, killed outside of the position interval (0,1). The long-time asymptotics of this transition density are also obtained. In particular, this allows us to show that the killed semigroup is uniformly conditionally ergodic.
We prove the optimal rate of quantitative propagation of chaos, uniformly in time, for interacting diffusions. Our main examples are interactions governed by convex potentials and models on the torus with small interactions. We show that the distance between the $k$-particle marginal of the $n$-particle system and its limiting product measure is $O((k/n)^2)$, uniformly in time, with distance measured either by relative entropy, squared quadratic Wasserstein metric, or squared total variation. Our proof is based on an analysis of relative entropy through the BBGKY hierarchy, adapting prior work…
