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 method to build the noncommutative and classical probabilistic inequalities in an entirely operator theoretic way.
This paper is devoted to the study of noncommutative weak Orlicz spaces and martingale inequalities. Marcinkiewicz interpolation theorem is extended to include noncommutative weak Orlicz spaces as interpolation classes. In particular, we prove the weak type $Φ$-moment Burkholder-Gundy inequality for noncommutative martingales through establishing a weak type $Φ$-moment noncommutative Khintchine's inequality for Rademacher's random variables.
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 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 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 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.
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.
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.
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 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 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…
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…
Given a probability space $(Ω,Σ,μ)$, the Hardy space $\mathrm{H}_1(Ω)$ which is associated to the martingale square function does not admit a classical atomic decomposition when the underlying filtration is not regular. In this paper we construct a decomposition of $\mathrm{H}_1(Ω)$ into "atomic blocks"${}$ in the spirit of Tolsa, which we will introduce for martingales. We provide three proofs of this result. Only the first one also applies to noncommutative martingales, the main target of this paper. The other proofs emphasize alternative approaches for commutative martingales. One might be …
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})\…
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 …
Denote by $M_n$ the algebra of $n\times n$ matrices. We consider the dyadic paraproducts $π_b$ associated with $M_n$ valued functions $b$, and show that the $L^\infty (M_n)$ norm of $b$ does not dominate $||π_b||_{L^2(\ell _n^2)\to L^2(\ell_n^2)}$ uniformly over $n$. We also consider paraproducts associated with noncommutative martingales and prove that their boundedness on bounded noncommutative $L^p-$% martingale spaces implies their boundedness on bounded noncommutative $L^q-$% martingale spaces for all $1<p<q<\infty $.
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 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…
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 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…
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,…
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 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.
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 …
Our first result is a noncommutative form of Jessen/Marcinkiewicz/Zygmund theorem for the maximal limit of multiparametric martingales or ergodic means. It implies bilateral almost uniform convergence with initial data in the expected Orlicz spaces. A key ingredient is the introduction of the $L_p$-norm of the $\limsup$ of a sequence of operators as a localized version of a $\ell_\infty/c_0$-valued $L_p$-space. In particular, our main result gives a strong $L_1$-estimate for the $\limsup$, as opposed to the usual weak $L_{1,\infty}$-estimate for the $\sup$. Let $\mathcal{L} \mathbf{F}_2$ denot…
This paper is devoted to the study of operator-valued Hardy spaces via wavelet method. This approach is parallel to that in noncommutative martingale case. We show that our Hardy spaces defined by wavelet coincide with those introduced by Tao Mei via the usual Lusin and Littlewood-Paley square functions. As a consequence, we give an explicit complete unconditional basis of the Hardy space H1(R) when H1(R) is equipped with an appropriate operator space structure.
The present paper is devoted to the second part of our project on asymmetric maximal inequalities, where we consider martingales in continuous time. Let $(\mathcal M,τ)$ be a noncommutative probability space equipped with a continuous filtration of von Neumann subalgebras $(\mathcal M_t)_{0\leq t\leq1}$ whose union is weak-$*$ dense in $\mathcal{M}$. Let $\mathcal E_t$ denote the corresponding family of conditional expectations. As for discrete filtrations, we shall prove that for $1 < p < 2$ and $x \in L_p(\mathcal M,τ)$ one can find $a, b \in L_p(\mathcal M,τ)$ and contractions $u_t, v_t \in…
