We prove a weak-type (1,1) inequality for square functions of non-commutative martingales that are simultaneously bounded in $L^2$ and $L^1$. More precisely, the following non-commutative analogue of a classical result of Burkholder holds: there exists an absolute constant $K>0$ such that if $\cal{M}$ is a semi-finite von Neumann algebra and $(\cal{M}_n)^{\infty}_{n=1}$ is an increasing filtration of von Neumann subalgebras of $\cal{M}$ then for any given martingale $x=(x_n)^{\infty}_{n=1}$ that is bounded in $L^2(\cal{M})\cap L^1(\cal{M})$, adapted to $(\cal{M}_n)^{\infty}_{n=1}$, there exist two \underline{martingale difference} sequences, $a=(a_n)_{n=1}^\infty$ and $b=(b_n)_{n=1}^\infty$, with $dx_n = a_n + b_n$ for every $n\geq 1$, \[ | (\sum^\infty_{n=1} a_n^*a_n)^{{1}/{2}}|_{2} + | (\sum^\infty_{n=1} b_nb_n^*)^{1/2}|_{2} \leq 2| x |_2, \] and \[ | (\sum^\infty_{n=1} a_n^*a_n)^{{1}/{2}}|_{1,\infty} + | (\sum^\infty_{n=1} b_nb_n^*)^{1/2}|_{1,\infty} \leq K| x |_1. \] As an application, we obtain the optimal orders of growth for the constants involved in the Pisier-Xu non-commutative analogue of the classical Burkholder-Gundy inequalities.
We determine the optimal orders for the best constants in the non-commutative Burkholder-Gundy, Doob and Stein inequalities obtained recently in the non-commutative martingale theory.
The subject of this thesis is Galois correspondence for von Neumann algebras and its interplay with non-commutative probability theory. After a brief introduction to representation theory for compact groups, in particular to Peter-Weyl theorem, and to operator algebras, including von Neumann algebras, automorphism groups, crossed products and decomposition theory, we formulate first steps of a non-commutative version of probability theory and introduce non-abelian analogues of stochastic processes and martingales. The central objects are a von Neumann algebra $\Ma$ and a compact group $\Gr$ ac…
We prove that non-commutative martingale transforms are of weak type $(1,1)$. More precisely, there is an absolute constant $C$ such that if $\M$ is a semi-finite von Neumann algebra and $(\M_n)_{n=1}^\infty$ is an increasing filtration of von Neumann subalgebras of $\M$ then for any non-commutative martingale $x=(x_n)_{n=1}^\infty$ in $L^1(\M)$, adapted to $(\M_n)_{n=1}^\infty$, and any sequence of signs $(ε_n)_{n=1}^\infty$, $$\left\Vert ε_1 x_1 + \sum_{n=2}^N ε_n(x_n -x_{n-1}) \right\Vert_{1,\infty} \leq C \left\Vert x_N \right\Vert_1 $$ for $N\geq 2$. This generalizes a result of Burkholde…
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 the analogue of the classical Burkholder-Gundy inequalites for non-commutative martingales. As applications we give a characterization for an Ito-Clifford integral to be an $L^p$-martingale via its integrand, and then extend the Ito-Clifford integral theory in $L^2$, developed by Barnett, Streater and Wilde, to $L^p$ for all $1<p<\infty$. We include an appendix on the non-commutative analogue of the classical Fefferman duality between $H^1$ and $BMO$.
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 give an alternate proof of one of the inequalities proved recently for martingales (=sums of martingale differences) in a non-commutative $L_p$-space, with $1<p<\infty$, by Q. Xu and the author. This new approach is restricted to $p$ an even integer, but it yields a constant which is $O(p)$ when $p\to \infty$ and it applies to a much more general kind of sums which we call $p$-orthogonal.
We extend ideas of Garling to consider the so called Hardy martingales in a more general setting of H^p theory of compact abelian groups with ordered dual. As a consequence, we obtain a new proof of a result of Helson and Lowdenslager which generalizes Jensen's Inequality for H^1 functions.
In this paper, the classical Dellacherie's theorem about stochastic process is extended to variable exponent Lebesgue spaces. As its applications, we obtain variable exponent analogues of several famous inequalities in classical martingale theory, including convexity lemma, Burkholder-Gundy-Davis' inequality and Chevalier's inequality. Moreover, we investigate some other equivalent relations between variable exponent martingale Hardy 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 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 consider non-commutative analogue for the arithmeticgeometric mean inequality $$a^{r}b^{1-r}+(r-1)b\geq ra$$ for two positive numbers $a,b$ and $r> 1$. We show that under some assumptions the non-commutative analogue for $a^{r}b^{1-r}$ which satisfies this inequality is unique and equal to $r$-mean. The case $0<r<1$ is also considered. In particular, we give a new characterization of the geometric mean.
We present an operator version of the Callebaut inequality involving the interpolation paths and apply it to the weighted operator geometric means. We also establish a matrix version of the Callebaut inequality and as a consequence obtain an inequality including the Hadamard product of matrices.
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…
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 …
In this paper, we extend the classical Bohr's inequality to the setting of the non-commutative Hardy space $H^1$ associated with a semifinite von Neumann algebra. As a consequence, we obtain Bohr's inequality for operators in the von Neumann-Schatten class $\cl C_1$ and square matrices of any finite order. Interestingly, we establish that the optimal bound for $r$ in the above mentioned Bohr's inequality concerning von Neumann-Shcatten class is 1/3 whereas it is 1/2 in the case of $2\times 2$ matrices and reduces to $\sqrt{2}-1$ for the case of $3\times 3$ matrices. We also obtain a generaliza…
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.
Given a probability space $(Ω, \mathsf{A}, μ)$, let $\mathsf{A}_1, \mathsf{A}_2, ...$ be a filtration of $σ$-subalgebras of $\mathsf{A}$ and let $\mathsf{E}_1, \mathsf{E}_2, ...$ denote the corresponding family of conditional expectations. Given a martingale $f = (f_1, f_2, ...)$ adapted to this filtration and bounded in $L_p(Ω)$ for some $2 \le p < \infty$, Burkholder's inequality claims that $$\|f\|_{L_p(Ω)} \sim_{\mathrm{c}_p} \Big\| \Big(\sum_{k=1}^\infty \mathsf{E}_{k-1}(|df_k|^2) \Big)^{1/2} \Big\|_{L_{p}(Ω)} + \Big(\sum_{k=1}^\infty \|df_k\|_p^p \Big)^{1/p}.$$ Motivated by quantum proba…
The non-commutative Stein inequality asks whether there exists a constant $C_{p,q}$ depending only on $p, q$ such that \begin{equation*} \left\| \left(\sum_{n} |\mathcal{E}_{n} (x_n) |^{q}\right)^{\frac{1}{q}} \right\|_p \leq C_{p,q} \left\| \left(\sum_{n} | x_n |^q \right)^{\frac{1}{q}}\right \|_p\qquad \qquad (S_{p,q}), \end{equation*} for (positive) sequences $(x_n)$ in $L_p(\mathcal{M})$. The validity of $(S_{p,2})$ for $1 < p < \infty$ and $(S_{p,1})$ for $1 \leq p < \infty$ are known. In this paper, we verify (i) $(S_{p,\infty})$ for $1 < p \leq \infty$; (ii) $(S_{p,p})$ for $1 \leq p < …
The motivation for this paper comes from the following question on comparison of norms of conformal martingales $X$, $Y$ in $\R^d$, $d\geq 2$. Suppose that $Y$ is differentially subordinate to $X$. For $0<p<\infty$, what is the optimal value of the constant $C_{p,d}$ in the inequality $$ Y_p\leq C_{p,d}X_p ?$$ We answer this question by considering a more general related problem for nonnegative submartingales. This enables us to study extension of the above inequality to the case when $d>1$ is not an integer, which has further interesting applications to stopped Bessel processes and to the beh…
We prove a Julia inequality for bounded non-commutative functions on polynomial polyhedra. We use this to deduce a Julia inequality for holomorphic functions on classical domains in $\mathbb{C}^d$. We look at differentiability at a boundary point for functions that have a certain regularity there.
We give a method to obtain, from Voiculescu's inequality, norm estimates for sums of free variables with amalgamation in general fully symmetric spaces. We use these estimates to interpolate the Burkholder inequalities for non commutative martingales. The method is also applicable to other similar settings. In that spirit, we improve known results on the non commutative Johnson-Schechtman inequalities and recover Khintchine inequalities associated to free groups.
Let $(Ω,\mathcal{F},\mathbb{P})$ be a probability space and $φ:\ Ω\times[0,\infty)\to[0,\infty)$ be a Musielak-Orlicz function. In this article, the authors prove that the Doob maximal operator is bounded on the Musielak-Orlicz space $L^φ(Ω)$. Using this and extrapolation method, the authors then establish a Fefferman-Stein vector-valued Doob maximal inequality on $L^φ(Ω)$. As applications, the authors obtain the dual version of the Doob maximal inequality and the Stein inequality for $L^φ(Ω)$, which are new even in weighted Orlicz spaces. The authors then establish the atomic characterization…
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.
In this paper, several weak Orlicz-Hardy martingale spaces associated with concave functions are introduced, and some weak atomic decomposition theorems for them are established. With the help of weak atomic decompositions, a sufficient condition for a sublinear operator defined on the weak Orlicz-Hardy martingale spaces to be bounded is given. Further, we investigate the duality of weak Orlicz-Hardy martingale spaces and obtain a new John-Nirenberg type inequality when the stochastic basis is regular. These results can be regarded as weak versions of the Orlicz-Hardy martingale spaces due to …
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 …
We show that the validity of the non-commutative Khintchine inequality for some $q$ with $1<q<2$ implies its validity (with another constant) for all $1\le p<q$. We prove this for the inequality involving the Rademacher functions, but also for more general "lacunary" sequences, or even non-commutative analogues of the Rademacher functions. For instance, we may apply it to the "Z(2)-sequences" previously considered by Harcharras. The result appears to be new in that case. It implies that the space $\ell^n_1$ contains (as an operator space) a large subspace uniformly isomorphic (as an operator s…
The main purpose of this paper is to prove Hörmander's $L^p$-$L^q$ boundedness of Fourier multipliers on commutative hypergroups. We carry out this objective by establishing Paley inequality and Hausdorff-Young-Paley inequality for commutative hypergroups. We show the $L^p$-$L^q$ boundedness of the spectral multipliers for the generalised radial Laplacian by examining our results on Chébli-Trimèche hypergroups. As a consequence, we obtain embedding theorems and time asymptotics for the $L^p$-$L^q$ norms of the heat kernel for generalised radial Laplacian. Finally, we present applications of th…
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…
In information theory, the well-known log-sum inequality is a fundamental tool which indicates the non-negativity for the relative entropy. In this article, we establish a set of inequalities which are similar to the log-sum inequality involving two functions defined on scalars. The parametric extended log-sum inequalities are shown. We extend these inequalities for the commutative matrices. In addition, utilizing the Löwner partial order relation and the Hansen-Pedersen theory for non-commutative positive semi-definite matrices we demonstrate a number of matrix-inequalities analogous to the l…
It has been shown in "On the Hausdorff-Young theorem for commutative hypergroups" by Sina Degenfeld-Schonburg, that one can extend the domain of Fourier transform of a commutative hypergroup $K$ to $L^p(K)$ for $1\leq p \leq 2$, and the Hausdorff-Young inequality holds true for these cases. In this article, we examine the structure of non-zero functions in $L^p(K)$ for which equality is attained in the Hausdorff-Young inequality, for $1<p<2$, and further provide a characterization for the basic uncertainty principle for commutative hypergroups with non-trivial centre.
In this paper, we introduce a non-commutative space of stochastic distributions, which contains the non-commutative white noise space, and forms, together with a natural multiplication, a topological algebra. A special inequality which holds in this space allows to characterize its invertible elements and to develop an appropriate framework of non-commutative stochastic linear systems.
Let $\{\mathsf{T}_t\}_{t>0}$ be a symmetric diffusion semigroup on a $σ$-finite measure space $(Ω, \mathscr{A}, μ)$ and $G^{\mathsf{T}}$ the associated Littlewood-Paley $g$-function operator: $$G^{\mathsf{T}}(f)=\Big(\int_0^\infty \left|t\frac{\partial}{\partial t} \mathsf{T}_t(f)\right|^2\frac{\mathrm{d}t}{t}\Big)^{\frac12}.$$ The classical Littlewood-Paley-Stein inequality asserts that for any $1<p<\infty$ there exist two positive constants $\mathsf{L}^{\mathsf{T}}_{p}$ and $\mathsf{S}^{\mathsf{T}}_{ p}$ such that $$ \big(\mathsf{L}^{\mathsf{T}}_{ p}\big)^{-1}\big\|f-\mathrm{F}(f)\big\|_{p}\…
We show that D. Lépingle's $L_1(\ell_2)$-inequality \begin{equation*} \Big\| \big( \sum_n \mathbb E[f_n | \mathscr F_{n-1}]^2 \big)^{1/2}\Big\|_1 \leq 2\cdot \Big\| \big( \sum_n f_n^2 \big)^{1/2} \Big\|_1, \qquad f_n\in\mathscr F_n, \end{equation*} extends to the case where we substitute the conditional expectation operators with orthogonal projection operators onto spline spaces and where we can allow that $f_n$ is contained in a suitable spline space $\mathscr S(\mathscr F_n)$. This is done provided the filtration $(\mathscr F_n)$ satisfies a certain regularity condition depending on the deg…
The BMO martingale theory is extensively used to study nonlinear multi-dimensional stochastic equations (SEs) in $\cR^p$ ($p\in [1, \infty)$) and backward stochastic differential equations (BSDEs) in $\cR^p\times \cH^p$ ($p\in (1, \infty)$) and in $\cR^\infty\times \bar{\cH^\infty}^{BMO}$, with the coefficients being allowed to be unbounded. In particular, the probabilistic version of Fefferman's inequality plays a crucial role in the development of our theory, which seems to be new. Several new results are consequently obtained. The particular multi-dimensional linear case for SDEs and BSDEs …
In this work, a pre-Grüss inequality for positive Hilbert space operators is proved. So that, some numerical radius inequalities are proved. On the other hand, based on a non-commutative Binomial formula, a non-commutative upper bound for the numerical radius of the summand of two bounded linear Hilbert space operators is proved. A commutative version is also obtained as well.
