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Bernoulli
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Project Euclid
Other literature type . 2007
Data sources: Project Euclid
Bernoulli
Article . 2007 . Peer-reviewed
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Inequalities for dominated martingales

Authors: Osękowski, Adam;

Inequalities for dominated martingales

Abstract

Let $(M_n)$, $(N_n)$ be two Hilbert-space-valued martingales adapted to some filtration $(ℱ_n)$, with corresponding difference sequences $(d_n)$, $(e_n)$, respectively. We assume that $(N_n)$ weakly dominates $(M_n)$, that is, for any convex non-decreasing function $ϕ : ℝ_+→ℝ-_+$ and any $n=1,2,…$ we have, almost surely, $\mathrm{E}(ϕ(|d_n|)|ℱ_{n−1})\leqslant\mathrm{E}(ϕ(|e_n|)|ℱ_{n−1})$. We apply the Burkholder method to show that for a convex non-decreasing function $\mathbf{Φ} : ℝ_+→ℝ_+$ satisfying some extra conditions we have, for any $n=1,2,…$, $‖M_n‖_\mathbf{Φ}≤C_\mathbf{Φ}‖N_n‖_\mathbf{Φ}$, where $‖⋅‖_\mathbf{Φ}$ denotes an Orlicz norm with respect to $\mathbf{Φ}$ and $C_\mathbf{Φ}$ is a constant which depends only on $\mathbf{Φ}$. This approach unifies and extends the classical Burkholder inequalities for subordinated martingales and the inequalities for tangent martingales. The method leads to moment inequalities for Rosenthal-type dominated martingales and variance-dominated Gaussian martingales. All the constants obtained in the moment inequalities are of optimal order.

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Keywords

martingales, subordinated martingales, Orlicz space

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
16
Average
Top 10%
Average
Green
hybrid