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We study sharp weak-type inequalities for a wide class of Fourier multipliers resulting from modulation of the jumps of Lévy processes. In particular, we obtain optimal estimates for second-order Riesz transforms, which lead to interesting a priori bounds for smooth functions on ℝd. The proofs rest on probabilistic methods: we deduce the above inequalities from the corresponding estimates for martingales. To obtain the lower bounds, we exploit the properties of laminates, important probability measures...

Let N ≥ 2 be a given integer. Suppose that $df={\left(dfₙ\right)}_{n\ge 0}$ is a martingale difference sequence with values in $\ell {₁}^N$ and let ${\left(\epsilon ₙ\right)}_{n\ge 0}$ be a deterministic sequence of signs. The paper contains the proof of the estimate $\mathbb{P}(su{p}_{n\ge 0}\left|\right|{\sum }_{k=0}^n{\epsilon }_{k}d{f}_k{\left|\right|}_{\ell {₁}^N}\ge 1)\le (lnN+ln\left(3lnN\right))/(1-{\left(2lnN\right)}^{-1})su{p}_{n\ge 0}\left|\right|{\sum }_{k=0}^{n}d{f}_k{\left|\right|}_{\ell {₁}^N}$. It is shown that this result is asymptotically sharp in the sense that the least constant $C_N$ in the above estimate satisfies $li{m}_{N\to \infty }{C}_N/lnN=1$. The novelty in the proof is the explicit verification of the ζ-convexity of the space $\ell {₁}^N$.

We study logarithmic estimates for a class of Fourier multipliers which arise from a nonsymmetric modulation of jumps of Lévy processes. In particular, this leads to corresponding tight bounds for second-order Riesz transforms on ${ℝ}^d$.

We determine the optimal constants $C_{p,q}$ in the moment inequalities ${\left|\right|g\left|\right|}_p\le C_{p,q}{\left|\right|f\left|\right|}_q$, 1 ≤ p< q< ∞, where f = (fₙ), g = (gₙ) are two martingales, adapted to the same filtration, satisfying |dgₙ| ≤ |dfₙ|, n = 0,1,2,..., with probability 1. Furthermore, we establish related sharp estimates ||g||₁ ≤ supₙΦ(|fₙ|) + L(Φ), where Φ is an increasing convex function satisfying certain growth conditions and L(Φ) depends only on Φ.

We establish the following sharp local estimate for the family ${R_j}_{j=1}^d$ of Riesz transforms on ${ℝ}^d$. For any Borel subset A of ${ℝ}^d$ and any function $f:{ℝ}^d\to ℝ$, ${\int }_A|R_{j}f\left(x\right)|dx\le C_p{\left|\right|f\left|\right|}_{L^p\left({ℝ}^d\right)}{\left|A\right|}^{1/q}$, 1 < p < ∞. Here q = p/(p-1) is the harmonic conjugate to p, $C_p={[2^{q+2}\Gamma (q+1)/{\pi }^{q+1}{\sum }_{k=0}^{\infty }{(-1)}^k/{(2k+1)}^{q+1}]}^{1/q}$, 1 < p < 2, and $C_p={[4\Gamma (q+1)/{\pi }^q{\sum }_{k=0}^{\infty }1/{(2k+1)}^q]}^{1/q}$, 2 ≤ p < ∞. This enables us to determine the precise values of the weak-type constants for Riesz transforms for 1 < p < ∞. The proof rests on appropriate martingale inequalities, which are of independent interest.

Let ${\left(h_k\right)}_{k\ge 0}$ be the Haar system on [0,1]. We show that for any vectors $a_k$ from a separable Hilbert space and any ${\epsilon }_k\in [-1,1]$, k = 0,1,2,..., we have the sharp inequality $\left|\right|{\sum }_{k=0}^n{\epsilon }_k{a}_k{h}_k{\left|\right|}_{W\left(\right[0,1\left]\right)}\le 2\left|\right|{\sum }_{k=0}^n{a}_k{h}_k{\left|\right|}_{L^{\infty }\left([0,1]\right)}$, n = 0,1,2,..., where W([0,1]) is the weak-$L^{\infty }$ space introduced by Bennett, DeVore and Sharpley. The above estimate is generalized to the sharp weak-type bound ${\left|\right|Y\left|\right|}_{W\left(\Omega \right)}{\le 2\left|\right|X\left|\right|}_{L^{\infty }\left(\Omega \right)}$, where X and Y stand for -valued martingales such that Y is differentially subordinate to X. An application to harmonic functions on Euclidean domains is presented.

We prove sharp a priori estimates for the distribution function of the dyadic maximal function ℳ ϕ, when ϕ belongs to the Lorentz space $L^{p,q}$, 1 < p < ∞, 1 ≤ q < ∞. The approach rests on a precise evaluation of the Bellman function corresponding to the problem. As an application, we establish refined weak-type estimates for the dyadic maximal operator: for p,q as above and r ∈ [1,p], we determine the best constant $C_{p,q,r}$ such that for any $\varphi \in L^{p,q}$, ${\left|\right|ℳ\varphi \left|\right|}_{r,\infty }\le C_{p,q,r}{\left|\right|\varphi \left|\right|}_{p,q}$.

Given a Hilbert space valued martingale (Mₙ), let (M*ₙ) and (Sₙ(M)) denote its maximal function and square function, respectively. We prove that 𝔼|Mₙ| ≤ 2𝔼 Sₙ(M), n=0,1,2,..., 𝔼 M*ₙ ≤ 𝔼 |Mₙ| + 2𝔼 Sₙ(M), n=0,1,2,.... The first inequality is sharp, and it is strict in all nontrivial cases.

Suppose f = (fₙ), g = (gₙ) are martingales with respect to the same filtration, satisfying $|fₙ-f_{n-1}\left|\le \right|gₙ-g_{n-1}|$, n = 1,2,..., with probability 1. Under some assumptions on f₀, g₀ and an additional condition that one of the processes is nonnegative, some sharp inequalities between the pth norms of f and g, 0 < p < ∞, are established. As an application, related sharp inequalities for stochastic integrals and harmonic functions are obtained.

Let f be a conditionally symmetric martingale and let S(f) denote its square function. (i) For p,q > 0, we determine the best constants $C_{p,q}$ such that $su{p}_n{\left(\right|fₙ|}^p{)/(1+Sₙ²\left(f\right))}^q\le C_{p,q}$. Furthermore, the inequality extends to the case of Hilbert space valued f. (ii) For N = 1,2,... and q > 0, we determine the best constants $C_{N,q}^{\text{'}}$ such that $su{p}_n\left(f{ₙ}^{2N-1}\right){(1+Sₙ²\left(f\right))}^q\le C_{N,q}^{\text{'}}$. These bounds are extended to sums of conditionally symmetric variables which are not necessarily integrable. In addition, we show that neither of the inequalities above holds if the conditional...

Let α ∈ [0,1] be a fixed parameter. We show that for any nonnegative submartingale X and any semimartingale Y which is α-subordinate to X, we have the sharp estimate $\parallel Y{\parallel }_W\le \left(2(\alpha +1)²\right)/(2\alpha +1)\parallel X{\parallel }_{L^{\infty }}$. Here W is the weak-$L^{\infty }$ space introduced by Bennett, DeVore and Sharpley. The inequality is already sharp in the context of α-subordinate Itô processes.

Assume that u, v are conjugate harmonic functions on the unit disc of ℂ, normalized so that u(0) = v(0) = 0. Let u*, |v|* stand for the one- and two-sided Brownian maxima of u and v, respectively. The paper contains the proof of the sharp weak-type estimate ℙ(|v|* ≥ 1)≤ (1 + 1/3² + 1/5² + 1/7² + ...)/(1 - 1/3² + 1/5² - 1/7² + ...) 𝔼u*. Actually, this estimate is shown to be true in the more general setting of differentially subordinate harmonic functions defined...

Consider the sequence ${\left(Cₙ\right)}_{n\ge 1}$ of positive numbers defined by C₁ = 1 and $C_{n+1}=1+Cₙ²/4$, n = 1,2,.... Let M be a real-valued martingale and let S(M) denote its square function. We establish the bound |Mₙ|≤ Cₙ Sₙ(M), n=1,2,..., and show that for each n, the constant Cₙ is the best possible.

Let df be a Hilbert-space-valued martingale difference sequence. The paper is devoted to a new, elementary proof of the estimate $\parallel {\sum }_{k=0}^{\infty }d{f}_k{\parallel }_p\le C_p\parallel ({\sum }_{k=0}^{\infty }\left(\right|d{f}_k\left|²\right|{ℱ}_{k-1}{\left)\right)}^{1/2}{\parallel }_p+\parallel ({\sum }_{k=0}^{\infty }|d{f}_k{{|}^p)}^{1/p}{\parallel }_p,$ with $C_p=O(p/lnp)$ as p → ∞.

For any locally integrable f on ℝⁿ, we consider the operators S and T which average f over balls of radius |x| and center 0 and x, respectively: $Sf\left(x\right)=1/\left|B\right(0,\left|x\right|\left)\right|{\int }_{B(0,|x\left|\right)}f\left(t\right)dt$, $Tf\left(x\right)=1/\left|B\right(x,\left|x\right|\left)\right|{\int }_{B(x,|x\left|\right)}f\left(t\right)dt$ for x ∈ ℝⁿ. The purpose of the paper is to establish sharp localized LlogL estimates for S and T. The proof rests on a corresponding one-weight estimate for a martingale maximal function, a result which is of independent interest.

Let f be a nonnegative submartingale and S(f) denote its square function. We show that for any λ > 0, $\lambda \mathbb{P}\left(S\right(f\left)\ge \lambda \right)\le \pi /2\parallel f\parallel ₁$, and the constant π/2 is the best possible. The inequality is strict provided ∥f∥₁ ≠ 0.

Let X be a submartingale starting from 0, and Y be a semimartingale which is orthogonal and strongly differentially subordinate to X. The paper contains the proof of the sharp estimate $\mathbb{P}\left(su{p}_{t\ge 0}\right|Y_t\left|\ge 1\right)\le 3.375...\parallel X\parallel ₁$. As an application, a related weak-type inequality for smooth functions on Euclidean domains is established.

Assume that $X$, $Y$ are continuous-path martingales taking values in ${ℝ}^{\nu }$, $\nu \ge 1$, such that $Y$ is differentially subordinate to $X$. The paper contains the proof of the maximal inequality $$\parallel \underset{t\ge 0}{sup}|Y_t{|\parallel }_1\le 2\parallel \underset{t\ge 0}{sup}|X_t{|\parallel }_1.$$ The constant $2$ is shown to be the best possible, even in the one-dimensional setting of stochastic integrals with respect to a standard Brownian motion. The proof uses Burkholder’s method and rests on the construction of an appropriate special function.