Carthaginian enlargement of filtrations

Giorgia Callegaro; Monique Jeanblanc; Behnaz Zargari

Displaying similar documents to “Carthaginian enlargement of filtrations”

Moment Inequality for the Martingale Square Function

Adam Osękowski (2013)

Bulletin of the Polish Academy of Sciences. Mathematics

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Consider the sequence ${(C ₙ)}_{n \geq 1}$ of positive numbers defined by C₁ = 1 and $C_{n + 1} = 1 + C ₙ ² / 4$ , 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.

On the distance between ⟨X⟩ and $L^{\infty}$ in the space of continuous BMO-martingales

Litan Yan, Norihiko Kazamaki (2005)

Studia Mathematica

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Let X = (Xₜ,ℱₜ) be a continuous BMO-martingale, that is, ${| | X | |}_{B M O} \equiv s u p_{T} | | E [| X_{\infty} - X_{T} | | ℱ_{T} {] | |}_{\infty} < \infty$ , where the supremum is taken over all stopping times T. Define the critical exponent b(X) by $b (X) = b > 0 : s u p_{T} | | E [e x p (b ² (⟨ X ⟩_{\infty} - ⟨ X ⟩_{T})) | ℱ_{T}] {| |}_{\infty} < \infty$ , where the supremum is taken over all stopping times T. Consider the continuous martingale q(X) defined by $q (X) ₜ = E [⟨ X ⟩_{\infty} | ℱ ₜ] - E [⟨ X ⟩_{\infty} | ℱ ₀]$ . We use q(X) to characterize the distance between ⟨X⟩ and the class $L^{\infty}$ of all bounded martingales in the space of continuous BMO-martingales, and we show that the inequalities $1 / 4 d ₁ (q (X), L^{\infty}) \leq b (X) \leq 4 / d ₁ (q (X), L^{\infty})$ hold for every continuous BMO-martingale X. ...

Atomic decomposition of predictable martingale Hardy space with variable exponents

Zhiwei Hao (2015)

Czechoslovak Mathematical Journal

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This paper is mainly devoted to establishing an atomic decomposition of a predictable martingale Hardy space with variable exponents defined on probability spaces. More precisely, let $(Ω, ℱ, ℙ)$ be a probability space and $p (\cdot) : Ω \to (0, \infty)$ be a $ℱ$ -measurable function such that $0 < {inf}_{x \in Ω} p (x) \leq {sup}_{x \in Ω} p (x) < \infty$ . It is proved that a predictable martingale Hardy space $𝒫_{p (\cdot)}$ has an atomic decomposition by some key observations and new techniques. As an application, we obtain the boundedness of fractional integrals on the predictable martingale Hardy...

On a relation between norms of the maximal function and the square function of a martingale

Masato Kikuchi (2013)

Colloquium Mathematicae

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Let Ω be a nonatomic probability space, let X be a Banach function space over Ω, and let ℳ be the collection of all martingales on Ω. For $f = {(f ₙ)}_{n \in ℤ ₊} \in ℳ$ , let Mf and Sf denote the maximal function and the square function of f, respectively. We give some necessary and sufficient conditions for X to have the property that if f, g ∈ ℳ and ${| | M g | |}_{X} {\leq | | M f | |}_{X}$ , then ${| | S g | |}_{X} {\leq C | | S f | |}_{X}$ , where C is a constant independent of f and g.

A martingale approach to general Franklin systems

Anna Kamont, Paul F. X. Müller (2006)

Studia Mathematica

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We prove unconditionality of general Franklin systems in $L^{p} (X)$ , where X is a UMD space and where the general Franklin system corresponds to a quasi-dyadic, weakly regular sequence of knots.

On the Rademacher maximal function

Mikko Kemppainen (2011)

Studia Mathematica

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This paper studies a new maximal operator introduced by Hytönen, McIntosh and Portal in 2008 for functions taking values in a Banach space. The $L^{p}$ -boundedness of this operator depends on the range space; certain requirements on type and cotype are present for instance. The original Euclidean definition of the maximal function is generalized to σ-finite measure spaces with filtrations and the $L^{p}$ -boundedness is shown not to depend on the underlying measure space or the filtration. Martingale...

Noncommutative fractional integrals

Narcisse Randrianantoanina, Lian Wu (2015)

Studia Mathematica

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Let ℳ be a hyperfinite finite von Nemann algebra and ${(ℳ_{k})}_{k \geq 1}$ be an increasing filtration of finite-dimensional von Neumann subalgebras of ℳ. We investigate abstract fractional integrals associated to the filtration ${(ℳ_{k})}_{k \geq 1}$ . For a finite noncommutative martingale $x = {(x_{k})}_{1 \leq k \leq n} \subseteq L ₁ (ℳ)$ adapted to ${(ℳ_{k})}_{k \geq 1}$ and 0 < α < 1, the fractional integral of x of order α is defined by setting $I^{α} x = \sum_{k = 1}^{n} ζ_{k}^{α} d x_{k}$ for an appropriate sequence ${(ζ_{k})}_{k \geq 1}$ of scalars. For the case of a noncommutative dyadic martingale in L₁() where is the type II₁ hyperfinite factor...

A Note on the Burkholder-Rosenthal Inequality

Adam Osękowski (2012)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let df be a Hilbert-space-valued martingale difference sequence. The paper is devoted to a new, elementary proof of the estimate $∥ \sum_{k = 0}^{\infty} d f_{k} ∥_{p} \leq C_{p} ∥ (\sum_{k = 0}^{\infty} (| d f_{k} | ² | ℱ_{k - 1} {))}^{1 / 2} ∥_{p} + ∥ (\sum_{k = 0}^{\infty} | d f_{k} {|^{p})}^{1 / p} ∥_{p},$ with $C_{p} = O (p / l n p)$ as p → ∞.

Sharp moment inequalities for differentially subordinated martingales

Adam Osękowski (2010)

Studia Mathematica

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We determine the optimal constants $C_{p, q}$ in the moment inequalities ${| | g | |}_{p} \leq C_{p, q} {| | f | |}_{q}$ , 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.

Sharp Ratio Inequalities for a Conditionally Symmetric Martingale

Adam Osękowski (2010)

Bulletin of the Polish Academy of Sciences. Mathematics

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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 $s u p_{n} {(| f ₙ |}^{p} {) / (1 + S ₙ ² (f))}^{q} \leq C_{p, q}$ . 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 $C_{N, q}^{'}$ such that $s u p_{n} (f ₙ^{2 N - 1}) {(1 + S ₙ ² (f))}^{q} \leq C_{N, q}^{'}$ . 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...

Pointwise multipliers on martingale Campanato spaces

Eiichi Nakai, Gaku Sadasue (2014)

Studia Mathematica

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We introduce generalized Campanato spaces $_{p, ϕ}$ on a probability space (Ω,ℱ,P), where p ∈ [1,∞) and ϕ: (0,1] → (0,∞). If p = 1 and ϕ ≡ 1, then $_{p, ϕ} = B M O$ . We give a characterization of the set of all pointwise multipliers on $_{p, ϕ}$ .

A new kind of augmentation of filtrations

Joseph Najnudel, Ashkan Nikeghbali (2011)

ESAIM: Probability and Statistics

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Let (Ω, $ℱ$ , ( $ℱ_{t}$ ), $ℙ$ ) be a filtered probability space satisfying the usual assumptions: it is usually not possible to extend to $ℱ_{\infty}$ (the-algebra generated by ( $ℱ_{t}$ )) a coherent family of probability measures ( $ℚ_{t}$ ) indexed by , each of them being defined on $ℱ_{t}$ . It is known that for instance, on the Wiener space, this extension problem has a positive answer if one takes the filtration generated by the coordinate process, made right-continuous, but can have a negative...

Correction : « $L (B_{t}, t)$ is not a semimartingale»

Martin T. Barlow (1983)

Séminaire de probabilités de Strasbourg

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A law of the iterated logarithm for general lacunary series

Charles N. Moore, Xiaojing Zhang (2012)

Colloquium Mathematicae

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We prove a law of the iterated logarithm for sums of the form $\sum_{k = 1}^{N} a_{k} f (n_{k} x)$ where the $n_{k}$ satisfy a Hadamard gap condition. Here we assume that f is a Dini continuous function on ℝⁿ which has the property that for every cube Q of sidelength 1 with corners in the lattice ℤⁿ, f vanishes on ∂Q and has mean value zero on Q.

Limit distributions for multitype branching processes of $m$ -ary search trees

Brigitte Chauvin, Quansheng Liu, Nicolas Pouyanne (2014)

Annales de l'I.H.P. Probabilités et statistiques

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Let $m \geq 3$ be an integer. The so-calledis a discrete time Markov chain which is very popular in theoretical computer science, modelling famous algorithms used in searching and sorting. This random process satisfies a well-known phase transition: when $m \leq 26$ , the asymptotic behavior of the process is Gaussian, but for $m \geq 27$ it is no longer Gaussian and a limit $W^{D T}$ of a complex-valued martingale arises. In this paper, we consider the multitype branching process which is the continuous time version of...

Sharp Weak-Type Inequality for the Haar System, Harmonic Functions and Martingales

Adam Osękowski (2014)

Bulletin of the Polish Academy of Sciences. Mathematics

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Let ${(h_{k})}_{k \geq 0}$ be the Haar system on [0,1]. We show that for any vectors $a_{k}$ from a separable Hilbert space and any $ε_{k} \in [- 1, 1]$ , k = 0,1,2,..., we have the sharp inequality $| | \sum_{k = 0}^{n} ε_{k} a_{k} h_{k} {| |}_{W ([0, 1])} \leq 2 | | \sum_{k = 0}^{n} a_{k} h_{k} {| |}_{L^{\infty} ([0, 1])}$ , 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 ${| | Y | |}_{W (Ω)} {\leq 2 | | X | |}_{L^{\infty} (Ω)}$ , 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.

Lévy processes conditioned on having a large height process

Mathieu Richard (2013)

Annales de l'I.H.P. Probabilités et statistiques

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In the present work, we consider spectrally positive Lévy processes $(X_{t}, t \geq 0)$ not drifting to $+ \infty$ and we are interested in conditioning these processes to reach arbitrarily large heights (in the sense of the height process associated with $X$ ) before hitting $0$ . This way we obtain a new conditioning of Lévy processes to stay positive. The (honest) law $ℙ_{x}^{☆}$ of this conditioned process (starting at $x g t; 0$ ) is defined as a Doob $h$ -transform via a martingale. For Lévy processes with infinite variation paths,...

On the structure of non-dentable subsets of $C (ω^{ω^{k}})$

Pericles D. Pavlakos, Minos Petrakis (2011)

Studia Mathematica

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It is shown that there is no closed convex bounded non-dentable subset K of $C (ω^{ω^{k}})$ such that on subsets of K the PCP and the RNP are equivalent properties. Then applying the Schachermayer-Rosenthal theorem, we conclude that every non-dentable K contains a non-dentable subset L so that on L the weak topology coincides with the norm topology. It follows from known results that the RNP and the KMP are equivalent on subsets of $C (ω^{ω^{k}})$ .

A lower bound in the law of the iterated logarithm for general lacunary series

Charles N. Moore, Xiaojing Zhang (2014)

Studia Mathematica

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We prove a lower bound in a law of the iterated logarithm for sums of the form $\sum_{k = 1}^{N} a_{k} f (n_{k} x + c_{k})$ where f satisfies certain conditions and the $n_{k}$ satisfy the Hadamard gap condition $n_{k + 1} / n_{k} \geq q > 1$ .

Constructive quantization: approximation by empirical measures

Steffen Dereich, Michael Scheutzow, Reik Schottstedt (2013)

Annales de l'I.H.P. Probabilités et statistiques

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In this article, we study the approximation of a probability measure $μ$ on $ℝ^{d}$ by its empirical measure ${\hat{μ}}_{N}$ interpreted as a random quantization. As error criterion we consider an averaged $p$ th moment Wasserstein metric. In the case where $2 p l t; d$ , we establish fine upper and lower bounds for the error, a. Moreover, we provide a universal estimate based on moments, a . In particular, we show that quantization by empirical measures is of optimal order under weak assumptions.

A multiplier theorem for Fourier series in several variables

Nakhle Asmar, Florence Newberger, Saleem Watson (2006)

Colloquium Mathematicae

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We define a new type of multiplier operators on $L^{p} (^{N})$ , where $^{N}$ is the N-dimensional torus, and use tangent sequences from probability theory to prove that the operator norms of these multipliers are independent of the dimension N. Our construction is motivated by the conjugate function operator on $L^{p} (^{N})$ , to which the theorem applies as a particular example.

Sharp inequalities for Riesz transforms

Adam Osękowski (2014)

Studia Mathematica

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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 $f : ℝ^{d} \to ℝ$ , $\int_{A} | R_{j} f (x) | d x \leq C_{p} {| | f | |}_{L^{p} (ℝ^{d})} {| A |}^{1 / q}$ , 1 < p < ∞. Here q = p/(p-1) is the harmonic conjugate to p, $C_{p} = {[2^{q + 2} Γ (q + 1) / π^{q + 1} \sum_{k = 0}^{\infty} {(- 1)}^{k} / {(2 k + 1)}^{q + 1}]}^{1 / q}$ , 1 < p < 2, and $C_{p} = {[4 Γ (q + 1) / π^{q} \sum_{k = 0}^{\infty} 1 / {(2 k + 1)}^{q}]}^{1 / q}$ , 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.

Norm convergence of Fejér means of two-dimensional Walsh-Fourier series

Ushangi Goginava (2011)

Banach Center Publications

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The main aim of this paper is to prove that there exists a martingale $f \in H_{1 / 2}$ such that the Fejér means of the two-dimensional Walsh-Fourier series of f is not uniformly bounded in the space weak- $L_{1 / 2}$ .

Some results on spaces with $ℵ_{1}$ -calibre

Wei-Feng Xuan, Wei-Xue Shi (2016)

Commentationes Mathematicae Universitatis Carolinae

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We prove that, assuming , if $X$ is a space with $ℵ_{1}$ -calibre and a zeroset diagonal, then $X$ is submetrizable. This gives a consistent positive answer to the question of Buzyakova in Observations on spaces with zeroset or regular $G_{δ}$ -diagonals, Comment. Math. Univ. Carolin. 46 (2005), no. 3, 469–473. We also make some observations on spaces with $ℵ_{1}$ -calibre.

Multi-Harnack smoothings of real plane branches

Pedro Daniel González Pérez, Jean-Jacques Risler (2010)

Annales scientifiques de l'École Normale Supérieure

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Let $Δ \subset 𝐑^{2}$ be an integral convex polygon. G. Mikhalkin introduced the notion of, a class of real algebraic curves, defined by polynomials supported on $Δ$ and contained in the corresponding toric surface. He proved their existence, viamethod, and that the topological type of their real parts is unique (and determined by $Δ$ ). This paper is concerned with the description of the analogous statement in the case of a smoothing of a real plane branch $(C, 0)$ . We introduce the class ofsmoothings of $(C, 0)$ by...

A priori bounds for some infinitely renormalizable quadratics: II. Decorations

Jeremy Kahn, Mikhail Lyubich (2008)

Annales scientifiques de l'École Normale Supérieure

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A decoration of the Mandelbrot set $M$ is a part of $M$ cut off by two external rays landing at some tip of a satellite copy of $M$ attached to the main cardioid. In this paper we consider infinitely renormalizable quadratic polynomials satisfying the decoration condition, which means that the combinatorics of the renormalization operators involved is selected from a finite family of decorations. For this class of maps we prove bounds. They imply local connectivity of the corresponding Julia...