We analyze the set-valued stochastic integral equations driven by continuous semimartingales and prove the existence and uniqueness of solutions to such equations in the framework of the hyperspace of nonempty, bounded, convex and closed subsets of the Hilbert space L2 (consisting of square integrable random vectors). The coefficients of the equations are assumed to satisfy the Osgood type condition that is a generalization of the Lipschitz condition. Continuous dependence of solutions with respect...

We generalize a theorem of Shao [Proc. Amer. Math. Soc.123 (1995) 575–582] on the almost-sure limiting behavior of the maximum of standardized random walk increments to multidimensional arrays of i.i.d. random variables. The main difficulty is the absence of an appropriate strong approximation result in the multidimensional setting. The multiscale statistic under consideration was used recently for the selection of the regularization parameter in a number of statistical algorithms as well as...

Microscopic prolate spheroids in a given volume of an opaque material are considered. The extremes of the shape factor of the spheroids are studied. The profiles of the spheroids are observed on a random planar section and based on these observations we want to estimate the distribution of the extremal shape factor of the spheroids. We show that under a tail uniformity condition the Maximum domain of attraction is stable. We discuss the normalising constants (n.c.) for the extremes of the spheroid...

Let $ℒ$ be the Ornstein-Uhlenbeck operator which is self-adjoint with respect to the Gauss measure $\gamma$ on ${ℝ}^d.$ We prove a sharp estimate of the operator norm of the imaginary powers of $ℒ$ on $L^p\left(\gamma \right),$$1\<p\<\infty ...$

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.

Under regularity assumptions, we establish a sharp large deviation principle for Hermitian quadratic forms of stationary Gaussian processes. Our result is similar to the well-known Bahadur-Rao theorem [2] on the sample mean. We also provide several examples of application such as the sharp large deviation properties of the Neyman-Pearson likelihood ratio test, of the sum of squares, of the Yule-Walker estimator of the parameter of a stable autoregressive Gaussian process, and finally of the empirical...

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.

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.

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...

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 ${\left(h_k\right)}_{k\ge 0}$ 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.