Some remarks on tangent martingale difference sequences in $L^1$-spaces

Abstract

Let $X$ be a Banach space. Suppose that for all $p\in $ a constant $C_{p,X}$ depending only on $X$ and $p$ exists such that for any two $X$-valued martingales $f$ and $g$ with tangent martingale difference sequences one has $$\mathbb{E}\|f\|^p \leq C_{p,X} \mathbb{E}\|g\|^p \qquad (*).$$ This property is equivalent to the UMD condition. In fact, it is still equivalent to the UMD condition if in addition one demands that either $f$ or $g$ satisfy the so-called (CI) condition. However, for some applications it suffices to assume that $(*)$ holds whenever $g$ satisfies the (CI) condition. We show that the class of Banach spaces for which $(*)$ holds whenever only $g$ satisfies the (CI) condition is more general than the class of UMD spaces, in particular it includes the space $L^1$. We state several problems related to $(*)$ and other decoupling inequalities.

Locations

• arXiv (Cornell University) - View - PDF
• Research Repository (Delft University of Technology) - View - PDF
• Electronic Communications in Probability - View - PDF