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

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

2008-01-04

arxiv.org/abs/0801.0695v1

Electron. Commun. Probab. 12, 421-433, (2007)

Mathematics

Probability

Scientific paper

Let X be a Banach space. Suppose that for all $p\in (1, \infty)$ 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 \[\E\|f\|^p \leq C_{p,X} \E\|g\|^p (*).\] 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.

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