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arXiv · 1107.2218

Vector-valued decoupling and the Burkholder-Davis-Gundy inequality

Sonja Cox·Mark Veraar
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Abstract

Let X be a Banach space. We prove p-independence of the one-sided decoupling inequality for X-valued tangent martingales as introduced by Kwapien and Woyczynski. It is known that a Banach space X satisfies the two-sided decoupling inequality if and only if X is a UMD Banach space. The one-sided decoupling inequality is a weaker property, including e.g. the space L^1. We provide information on the optimal constants for various spaces, and give a upper estimate of order p in general. In the second part of our paper we derive Burkholder-Davis-Gundy type estimates for p-th moments, p in (0,infty), of X-valued stochastic integrals, provided X is a UMD Banach space or a space in which the one-sided decoupling inequality holds.

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Sonja Cox, Mark Veraar. 2011-07-12. Vector-valued decoupling and the Burkholder-Davis-Gundy inequality. https://arxiv.org/abs/1107.2218

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