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LeanPool.Burkholder.MartingaleTransforms

Martingale transforms and the Lp Burkholder inequality #

Defines the discrete martingale transform and proves the sharp Lp Burkholder inequality for martingale transforms by a predictable multiplier bounded by 1.

noncomputable def Burkholder.q (p : ℝ) :

The conjugate exponent helper, re-exported in the Burkholder namespace.

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    noncomputable def Burkholder.pStar (p : ℝ) :

    pStar = max p q, re-exported in the Burkholder namespace.

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      noncomputable def Burkholder.v (p x y : ℝ) :

      The Burkholder function v, imported from the majorant development.

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        def MeasureTheory.martingaleDiff {Ω : Type u_1} (f : ℕ → Ω → ℝ) :
        ℕ → Ω → ℝ

        The martingale difference sequence associated to a discrete real-valued process.

        With this convention, martingaleDiff f 0 = f 0 and martingaleDiff f (n + 1) = f (n + 1) - f n.

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          def MeasureTheory.martingaleTransform {Ω : Type u_1} (v f : ℕ → Ω → ℝ) :
          ℕ → Ω → ℝ

          The discrete martingale transform of f by the multiplier process v.

          If f has difference sequence d, then the transformed process has difference sequence v n * d n.

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            Notation v ⋆ₘ f for the discrete martingale transform of f by v.

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              def MeasureTheory.IsMartingaleTransform {Ω : Type u_1} {mΩ : MeasurableSpace Ω} (ℱ : Filtration ℕ mΩ) (μ : Measure Ω) (v f g : ℕ → Ω → ℝ) :

              g is the martingale transform of the martingale f by a strongly predictable multiplier v, relative to the filtration ℱ and measure μ.

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                theorem MeasureTheory.martingaleTransform_martingale {Ω : Type u_1} {mΩ : MeasurableSpace Ω} {μ : Measure Ω} [IsFiniteMeasure μ] {ℱ : Filtration ℕ mΩ} {v f : ℕ → Ω → ℝ} (hv : IsStronglyPredictable ℱ v) (hf : Martingale f ℱ μ) (hbounded : ∃ (C : ℝ), ∀ (n : ℕ) (ω : Ω), |v n ω| ≤ C) :

                A strongly predictable transform of a martingale is a martingale, once the usual integrability and adaptedness hypotheses for the transformed process are available.

                The only integrability assumption specific to the multiplier is that each product v (n+1) * (f (n+1) - f n) is integrable; predictability then pulls v (n+1) out of the conditional expectation.

                Notation X_{n}[w,f] for the n-th term of the transform of f by plusOne w.

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                  Notation Y_{n}[w,f] for the n-th term of the transform of f by minusOne w.

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                    theorem MeasureTheory.Lp_Burkholder_inequality_martingaleTransform (p : ENNReal) (Ω : Type u_2) [mΩ : MeasurableSpace Ω] (μ : Measure Ω) [IsFiniteMeasure μ] (ℱ : Filtration ℕ mΩ) (w f : ℕ → Ω → ℝ) (hp_one : 1 < p) (hfin : p ≠ ⊤) (hstrong : IsStronglyPredictable ℱ w) (hmart : Martingale f ℱ μ) (hLp : ∀ (n : ℕ), MemLp (f n) p μ) (hbound : ∀ (n : ℕ), ∀ᵐ (ω : Ω) ∂μ, |w n ω| ≤ 1) (n : ℕ) :

                    Burkholder's L^p inequality for discrete martingale transforms.

                    If f is a martingale and w is a strongly predictable multiplier uniformly bounded by 1, then transforming f by w does not blow up its L^p size by more than the Burkholder factor pStar(p)-1.

                    The statement is pointwise in time n and is written using eLpNorm: ‖(w ⋆ₘ f)_n‖_p ≤ (pStar(p)-1) * ‖f_n‖_p.