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Article Dans Une Revue Annals of Probability Année : 2018

DIFFERENTIAL SUBORDINATION UNDER CHANGE OF LAW

Résumé

We prove optimal L 2 bounds for a pair of Hilbert space valued differentially subordinate martingales under a change of law. The change of law is given by a process called a weight and sharpness in this context refers to the optimal growth with respect to the characteristic of the weight. The pair of martingales is adapted, uniformly integrable, and c`adì ag. Differential subordination is in the sense of Burkholder, defined through the use of the square bracket. In the scalar dyadic setting with underlying Lebesgue measure, this was proved by Wittwer [34], where homogeneity was heavily used. Recent progress by Thiele-Treil-Volberg [30] and Lacey [20], independently , resolved the so-called non-homogenous case using discrete in time filtrations, where one martingale is a predictable multiplier of the other. The general case for continuous-in-time filtrations and pairs of martingales that are not necessarily predictable multipliers, remained open and is adressed here. As a very useful second main result, we give the explicit expression of a Bellman function of four variables for the weighted estimate of subordinate martingales with jumps. This construction includes an analysis of the regularity of this function as well as a very precise convexity, needed to deal with the jump part.
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hal-01977592 , version 1 (10-01-2019)

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  • HAL Id : hal-01977592 , version 1

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Komla Domelevo, Stefanie Petermichl. DIFFERENTIAL SUBORDINATION UNDER CHANGE OF LAW. Annals of Probability, 2018. ⟨hal-01977592⟩
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