The Annals of Probability

Differential subordination under change of law

Komla Domelevo and Stefanie Petermichl

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Abstract

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, and 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 càdlàg. 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 [Math. Res. Lett. 7 (2000) 1–12], where homogeneity was heavily used. Recent progress by Thiele–Treil–Volberg [Adv. Math. 285 (2015) 1155–1188] and Lacey [Israel J. Math. 217 (2017) 181–195] independently resolved the so-called nonhomogenous 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 addressed 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.

Article information

Source
Ann. Probab., Volume 47, Number 2 (2019), 896-925.

Dates
Received: February 2017
Revised: November 2017
First available in Project Euclid: 26 February 2019

Permanent link to this document
https://projecteuclid.org/euclid.aop/1551171640

Digital Object Identifier
doi:10.1214/18-AOP1274

Mathematical Reviews number (MathSciNet)
MR3916937

Zentralblatt MATH identifier
07053559

Subjects
Primary: 60G44: Martingales with continuous parameter
Secondary: 60G46: Martingales and classical analysis

Keywords
Weight differential subordination Bellman function

Citation

Domelevo, Komla; Petermichl, Stefanie. Differential subordination under change of law. Ann. Probab. 47 (2019), no. 2, 896--925. doi:10.1214/18-AOP1274. https://projecteuclid.org/euclid.aop/1551171640


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