Optimum Bounds for the Distributions of Martingales in Banach Spaces

Abstract

A general device is proposed, which provides for extension of exponential inequalities for sums of independent real-valued random variables to those for martingales in the 2-smooth Banach spaces. This is used to obtain optimum bounds of the Rosenthal-Burkholder and Chung types on moments of the martingales in 2-smooth Banach spaces. In turn, it leads to best-order bounds on moments of sums of independent random vectors in any separable Banach spaces. Although the emphasis is put on infinite-dimensional martingales, most of the results seem to be new even for one-dimensional martingales. Moreover, the bounds on moments of the Rosenthal-Burkholder type seem to be to a certain extent new even for sums of independent real-valued random variables. Analogous inequalities for (one-dimensional) supermartingales are given.