Martingale transforms between Hardy-Orlicz spaces and of martingales

Lin Yu

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1086-1093

Abstract: Using the technique of martingale transforms, the relation between Hardy-Orlicz spaces of the martingales with predictable quadratic variations is investigated. Let [Phi]1 and [Phi]2 be two Young functions and [Phi]1[precedes][Phi]2 in some sense, a constructive proof is obtained that the elements in the Hardy-Orlicz space are none other than the martingale transforms of those in the Hardy-Orlicz space . The results obtained here extend the corresponding results in the former literature.

Keywords: Martingale; transforms; Young; functions; Hardy-Orlicz; spaces (search for similar items in EconPapers)
Date: 2011
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