A Characterization of Vitali Conditions in Terms of Maximal Inequalities
Millet, Annie ; Sucheston, Louis
Ann. Probab., Tome 8 (1980) no. 6, p. 339-349 / Harvested from Project Euclid
Vitali conditions $V, V', V_p, 1 \leqslant p < \infty$, on $\sigma$-algebras indexed by a directed set, are shown to hold if and only if the maximal inequality \begin{equation*}\tag{1} P(\text{essential} \lim \sup X_t \geqslant \alpha) \leqslant K \lim \sup_{T^\ast}E(X_\tau)/\alpha\end{equation*} holds for all adapted positive processes $(X_t)$, and all positive numbers $\alpha$. Here $K$ is a constant which may be taken equal to 1, and $T^\ast$ is the appropriate directed set of stopping times: for $V, T^\ast$ is the set of simple stopping times; for $V', T^\ast$ is the set of simple ordered stopping times; for $V_p, T^\ast$ is the set of multivalued stopping times with overlap going to zero in $L_p$. The inequality (1) is true whatever be the $\sigma$-algebras, provided that essential $\lim \sup$ is replaced by stochastic $\lim \sup$.
Publié le : 1980-04-14
Classification:  Maximal inequality,  Vitali condition,  essential lim sup,  stochastic lim sup,  stopping times,  60G40,  60G45,  60G99
@article{1176994781,
     author = {Millet, Annie and Sucheston, Louis},
     title = {A Characterization of Vitali Conditions in Terms of Maximal Inequalities},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 339-349},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994781}
}
Millet, Annie; Sucheston, Louis. A Characterization of Vitali Conditions in Terms of Maximal Inequalities. Ann. Probab., Tome 8 (1980) no. 6, pp.  339-349. http://gdmltest.u-ga.fr/item/1176994781/