Uniform Inequalities for Conditional $p$-Means Given $\sigma$-Lattices
Brunk, H. D.
Ann. Probab., Tome 3 (1975) no. 6, p. 1025-1030 / Harvested from Project Euclid
Let $(X, \mathscr{F}, P)$ be a probability space and $\mathscr{A}$ a sub-$\sigma$-lattice of $\mathscr{F}: \mathscr{A}$ is closed under countable union and countable intersection and contains $X$ and $\varnothing$. Let $P^\mathscr{A}$ denote conditional expectation given $\mathscr{A}$ (Barlow and coworkers, 1972), and for fixed $p \geqq 1$ let $M^\mathscr{A}$ denote conditional $p$-mean given $\mathscr{A}$ (Brunk and Johansen, 1970). Rogge showed (1974) that for $\sigma$-fields $\mathscr{A}$ and $\mathscr{B}, \sup \{\|P^\mathscr{A} f - P^\mathscr{B} f\|_2: 0 \leqq f \leqq 1\} \leqq 2\{\delta(\mathscr{A}, \mathscr{B})\lbrack 1- \delta(\mathscr{A}, \mathscr{B}) \rbrack\}^{\frac{1}{2}}$, where $\delta(\mathscr{A}, \mathscr{B}) \equiv \max\{\sup_{A\epsilon\mathscr{A}} \inf_{B\epsilon\mathscr{B}} P(A \triangle B), \sup_{B\epsilon\mathscr{B}} \inf_{A\epsilon\mathscr{A}} P(A \triangle B)\}:$ and that for $p \geqq 1$ the convergence to 0 of $\|P^\mathscr{F} n f - P^\mathscr{F} \infty f\|_p$ is uniform for $|f| \leqq 1$ if $\delta(\mathscr{F}_n, \mathscr{F}_\infty) \rightarrow 0$. In the present paper an inequality for conditional $p$-means given $\sigma$-lattices similar to Rogge's is obtained for $p \geqq 2$ and is applied to obtain uniformity of convergence to 0 of $\|M^\mathscr{A}_n f - M^\mathscr{A} \infty f\|_p$ when $\delta(\mathscr{A}_n, \mathscr{A}_\infty) \rightarrow 0$.
Publié le : 1975-12-14
Classification:  Conditional $p$-means,  $\sigma$-lattices,  martingales,  uniform inequalities,  60G45,  28A20
@article{1176996229,
     author = {Brunk, H. D.},
     title = {Uniform Inequalities for Conditional $p$-Means Given $\sigma$-Lattices},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 1025-1030},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996229}
}
Brunk, H. D. Uniform Inequalities for Conditional $p$-Means Given $\sigma$-Lattices. Ann. Probab., Tome 3 (1975) no. 6, pp.  1025-1030. http://gdmltest.u-ga.fr/item/1176996229/