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Perturbation of Burkholder's martingale transform and Monge--Ampère equation

Published 18 Feb 2011 in math.PR and math.AP | (1102.3905v1)

Abstract: Let dk<em>k0{d_k}<em>{k \geq 0} be a complex martingale difference in L<sup>p[0,1],L<sup>p[0,1], where $1&lt;p&lt;\infty,$ and ${\e_k}</em>{k \geq 0}$ a sequence in ±1.{\pm 1}. We obtain the following generalization of Burkholder's famous result. If τ[12,12]\tau \in [-\frac 12, \frac 12] and nZ+n \in \Z_+ then $$|\sum_{k=0}<sup>n{({c}</sup> \e_k \tau) d_k}|<em>{L<sup>p([0,1],</sup> \C<sup>2)}</sup> \leq ((p<sup>*-1)<sup>2</sup></sup> + \tau<sup>2)<sup>{\frac</sup></sup> 12}|\sum</em>{k=0}<sup>n{d_k}|_{L<sup>p([0,1],</sup></sup> \C)},$$ where ((p<sup>1)<sup>2</sup></sup>+τ<sup>2)<sup></sup></sup>12((p<sup>*-1)<sup>2</sup></sup> + \tau<sup>2)<sup>{\frac</sup></sup> 12} is sharp and p<sup>1</sup>=maxp1,1p1.p<sup>*-1</sup> = \max{p-1, \frac 1{p-1}}. For $2\leq p&lt;\infty$ the result is also true with sharp constant for τR.\tau \in \R.

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