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Martingale transforms between Hardy-Orlicz spaces and of martingales

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  • Yu, Lin

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.

Suggested Citation

  • Yu, Lin, 2011. "Martingale transforms between Hardy-Orlicz spaces and of martingales," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1086-1093, August.
  • Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:1086-1093
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