Atomic Decompositions of Weak Hardy Spaces of B-Valued Martingales

The atomic decompositions of weak Hardy spaces of Banach-space-valued martingales are given. With the help of the atomic decompositions, some inequalities for B-valued martingales are established in the case 0〈r≤1. Here the results are connected closely with the p-uniform smoothness and q-uniform convexity of Banach spaces which the martingales take values in.

BOUNDEDNESS OF DYADIC DERIVATIVE AND CESARO MEAN OPERATOR ON SOME B-VALUED MARTINGALE SPACES

In this article, it is proved that the maximal operator of one-dimensional dyadic derivative of dyadic integral I＊ and Cesàro mean operator σ＊ are bounded from the B-valued martingale Hardy spaces pΣα, Dα, pLα, p H#α, pKr to Lα （0 α ∞）, respectively. The facts show that it depends on the geometrical properties of the Banach space.

ATOMIC DECOATOMIC DECOMPOSITIONS AND DUALS OF WEAK HARDY SPACES OF B-VALUED MARTINGALES

In this article, several weak Hardy spaces of Banach-space-valued martingales are introduced, some atomic decomposition theorems for them are established and their duals are investigated. The results closely depend on the geometrical properties of the Banach space in which the martingales take values.

Two New BMO Spaces and Sharp Operators of B-Valued Martingale

For Banach space-valued martingale, two new BMO spaces, namely BMO (X), resp-BMO (X), and two new sharp operators, namely, resp. generated by the condition-al p-mean-square resp. p-mean-square operator are introduced, and then, the connections betweenBMO (X) and BMO;, BMO(X) and BMO and and are investigated. The resultsobtained here yield a new charactrization of the convexity and smoothness of Banach space.

Duals of Hardy Spaces of B-valued Martingales for 0

The dual of B-valued martingale Hardy space Hr^s（p） （B） with small index 0 〈 r ≤ 1, which is associated with the conditional p-variation of B-valued martingale, is characterized. In order to obtain the results, a new type of Campanato spaces for B-valued martingales is introduced and the classical technique of atomic decompositions is improved. Some results obtained here are connected closely with the p-uniform smoothness and q-uniform convexity of the underlying Banach space.

B-valued martingale spaces with small index and atomic decompositions

Some atomic decomposition theorems for Banach-space-valued martingales are established. Using them, the embedding relationships between martingale spaces with small index are discussed. The results obtained here are connected closely with the p-uniform smoothness and q-uniform convexity of Banach space in which the martingales take values.

Real Interpolation Between B-valued Martingale Hardy Spaces

The interpolation spaces between Banach space valued martingale Hardy spaces, between Hardy and BMO spaces are identified respectively. Some results obtained here are connected closely with the convexity and smoothness of the Banach space which the martingales take values in.

NEW DOOB'S MAXIMAL INEQUALITIES FOR MARTINGALES

Let 1≤q≤∞,b be a slowly varying function and letΦ:[0,∞)■[0,∞)be an increasing convex function withΦ(0)=0 and■Φ(r)=∞.In this paper,we present a new class of Doob’s maximal inequality on Orlicz-Lorentz-Karamata spaces LΦ,q,b.The results are new,even for the Lorentz-Karamata spaces withΦ(t)=tp,the Orlicz-Lorentz spaces with b≡1,and weak Orlicz-Karamata spaces with q=∞in the framework of LΦ,q,b-Moreover,we obtain some even stronger qualitative results that can remove the△2-condition of Liu,Hou and Wang(Sci China Math,2010,53(4):905-916).

Hàjek-Rèniy Type Inequality for Banach Space Valued Martingales and Its Applications

In this paper,we establish the Hàjek-Rèniy type inequality for Banach space valued martingales generalizing the recent results of Tómcs and L'ibor [1].Then p-uniformly smoothable Banach space is characterized in terms of the Hàjek-Rèniy type inequality for Banach space valued martingales.Those results generalize the recent results of Gan Shixin [2].

THE DYADIC DERIVATIVE AND CESRO MEAN OF BANACH-VALUED MARTINGALES

In this article, the Banach space X and the martingales with values in it are considered. It is shown that the maximal operators of the one-dimensional dyadic derivative of the dyadic integral and Cesaro means are bounded from the dyadic Hardy- Lorentz space pH^-ra（X） to Lra（X） when X is isomorphic to a p-uniformly smooth space （1 〈p ≤ 2）. And it is also bounded from Hra（X） to Lra（X） （0 〈 r 〈 ∞,0 〈 a≤oc） when X has Radon-Nikodym property. In addition, some weak-type inequalities are given.

Application of martingale theory in enterprise investment decision making

From the point of view of the basic option model, enterprise investment decision making under uncertainty is studied based on the martingale method. The study shows that investment options and yields are increasing functions of time, and when the option equals the yield, the investment opportunity cost is the least, which is the appropriate time for the enterprise investment. Under the condition that the investment yield is an increasing function of time, the investment opportunity cost is also an increasing function of time after the time when the investment option equals the investment yield. So the investors should invest as soon as possible, otherwise they should stop investment forever in this project. It is impossible to acquire more investment yields by indefinitely delaying the investment. Meanwhile, the study also shows that the martingale method, used widely in financial investment theory, is a powerful tool for enterprise investment decision making.

Upper Bounds for the L_p-norms of the Maximal Functions of Martingales

Let 2≤p【∞ and let (f n) be a martingale. Using exponential bounds of the probabilities of the type P(|f n|】λ‖T(f n)‖ ∞) for some quasi-linear operators acting on martingales, we estimate upper bounds for the L p-norms of the maximal functions of martinglaes. Our result is the extension and improvements of the results obtained previously by HITCZENKO and ZENG .

数理模型下抵押贷款共同保险的Martingale评价

假设未偿付额可由风险信用评估得到,房产价格服从一般Ito过程,构建了抵押贷款共同保险的数理评价模型,利用Martingale评价方法,得到了房屋抵押贷款共同保险的精确定价公式。

Martingale在控制论中的应用

本文用工程界熟悉的语言阐述鞅(Martingale)的含义以及鞅论(包括随机积分和随机微分方程——随机分析)在系统辨识、自适应控制、随机控制与滤波中的应用.从而说明,鞅论是现代控制理论中一个重要工具,应该引起工程界的足够的重视.

住房抵押贷款限额保险的Martingale评价

引入期权定价理论,利用鞅定价方法,得到了房屋抵押贷款限额保险的精确定价公式,其中未偿付额为常数,房产价格服从一般ITO过程。

随机利率下住房抵押贷款保险的创新及Martingale评价

在住房抵押贷款部分担保保证险的基础上进行了创新设计,并引入期权定价理论,利用鞅定价方法,分析了随机利率模型下该抵押贷款保险的定价问题,得到了该抵押贷款保险的无套利定价公式,其中房价服从一般扩散过程.Vasic?e kIto?

跳扩散模型下住房抵押贷款限额保险的Martingale评价

利用特殊的鞅定价方法,得到了住房抵押贷款限额保险的定价公式,其中假设房价服从Merton跳扩散过程。

LORENTZ MARTINGALE SPACES AND INTERPOLATION

In this article, the authors introduce some new Lorentz spaces for martingales, which are extensions of Hardy spaces of martingales. Then they discuss their basic properties, embedding relationships, and interpolation spaces between them, during which the use of rearrangement good-λ-inequality plays an important role.

TWO-WEIGHT WEAK-TYPE MAXIMAL INEQUALITIES FOR MARTINGALES

In this article, some necessary and sufficient conditions are shown in order that the inequality of the form Ф1（λ）Pu（f^＊〉λ）≤Ev （Ф2（C｜f∞｜）） holds with some constant C 〉 0 independent of martingale f = （fn）n≥0 and λ 〉 0, where Фl and Ф2 are a pair of Young functions, f^＊=sup n≥0｜fn｜ adn f∞=lim n→∞ fn a.e.

GENERALIZED ROSENTHAL'S INEQUALITY FOR BANACH-SPACE-VALUED MARTINGALES

A generalized Rosenthal＇s inequality for Banach-space-valued martingales is proved, which extends the corresponding results in the previous literatures and characterizes the p-uniform smoothness and q-uniform convexity of the underlying Banach space. As an application of this inequality, the strong law of large numbers for Banach-space-valued martingales is also given.