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).

DOOB'S INEQUALITY, BURKHOLDER-GUNDY INEQUALITY AND MARTINGALE TRANSFORMS ON MARTINGALE MORREY SPACES

We introduce the martingale Morrey spaces built on Banach function spaces. We establish the Doob＇s inequality, the Burkholder-Gundy inequality and the boundedness of martingale transforms for our martingale Morrey spaces. We also introduce the martingale block spaces. By the Doob＇s inequality on martingale block spaces, we obtain the Davis＇ decompositions for martingale Morrey spaces.

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.

FULLY COUPLED FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH GENERAL MARTINGALE

The article first studies the fully coupled Forward-Backward Stochastic Differential Equations （FBSDEs） with the continuous local martingale. The article is mainly divided into two parts. In the first part, it considers Backward Stochastic Differential Equations （BSDEs） with the continuous local martingale. Then, on the basis of it, in the second part it considers the fully coupled FBSDEs with the continuous local martingale. It is proved that their solutions exist and are unique under the monotonicity conditions.

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 .

DOUBLE Φ-INEQUALITIES FOR BANACH-SPACE-VALUED MARTINGALES

Let B be a Banach space, φ1, φ2 be two generalized convex φ-functions and φ1, φ2 the Young complementary functions of ψ1, ψ2 respectively with∫t t0ψ2（s）/sds≤ds≤c0ψ1（c0t）（t〉t0）for some constants co 〉 0 and to 〉 0, where ψ1 and ψ2 are the left-continuous derivative functions of ψ1 and ψ2, respectively. We claim that： （i） If B is isomorphic to a p-uniformly smooth space （or q-uniformly convex space, respectively）, then there exists a constant c 〉 0 such that for any B-valued martingale f = （fn）n≥0,｜｜f^＊｜｜φ1≤｜｜S^（p）（f）｜｜φ2（of｜｜S^（q）（f）｜｜φ1≤c｜｜f^＊｜｜φ2,respectively）,where f^＊ and S^（p） （f） are the maximal function and the p-variation function of f respectively; （ii） If B is a UMD space, Tvf is the martingale transform of f with respect to v = （Vn）z≥0 （V^＊ 〈 1）, then ｜｜（Tvf）^＊｜｜Ф1≤f^＊｜｜Ф2.

A REMARK ON A BMO MARTINGALE

In this paper, a negative answer to a question raised by Durrett(1984)[1] about a BMO martingale is given.

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.

Some Clifford Martingale Spaces

We study the spacesH p, Sp, Kp, Σ p and

Riesz Decomposition Theorems for Continuous-time Fuzzy Supermartingales

Compared with discrete- time fuzzy supermartingales, the structure and the properties of trajectories for continuous-time fuzzy supermartingales are more complex. This paper focuses on Riesz decomposition for continuous-time fuzzy supermartingales. The concepts of two types of Riesz decomposition (Riesz decomposition and level Riesz decomposition) are given and some necessary and sttfficient conditions of that a continuous time fuzzy supermartingale has Riesz decomposition are discussed in detail.

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。

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].

Martingales and Super-Martingales Relative to a Convex Set of Equivalent Measures

In the paper, the martingales and super-martingales relative to a convex set of equivalent measures are systematically studied. The notion of local regular super-martingale relative to a convex set of equivalent measures is introduced and the necessary and sufficient conditions of the local regularity of it in the discrete case are founded. The description of all local regular super-martingales relative to a convex set of equivalent measures is presented. The notion of the complete set of equivalent measures is introduced. We prove that every bounded in some sense super-martingale relative to the complete set of equivalent measures is local regular. A new definition of the fair price of contingent claim in an incomplete market is given and the formula for the fair price of Standard Option of European type is found. The proved Theorems are the generalization of the famous Doob decomposition for super-martingale onto the case of super-martingales relative to a convex set of equivalent measures.

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.

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-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.

Two-Parameter Banach Space Valued Strong Martingales and Characterizations of p-Smoothable Spaces

In this paper we introduce the concept of two-parameterB-valued strong martingales and investigate some features of these strong martingales. We also characterizep-smoothable Banach spaces in terms of these strong martingales.

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.

Davis's Inequalities for Two-Parameter Banach Space Valued Strong Martingales and Geometrical Properties of Banach Spaces

In this paper we investigated theL 1 norm inequalities of theP square and the maximal functions of two-parameterB-valued strong martingales, which can be applied to characterizep-smoothness andq-convexity of Banach spaces.