Hardy spaces: analysis <---> martingales - MathOverflow most recent 30 from http://mathoverflow.net 2013-05-24T22:09:15Z http://mathoverflow.net/feeds/question/62347 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/62347/hardy-spaces-analysis-martingales Hardy spaces: analysis <---> martingales weakstar 2011-04-19T22:50:42Z 2011-04-20T14:21:08Z <p>Let $H^p$ be the Hardy space of analytic functions on the open unit disk $D$: $f \in H^p$ if $f$ is analytic on $D$ and $\sup_{r &lt; 1} \int_0^{2\pi} |f(re^{i\theta})|^p d\theta &lt; \infty$. </p> <p>Consider a filtration generated by a 2-d (complex) Brownian Motion $B$. The martingale hardy space $\mathcal{H}^p$ defined on some time interval $[0,T]$, say, is the set of martingales $M$ such that $M^* = \sup_{t \in [0,T]} |M_t| \in L^p$. This definition is mostly interesting for $p=1$, as for $p>1$, $\mathcal{H}^p$ can be associated with a regular $L^p$ space of martingales.</p> <p>If $B$ starts at zero, let $\tau$ be the hitting time of the boundary of $D$. Then a connection between these two spaces is the following: for $f$ analytic on the unit disk, $f(B_{t \wedge \tau}) \in \mathcal{H}^p$ if and only if $f \in H^p$, and this mapping is continuous.</p> <p>This allows you to associate $H^p$ to a subspace of $\mathcal{H}^p$. For studying $\mathcal{H}^p$, it would be useful to have a more complete representation of part of $\mathcal{H}^p$ in terms of functions evaluated on $B$. Specifically, for martingales that run on the whole time interval. Can this be obtained by using another hardy space, such as the Hardy space $h^p$ on $\mathbb{R}^2$? Can anything else be said relating hardy spaces of martingales and hardy spaces of functions?</p>