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10139hc_9789813143982_tp.indd 1
INEQUALITIES IN

PROBABILITY
ANALYSIS AND
Second Edition

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 INEQUALITIES IN
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ANALYSIS AND
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PROBABILITY
Second Edition

Odile Pons
National Institute for Agronomical Research, France

World Scientific
NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI • TOKYO

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 Published by
World Scientific Publishing Co. Pte. Ltd.
5 Toh Tuck Link, Singapore 596224
USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601
UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE
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Library of Congress Cataloging-in-Publication Data

Names: Pons, Odile.
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Title: Inequalities in analysis and probability / by Odile Pons

(French National Institute for Agronomical Research, France).
Description: Second edition. | New Jersey : World Scientific, 2016. |
Includes bibliographical references and index.
Identifiers: LCCN 2016038435 | ISBN 9789813143982 (hardcover)
Subjects: LCSH: Inequalities (Mathematics)
Classification: LCC QA295 .P66 2016 | DDC 512.9/7--dc23
LC record available at https://lccn.loc.gov/2016038435

British Library Cataloguing-in-Publication Data

A catalogue record for this book is available from the British Library.

Copyright © 2017 by World Scientific Publishing Co. Pte. Ltd.

All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means,
electronic or mechanical, including photocopying, recording or any information storage and retrieval
system now known or to be invented, without written permission from the publisher.

For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance
Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy
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Preface
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The most important changes made in this edition are the insertion of
two chapters: Chapter 5 on stochatic calculus with first-order differentia-
tion and exponential (sub)-martingales, and Chapter 7 on time-continuous
Markov processes, the renewal equations and the Laplace transform of the
processes. I have added to Chapter 4 a section on the p-order variations
of a process and modified the notation to extend the inequalities to local
martingales with a discontinuous process of quadratic variations, the nota-
tions of the previous edition were not modified for a continuous martingale
and for a point process with a continuous predictable compensator. I have
also corrected a few misprints and errors.
Examples of Poisson and Gaussian processes illustrate the text and their
investigation leads to general results for processes with independent incre-
ments and for semi-martingales.

Odile M.-T. Pons

February 2016

Preface of the First Edition

The inequalities in vector spaces and functional Hilbert spaces are naturally
transposed to random variables, martingales and time indexed stochastic
processes with values in Banach spaces. The inequalities for transforms by
convex functions are examples of the diffusion of simple arithmetic results
to a wide range of domains in mathematics. New inequalities have been
developed independently in these fields. This book aims to give an account
of inequalities in analysis and probability and to complete and extend them.
The introduction gives a survey of classical inequalities in several fields
with the main ideas of their proofs and applications of the analytic inequal-

v
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vi Inequalities in Analysis and Probability

ities to probability. This is not an exhaustive list. They are compared

and sometimes improved with simple proofs. Further developments in the
literature are mentioned. The book is organized according to the main con-
cepts and it provides new inequalities for sums of random variables, their
maximum, martingales, Brownian motions and diffusion processes, point
processes and their suprema.
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The emphasis on the inequalities is aimed at graduate students and re-

searchers having the basic knowledge of courses in Analysis and Probability.
The concepts of integration theory and of probabilities are supposed to be
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known, so the fundamental inequalities in these domains are acquired and

references to other publications are added to complete the topic whenever
possible. The book contains many proofs, in particular basic inequalities
for martingales with discrete or continuous parameters in detail and the
progress in several directions are easily accessible to the readers. They are
illustrated by applications in probability.
I undertook this work in order to simplify the approach of uniform
bounds for stochastic processes in functional classes. In the statistical ap-
plications, the assumptions for most results of this kind are specific to
another distance than the uniform distance. Here, the results use inequal-
ities of Chapter 4 between the moments of martingales and those of their
predictable variations, then the conditions and the constants of the proba-
bilistic bound differ from those of the other authors. During the preparation
of the book, I added other inequalities while reading papers and books con-
taining errors and unproved assertions; it should therefore fill some gaps.
It does not cover the convex optimization problems and the properties of
their solutions. It can be used as an introduction to more specific domains
of the functional analysis or probability theory and as a reference for new
applications to the asymptotic behaviour of non-standard empirical pro-
cesses in statistics. Several applications to the tail behaviour of processes
are developed in the following chapters.

Odile M.-T. Pons

April 2012
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Contents
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Preface v

1. Preliminaries 1
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Cauchy and Hölder inequalities . . . . . . . . . . . . . . . 2
1.3 Inequalities for transformed series and functions . . . . . . 6
1.4 Applications in probability . . . . . . . . . . . . . . . . . . 9
1.5 Hardy’s inequality . . . . . . . . . . . . . . . . . . . . . . 13
1.6 Inequalities for discrete martingales . . . . . . . . . . . . . 15
1.7 Martingales indexed by continuous parameters . . . . . . 20
1.8 Large deviations and exponential inequalities . . . . . . . 24
1.9 Functional inequalities . . . . . . . . . . . . . . . . . . . . 28
1.10 Content of the book . . . . . . . . . . . . . . . . . . . . . 30

2. Inequalities for Means and Integrals 33

2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 33
2.2 Inequalities for means in real vector spaces . . . . . . . . . 33
2.3 Hölder and Hilbert inequalities . . . . . . . . . . . . . . . 38
2.4 Generalizations of Hardy’s inequality . . . . . . . . . . . . 40
2.5 Carleman’s inequality and generalizations . . . . . . . . . 49
2.6 Minkowski’s inequality and generalizations . . . . . . . . . 50
2.7 Inequalities for the Laplace transform . . . . . . . . . . . 54
2.8 Inequalities for multivariate functions . . . . . . . . . . . . 57

3. Analytic Inequalities 63
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 63

vii
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viii Inequalities in Analysis and Probability

3.2 Bounds for series . . . . . . . . . . . . . . . . . . . . . . . 65

3.3 Cauchy’s inequalities and convex mappings . . . . . . . . 68
3.4 Inequalities for the mode and the median . . . . . . . . . 72
3.5 Mean residual time . . . . . . . . . . . . . . . . . . . . . . 77
3.6 Functional equations . . . . . . . . . . . . . . . . . . . . . 79
3.7 Carlson’s inequality . . . . . . . . . . . . . . . . . . . . . . 84
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3.8 Functional means . . . . . . . . . . . . . . . . . . . . . . . 87

3.9 Young’s inequalities . . . . . . . . . . . . . . . . . . . . . . 90
3.10 Entropy and information . . . . . . . . . . . . . . . . . . . 93
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4. Inequalities for Martingales 99

4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.2 Inequalities for sums of independent random variables . . 100
4.3 Inequalities for discrete martingales . . . . . . . . . . . . . 107
4.4 Inequalities for the maximum . . . . . . . . . . . . . . . . 112
4.5 Inequalities for martingales indexed by R+ . . . . . . . . . 113
4.6 Inequalities for p-order variations . . . . . . . . . . . . . . 118
4.7 Poisson processes . . . . . . . . . . . . . . . . . . . . . . . 122
4.8 Brownian motion . . . . . . . . . . . . . . . . . . . . . . . 126
4.9 Diffusion processes . . . . . . . . . . . . . . . . . . . . . . 131
4.10 Martingales in the plane . . . . . . . . . . . . . . . . . . . 134

5. Stochastic Calculus 137

5.1 Stochastic integration . . . . . . . . . . . . . . . . . . . . 137
5.2 Exponential solutions of differential equations . . . . . . . 139
5.3 Exponential martingales, submartingales . . . . . . . . . . 141
5.4 Gaussian processes . . . . . . . . . . . . . . . . . . . . . . 145
5.5 Processes with independent increments . . . . . . . . . . . 149
5.6 Semi-martingales . . . . . . . . . . . . . . . . . . . . . . . 153
5.7 Level crossing probabilities . . . . . . . . . . . . . . . . . . 154
5.8 Sojourn times . . . . . . . . . . . . . . . . . . . . . . . . . 159

6. Functional Inequalities 163

6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 163
6.2 Exponential inequalities for functional empirical
processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
6.3 Exponential inequalities for functional martingales . . . . 171
6.4 Weak convergence of functional processes . . . . . . . . . 175
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Contents ix

6.5 Differentiable functionals of empirical processes . . . . . . 178

6.6 Regression functions and biased length . . . . . . . . . . . 182
6.7 Regression functions for processes . . . . . . . . . . . . . . 187
6.8 Functional inequalities and applications . . . . . . . . . . 188

7. Markov Processes 191

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7.1 Ergodic theorems . . . . . . . . . . . . . . . . . . . . . . . 191

7.2 Inequalities for Markov processes . . . . . . . . . . . . . . 195
7.3 Convergence of diffusion processes . . . . . . . . . . . . . 196
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7.4 Branching process . . . . . . . . . . . . . . . . . . . . . . 197

7.5 Renewal processes . . . . . . . . . . . . . . . . . . . . . . 201
7.6 Maximum variables . . . . . . . . . . . . . . . . . . . . . . 207
7.7 Shock process . . . . . . . . . . . . . . . . . . . . . . . . . 212
7.8 Laplace transform . . . . . . . . . . . . . . . . . . . . . . . 217
7.9 Time-space Markov processes . . . . . . . . . . . . . . . . 222

8. Inequalities for Processes 227

8.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 227
8.2 Stationary processes . . . . . . . . . . . . . . . . . . . . . 228
8.3 Ruin models . . . . . . . . . . . . . . . . . . . . . . . . . . 230
8.4 Comparison of models . . . . . . . . . . . . . . . . . . . . 236
8.5 Moments of the processes at Ta . . . . . . . . . . . . . . . 238
8.6 Empirical process in mixture distributions . . . . . . . . . 240
8.7 Integral inequalities in the plane . . . . . . . . . . . . . . 243
8.8 Spatial point processes . . . . . . . . . . . . . . . . . . . . 245

9. Inequalities in Complex Spaces 253

9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . 253
9.2 Polynomials . . . . . . . . . . . . . . . . . . . . . . . . . . 256
9.3 Fourier and Hermite transforms . . . . . . . . . . . . . . . 260
9.4 Inequalities for the transforms . . . . . . . . . . . . . . . . 266
9.5 Inequalities in C . . . . . . . . . . . . . . . . . . . . . . . 268
9.6 Complex spaces of higher dimensions . . . . . . . . . . . . 269
9.7 Stochastic integrals . . . . . . . . . . . . . . . . . . . . . . 273

Appendix A Probability 277

A.1 Definitions and convergences in probability spaces . . . . . 277
A.2 Boundary-crossing probabilities . . . . . . . . . . . . . . . 282
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x Inequalities in Analysis and Probability

A.3 Distances between probabilities . . . . . . . . . . . . . . . 283

A.4 Expansions in L2 (R) . . . . . . . . . . . . . . . . . . . . . 286

Bibliography 289
Index 295
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