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LeDoux Talagrand
LeDoux Talagrand
LeDoux Talagrand
AMS-TEX
independent Bana
h spa
e valued random variable be
ame
learer. Under the impulse, in parti
ular, of the
lo
al theory of Bana
h spa
es, isoperimetri
methods and
on
entration of measure phenomena put forward
most vigorously by V.D. Milman made a strong entry in the late seventies and eighties into the probabilisti
methods of investigation. Starting from Dvoretzky's theorem on Eu
lidian se
tions of
onvex bodies, the
isoperimetri
inequalities on spheres and in Gauss spa
e proved most powerful in the study of Gaussian
measures and pro
esses, in parti
ular through the work of C. Borell. They were useful too in the study of
limit theorems through the te
hnique of randomization. An important re
ent development was the dis
overy,
motivated by these results, of a new isoperimetri
inequality that is
losely
onne
ted to the tail behavior of
sums of independent Bana
h spa
e valued random variables. It allows in parti
ular today an almost
omplete
des
ription of various strong limit theorems like the strong law of large numbers and the law of the iterated
logarithm. In the mean time, almost sure boundedness and
ontinuity of general Gaussian pro
esses has
been re
ently
ompletely understood with the tool of majorizing measures.
One of the fas
inations of the theory of Probability in Bana
h spa
es today is its use of a wide range
of rather powerful methods. Sin
e the eld is one of the most a
tive
onta
t points between Probability
and Analysis, it should
ome as no surprise that many of the te
hniques are not probabilisti
but rather
ome from Analysis. The book fo
uses on two
onne
ted topi
s { the use of isoperimetri
methods and
the regularity of random pro
ess { where many of these te
hniques
ome into play and whi
h en
ompass
many (although not all) of the main aspe
ts of Probability in Bana
h spa
es. The purpose of this book is
to give a modern and, at many pla
es, seemingly denitive a
ount of these topi
s. The book is written so
as to require only basi
prior knowledge of either Probability or Bana
h spa
e theory, in order to make it
a
essible from readers of both elds as well as to non-spe
ialists. It is moreover presented in perspe
tive
with the histori
al developments and strong modern intera
tions between Measure and Probability theory,
Fun
tional Analysis and Geometry of Bana
h spa
es. It is essentially self-
ontained (with the ex
eption that
the proofs of a few deep isoperimetri
results have not been reprodu
ed), so as to be a
essible to anyone
starting the subje
t, in
luding graduate students. Emphasis has been put in bringing forward the ideas we
judge important but not on en
y
lopedi
detail. We hope that these ideas will fruitfully serve the further
developments of the eld and hope their propagation will in
uen
e new areas of Mathemati
s.
The two parts of the book are introdu
ed by
hapters on isoperimetri
ba
kground and generalities on
ve
tor valued random variables. To explain and motivate the organization of our work, let us brie
y analyze
one fundamental example. Let (T; d) be a
ompa
t metri
spa
e and let X = (X )t2T be a Gaussian
pro
ess indexed by T . If X has almost all its sample paths
ontinuous, it denes a Gaussian Radon
measure on the Bana
h spa
e C (T ) of all
ontinuous fun
tions on T . Su
h a Gaussian measure or variable
may then be studied for its own sake and shares indeed some remarkable integrability and tail behavior
properties of isoperimetri
nature. On the other hand, one might wonder (before) when a given Gaussian
pro
ess is almost surely
ontinuous. An analysis of the geometry of the index set T for the L2 -metri
k Xs Xt k2 indu
ed by the pro
ess allows a
omplete understanding of this property. These related but
somewhat dierent aspe
ts of the study of Gaussian variables, whi
h were histori
ally the two main streams
of developments, led us to divide the book into two parts. (The logi
al order would have been perhaps to ask
rst when a given pro
ess is bounded or
ontinuous and then investigate it for its properties as a well-dened
innite dimensional random ve
tor; we have however
hosen the other way for various pedagogi
al reasons.)
In the rst part, we study ve
tor valued random variables, their integrability and tail behavior properties
and strong limit theorems for sums of independent random variables. Su
essively, Gaussian, Radema
her
series, stable and sums of independent Bana
h spa
e valued random variables are investigated in this s
ope
using isoperimetri
tools. The strong law of large numbers and the law of the iterated logarithm, for whi
h
the almost sure statement is shown to redu
e to the statement in probability,
omplete this rst part with
extension to innite dimensional Bana
h spa
e valued random variables of some
lassi
al real limit theorems.
In the se
ond part, tightness of sums of independent random variables and regularity properties for random
pro
esses are presented. The link with Geometry of Bana
h spa
es through type and
otype is the subje
t of
one
hapter with appli
ations in parti
ular to the
lassi
al
entral limit theorem. General random pro
esses
are investigated and regularity properties of Gaussian pro
esses
hara
terized with appli
ations to random
Fourier series. The book is
ompleted with an a
ount on empiri
al pro
esses methods and with several
appli
ations, espe
ially to lo
al theory of Bana
h spa
es.
phenomenon. In presen
e of su
h a property, any ni
e fun
tion is very
lose to being a
onstant (median or
expe
tation) on all but a very small set, the smallness of whi
h depends on (X; r) . For example, if f is
a fun
tion on S N 1 , denote by !f (") its modulus of
ontinuity, !f (") = supfjf (x) f (y)j; (x; y) < "g ,
and let Mf be a median of f . Then, for every " > 0 ,
N 1 (jf
Mf j > !f ("))
1=2
exp( (N
2)"2 =2):
The
on
entration of measure phenomenon is usually derived (see however [G-M, [Mie3) from an isoperimetri
property. This
hapter des
ribed some isoperimetri
inequalities, whi
h we develop here in their
abstra
t and measure theoreti
al setting. Their appli
ation to Probability in Bana
h spa
es will be one of
the purposes of Part I of this book. The rst se
tion presents isoperimetri
inequalities in the
lassi
al
ases
of the sphere, Gauss spa
e and the
ube. The main obje
t of the se
ond se
tion is an isoperimetri
theorem
for prod u
t measures (independent random variables) while the last one is devoted to some well-known and
useful martingale inequalities. Proofs of some of the deepest inequalities like the isoperimetri
inequality
on spheres and the one for produ
t measures are omitted and repla
ed by (hopefully) a
urate referen
es.
Various
omments and remarks try however to des
ribe some of the ideas involved in these results as well as
their
onsequen
es whi
h will be useful in the sequel.
1.1. Some isoperimetri
inequalities on the sphere, in Gauss spa
e and on the
ube
Con
entration properties for families (X; ; ) are thus usually established through isoperimetri
inequalities. We present some of these inequalities in this se
tion and start with the isoperimetri
inequality on the
spheres already alluded to above (
f. [B-Z, [F-L-M,...).
Theorem 1.1 If A is a Borel set in S N 1 and H a
ap (i.e. a ball for the geodesi
distan
e ) with
the same measure N 1 (H ) = N 1 (A) , then, for any r > 0 ,
N 1 (Ar ) N 1 (Hr )
where we re
all that Ar = fx 2 S N 1; (x; A) < rg is the neighborhood of A of order r for the geodesi
distan
e. In parti
ular, if N 1 (A) 1=2 (and N 3 ), then
N 1 (Ar ) 1
1=2
exp( (N
2)r2 =2):
The main interest in su
h an isoperimetri
theorem is of
ourse the possiblility of an estimate (or even
expli
it
omputation) of the measure of a
ap (the neighborhood of a
ap is again a
ap), a parti
ular
important estimate being given in the se
ond assertion of the theorem.
Our interest in Theorem 1.1 lies in its
onne
tions and
onsequen
es to a similar isoperimetri
result
for Gaussian measures. The
lose relationships and analogies between uniform measures on spheres and
Gaussian measures have been noti
ed in many
ontexts. In this isoperimetri
setting, it turns out that the
isoperimetri
inequality on S N
inequality for Gauss measure. Poin
are's limit expresses the
anoni
al Gaussian measure in nite dimension
as the limiting distribution of proje
ted uniform distributions on spheres of radius
N when N tends to
innity. This is one example of the deep relations mentioned previously; it is also a way of illustrating the
ommon belief that Wiener measure
an be thought as uniform distribution on a sphere of innite dimension
and of radius square root of innity (
f. [M-K).
p
To be more pre
ise on this observation of Poin
are, denote, for every N , by N N1 the uniform normalized
p N 1
p
NS
of
enter the origin and radius N in IRN . Denote further by N;d(N
p
p
d) the proje
tion from NS N 1 onto IRd . Then, the sequen
e fN;d(N N1 ); N dg of measures on IRd
onverges weakly when N goes to innity to the
anoni
al Gaussian measure on IRd . To sket
h the proof,
simply note that by the law of large numbers 2N =N ! 1 almost surely (or only in probability) where
2N = g12 + + gN2 and (gi ) is a sequen
e of independent standard normal random variables. But,
learly,
p
p
(N 1=2 =N ) (g1 ; : : : ; gN ) is equal in distribution to N N1 ; hen
e (N 1=2 =N ) (g1 ; : : : ; gd) = N;d(N N1 )
and the
on
lusion follows. Note that we will a
tually need a little more than weak
onvergen
e in this
Poin
are limit, namely
onvergen
e for all Borel sets. This
an be obtained similarly with some more eorts
(see [Fer9).
Provided with this tool, it is simple to see how it is possible to derive an isoperimetri
inequality for
Gaussian measures from Theorem 1.1. The basi
result whi
h is obtained in this way
on
erns the
anoni
al Gaussian distribution in nite dimension; as is
lassi
al however, the fundamental feature of Gaussian
distributions allows then to extend these results to general nite or innite dimensional Gaussian measures.
Let us denote therefore by
N the
anoni
al Gaussian probability measure on IRN with density
Denote further by the distribution fun
tion of this measure in dimension 1, i.e.
(t) = (2)
1=2
Z t
is the inverse fun
tion and = 1 for whi
h we re
all the
lassi
al estimate:
1
(t) exp( t2 =2); t 0:
2
The next theorem is the isoperimetri inequality for (IRN ; d; N ) where d denotes the Eu lidian distan e.
Theorem 1.2. If A is a Borel set in IRN and if H is a half-spa
e fx 2 IRN ; < x; u > < g; u 2 IRN ; 2
[ 1; +1 , with the same Gaussian measure
N (H ) =
N (A) , then, for any r > 0 ,
N (Ar )
N (Hr )
where, a
ordingly, Ar is the Eu
lidean neighborhood of order r of A . Equivalently,
1 (
N (Ar )) 1 (
n (A)) + r
and in parti
ular, if
N (A) 1=2;
1
1
N (Ar ) (r) exp( r2 =2):
2
Proof. The equivalen
e between the two formulations is easy sin
e the Gaussian measure of a half-spa
e
is being
omputed in dimension one and thus
N (Hr ) = ( 1 (
N (H )) + r) = ( 1 (
N (A)) + r):
The
ase
N (A) 1=2 simply follows form the fa
t that 1 (1=2) = 0 . Turning to the proof itself, sin
e
1 (0) = 1 , we may assume that a = 1 (
N (A)) > 1 . Let then b 2 1; a[ . By Poin
are's
observation, for all k( N ) large enough,
p
p
1 (A)) > k ( 1 ( 1; b)):
k k1 (k;N
k 1 k;1
1 (A ) ( 1 (A)) where the neighborhood of order r on the right is understood
It is easy to see that k;N
r
r
k;N
p k 1
p
with respe
t to the geodesi
distan
e on kS . Sin
e k;11 ( 1; b) is a
ap on kS k 1 , by the
isoperimetri
inequality on spheres (Theorem 1.1),
p
p
1 (A )) k (( 1 (A)) )
k k1 (k;N
r
r
k 1
k;1
pk
k 1 ((k;11 ( 1; b))r ):
Now (k;11 ( 1; b))r = k;11 ( 1; b + r(k)) for some r(k) 0 satisfying lim r(k) = r . In the Poin
are
k!1
limit we get therefore that
N (Ar ) (b + r) , hen
e the result sin
e b < 1 (
N (A)) is arbitrary.
Note that half-spa
es, as
aps on spheres, are extremal sets for the Gaussian isoperimetri
inequality sin
e
they a
hieve equality in the
on
lusion.
The isoperimetri
inequality for Gauss measure thus follows rather easily from the
orresponding one
on spheres. This later one however requires a quite involved proof based on extensive use of powerful
symmetrization (in the sense of Steiner) te
hniques. It was one of the remarkable observations of the work of
A. Ehrhard to show how one
an introdu
e a similar symmetrization pro
edure adapted to Gaussian measure
(with half-spa
es as extremal sets). This allows a more intrinsi
proof of Theorem 1.2. This also led him to
a rather
omplete isoperimetri
al
ulus in Gauss spa
e; he obtained in parti
ular in this way an inequality
of Brunn-Minkowski's type; namely for A; B
onvex sets in IRN and 2 [0; 1 ,
(1:1)
where the sum A + (1 )B is understood in the sense of Minkowski as fx 2 IRN ; x = a + (1 )b; a 2
A; b 2 B g . Taking B to be the Eu
lidian ball of
enter the origin and radius r=(1 ) and letting tend
to 1 , it is easily seen how (1.1) a
tually implies the isoperimetri
inequality of Theorem 1.2 (for A
onvex).
However, (1.1) is only known at the present time for
onvex sets. An inequality on whi
h (1.1) appears as an
improvement (for
onvex sets) but whi
h holds for arbitrary Borel sets A; B is the so-
alled log-
on
avity
of Gaussian measures:
(1:2)
A proof of (1.2) may be given using again the Poin
are limit but this time on the
lassi
al Brunn-Minkowski
inequality on IRN (see [B-Z, [Pi18,...) whi
h states that
volN (A + (1 )B ) ( volN (A)) ( volN (B ))1
for in [0; 1 , A; B bounded in IRN and where volN is N -dimensional volume. Let, for k N , Pk;N
p
be the proje
tion from the ball of
enter the origin and radius k in IRk onto IRN . If A; B are Borel sets
in IRN and 0 1 , by
onvexity it is
lear that
10
k!1
for every Borel set A in IRN . One measure further on this proof the sharpness of (1.1).
As announ
ed, and due to the properties of Gaussian distributions, the pre
eding inequalities and Theorem
1.2 easily extend to general nite or innite dimensional Gaussian measures. These extensions will usually
be des
ribed below in their appli
ations. Let us however brie
y indi
ate one innite dimensional result whi
h
will be useful to re
ord here. On IRIN ,
onsider the measure
=
1 whi
h is the innite produ
t of the
anoni
al one-dimensional Gaussian distribution on ea
h
oordinate. The isoperimetri
inequality indi
ates
similarly that for ea
hBorel set A in IRIN and r > 0 ,
(1:3)
1 ( (Ar )) 1 ( (A)) + r
where Ar is here the Eu
lidian or rather Hilbertian neighborhood of order r of A in IRIN , i.e. Ar =
A + rB = fx = a + rh; a 2 A; h 2 IRIN ; jhj 1g where B is the unit ball of `2 ( Ar is not ne
essarily
measurable). This of
ourse simply follows for Theorem 1.2 and a
ylindri
al approximation. Note that
(`2 ) = 0!
As a
orollary to Theorem 1.2, we now express the
on
entration of measure phenomenon for fun
tions on
(IRN ; d;
N ) . This formulation of the isoperimetry will turn out to be a
onvenient tool in the appli
ations.
Let f be Lips
hitzian on IRN with Lips
hitz norm given by
Mf j t k f k Lip g;
11
N (jf
Mf j > t) 2 (t= k f
Hen
e, with very high probability, f is
on
entrated around its median Mf . As we will see in Chapter 3,
this inequality
an be used to investigate the integrability properties of Gaussian random ve
tors. Let us
note also that the pre
eding argument applied only to ff Mf g shows similarly that
1
N (f > Mf + t) exp( t2 =2 k f
2
k2Lip ):
This inequality however appears more as a deviation inequality only as opposed to (1.4) whi
h indi
ates a
on
entration. We shall
ome ba
k to this distin
tion in various
ontexts in the sequel.
If (1.4) appears as a dire
t
onsequen
e of Theorem 1.2, it should be noted that inequalities of the same
type
an a
tually be established by simple dire
t arguments and
onsiderations. One su
h approa
h is the
following. Let f be, as before, Lips
hitzian on IRN , so that f is almost everywhere dierentiable and its
R
gradient 5f satises j 5 f j k f k Lip . Assume now moreover that fd
N = 0 . Then, for any t and
> 0 , we
an write by Chebyshev's inequality,
exp( t)
exp(f )d N
Z Z
where in the se
ond inequality we have used Jensen's inequality (in y ) and the mean zero property. Now,
x; y being xed in IRN , set, for any in [0; 2 ,
f (x) f (y) =
=
Z =2
Z =2
d
f (x())d
d
< 5f (x()); x0 () > d:
Hen
e, using Jensen's inequality one more time (in here),
N (f > t) is majorized by
2
exp( t)
Z =2 Z Z
exp
< 5f (x()); x0 () > d
N (x)d
N (y) d:
2
12
The fundamental rotational invarian
e of Gaussian measures indi
ates that, for any , the
ouple (x(); x0 ())
has the same distribution, under
N
N , as the original one (x; y) . Therefore, by Fubini's theorem,
Z Z
< 5f (x); y > d
N (x)d
N (y) :
exp
2
Performing integration in y ,
exp
2 2
j 5 f j2 d
N
8
2 2
k
f k2Lip :
t +
8
exp
N (jf
(1:5)
k2Lip)
where Ef = fd
N (nite sin
e f is Lips
hitzian). This inequality is of
ourse very
lose in spirit to (1.4).
If (1.5) has a worse
onstant in the exponent, it
an a
tually be shown, using a similar argument but with
sto
hasti
dierentials with respe
t to Brownian motion, that we also have, for every t > 0 ,
(1:6)
N (jf
The pre
eding argument leading to (1.5) however presents the advantage to apply to more general situations
as the
ase of ve
tor valued fun
tions (
f. [Pi16). We retain in any
ase that
on
entration inequalities of
the type (1.4)-(1.6) are usually easier to obtain than the rather deli
ate isoperimetri
theorems.
(1.4) and (1.6) des
ribe the same
on
entration property around a median Mf or the expe
tation Ef =
fd
N of a Lips
hitzian fun
tion f . It is of
ourse often easier to work with expe
tations rather than with
medians. A
tually, these are essentially of the same order here. Indeed, integrating for example (1.4) yields
R
p
jEf Mf j 2 k f k Lip ;
13
k2Lip) < 21 ;
Ef
t Mf
t + Ef :
However, it is not known whether it is possible to dedu
e exa
tly (1.4) and (1.6) from ea
h other. Note
further that (1.4) a
tually shows that a median Mf is ne
essarily unique. Indeed, if Mf < Mf0 are two
distin
t medians of f , letting t = (Mf0 Mf )=2 > 0 gives
1
2
whi
h is impossible.
Uniform measures on spheres and Gaussian measures thus satisfy isoperimetri
inequalities and
on
entration phenomena. For our purposes, there is a useful observation whi
h allows to dedu
e from the Gaussian
inequalities further ones for a rather large
lass of measures. Denote by ' a Lips
hitzian map on IRN with
values in IRN su
h that
j'(x) '(y)j
jx yj for all x; y in IRN
for some
=
' > 0 . Denote by the image measure of
N by ' , i.e. (A) =
N (' 1 (A)) for any Borel
set A in IRN . Then there is an isoperimetri
inequality of Gaussian type for , namely, for A measurable
in IRN and r > 0 ,
(1:7)
1 ((A r )) 1 ((A)) + r:
14
It is then of
ourse of some interest to try to des
ribe the
lass of probabilities whi
h
an be obtained as
the image of
N by a
ontra
tion. If a
omplete des
ription is still missing, the next examples are worthwhile
to be noted (and useful for the sequel) . Let be uniformly distributed on the
ube [0; 1N . Then is the
image of
N by the map
N , i.e. '(x) = '(x1 ; : : : ; xN ) = (x1 ) : : : (xN ); x = (x1 ; : : : ; xN ) 2 IRN , for
whi
h it is easily seen that
' = (2) 1=2 . If one, for symmetry reasons, is rather interested by the uniform
measure on [ 1=2; +1=2N ,
hoose then ' = (2 1)
N for whi
h
' = (2=)1=2 .
The pre
eding approa
h however does not allow to investigate the important
ase of Haar measure on
f0; 1gN (the extreme points of [0; 1N ), or rather on f 1; +1gN whi h we use preferably for symmetry
f 1; +1gN given by
d(x; y) =
N
1 X
1
Cardfi N ; xi 6= yi g =
jx
N
2N i=1 i
yi j
for x; y 2 f 1; +1gN . An isoperimetri
theorem for the triple (f 1; +1gN ; d; N ) is known [Har and states
in parti
ular that if N (A) 1=2 for some A f 1; +1gN , for r > 0 ,
1 N (Ar )
1
exp( 2Nr2 )
2
where, as usual, Ar = fx 2 f 1; +1gN ; d(x; A) < rg . Unfortunately, this result is not strong enough to
yield a
on
entration inequality for N similar to (1.4) or (1.6) sin
e it depends on the dimension. In order
to a
omplish this program, we will need a stronger result (independent of N ) whi
h is the following. For
a non-empty subset A of
f 1; +1gN ,
exp(d2A =8)dN
1(A) :
N
15
1 + e1=2
2
N
2N = 1(A)
N
sin
e e1=2 < e < 3 . This already proves the theorem when N = 1 sin
e then the only
ase left is
A = f 1; +1g for whi
h dA 0 and the result holds.
We now prove Theorem 1.3 by indu
tion over N . Assuming it holds for N , we prove it for N + 1 . By
the pre
eding, it is enough to
onsider the
ase where A has at least two points. Assuming without loss of
generality that these points dier on the last
oordinate and identifying f 1; +1gN +1 with f 1; +1gN
f 1; +1g , we
an then suppose that A = A 1 f 1g [ A+1 f+1g where A 1 ; A+1 are non-empty in
f 1; +1gN . We
an assume for example that N (A 1 ) N (A+1 ) and observe moreover that dA ((x; 1))
dA+1 (x) . The
ru
ial point of the proof is
ontained in the following observation: for any x in f 1; +1gN
and 0 1 ,
(1:8)
Indeed, for i = 1; +1 , let zi 2 ConvAi su
h that jx zi j = dAi (x) . We noti
e that (zi ; i) 2 ConvA so
that z = (z+1 + (1 )z 1 ; 1 + 2) 2 ConvA . Now
j(x; 1) z j2 = 42 + jx (z+1 + (1 )z 1 )j2
= 42 + j(x z+1) + (1 )(x z 1 )j2
42 + jx z+1 j2 + (1 )jx z 1 j2
by the triangle inequality and
onvexity of the square fun
tion. This proves (1.8).
R
For i = 1; +1 , we set ui = exp(d2Ai =8)dN and vi = 1=N (Ai ) so that ui vi by the indu
tion
hypothesis. From dA ((x; 1)) dA+1 (x) and (1.8) we have, for all 0 1 ,
Z
Z
1
2
exp(dA =8)dN +1
exp(d2A+1 =8)dN
2Z
1
+
exp(2 =2 + d2A+1 =8 + (1 )d2A 1 =8) dN
2
12 u+1 + 12 e2 =2 u+1 u1 1
"
#
2
1
v 1 1
=
2
2 v+1 1 + e
v+1
16
by Holder's inequality and sin
e ui vi . The value of whi
h minimizes the pre
eding expression is
= log(v+1 =v 1 ) but, in order not to have to
onsider the
ase where 1 , let us take = 1 v+1 =v 1
(re
all that we assume that v+1 = 1=N (A+1 ) 1=N (A 1 ) = v 1 ) whi
h gives
Z
2
1
exp(d2A =8)dN +1 v+1 [1 + e =2 (1 )
2
1) :
2 4 :
2
4
2
1
v
= 1
1 = N (A+1 ) + N (A
2 +1 2
+
v+1 v 1
1)
1
:
N +1 (A)
N (jf
Mf j > t) 4 exp( t2 =8 k f
k2Lip):
To prove this inequality, let rst A = ff Mf g . Sin
e f is
onvex, f Mf on Conv A . Further, by the
Lips
hitz property, if dA (x) t= k f k Lip , then f (x) Mf + t . Hen
e, by Chebyshev's inequality and
Theorem 1.3,
N (f > Mf + t) N (dA > t= k f k Lip )
1(A) exp( t2 =8 k f k2Lip )
N
2 exp( t2 =8 k f k2Lip):
On the other hand, let B = ff < Mf
f (x) < Mf ; thus
k Lip ) 12
t= k f k Lip , then
17
by denition of the median. But, again by Chebyshev's inequality and Theorem 1.3, we get
N (B ) 2 exp( t2 =8 k f
k2Lip ):
jf () f ( )j k f k Lip j j
for all ; in `2 , then similarly, for Mf a median of f for ,
(jf
(1:10)
Mf j > t) 4 exp( t2 =8 k f
k2Lip)
A = fx 2 f 1; +1gN ;
N
P
i=1
k f k Lip= 1 and 0 is
P
N
+
a median of f . Assume N is an even integer. Then, as is easy to see, f 2 (x) = 2 i=1 xi ; but then,
from the
entral limit theorem, N (f >
N 1=4 ) 1=4 for some
> 0 independent of N from whi
h is is
lear that the non-
onvex Lips
hitzian fun
tion f
annot verify an inequality like (1.9).
Despite of these somewhat negative observations, Theorem 1.3 and the
on
entration inequality (1.9) will
be used in Chapter 4 in the study of tail behavior and integrability properties of ve
tor valued Radema
her
series as e
iently as the Gaussian inequalities in Chapter 3.
18
valued
oe
ients. In this se
tion, we present an isoperimetri
theorem for produ
t measures whi
h will be
our key tool in the study of general sums of independent random variables (Chapter 6). Its dis
overy was
a
tually motivated by these questions. The statement of the result is somewhat abstra
t but we will try by
omments and ideas on the proof to
larify its powerful meaning.
Given a probability spa
e (E; ; ) and a xed, but arbitrary, integer N 1 , denote by P the produ
t
measure
N on E N . A point x in E N has
oordinates x = (x1 ; : : : ; xN ); xi 2 E . To a subset A of
E N , we asso
iate
d(x; y) =
N
X
i=1
H (A; q; k) = fx 2 E N ; d(xe; Aq ) kg
log(1=P (A)) 1
+
K
k
q
k
19
The proof of Theorem 1.4 is isoperimetri
in nature and relies on several redu
tions based on symmetrization (rearrangement) pro
edures. We below illustrate one typi
al argument in a parti
ular
ase. It does not
seem however to allow an exa
t solution of the isoperimetri
problem whi
h would be the determination, for
any a > 0 of
inf fP (H (A; q; k)); P (A) > ag:
Note further that the use of inner probability is ne
essary sin
e H (A; q; k) need not be measurable when A
is.
Theorem 1.4 is mostly used in appli
ation only in the typi
al
ase P (A) 1=2 and k q for whi
h we
get that
(1:11)
P (H (A; q; k)) 1
K0 k
q
where K0 is a numeri
al
onstant. It will be
onvenient in the sequel to assume this
onstant K0 to be an
integer; we do this and K0 will moreover always have the meaning of (1.11) throughout the book.
It has been remarked in [Ta11 that, in the
ase P (A) 1=2 for example, (1.11)
an a
tually be improved
into
(1:12)
P (H (A; q; k)) 1
1
1
+
K
k q log q
k
The gain of the fa
tor log q is irrelevant for the appli
ations presented in this work. It should be noted
however that this estimate is sharp. Indeed,
onsider the
ase where E = f0; 1g and = 1
r
r
N 0 + N 1
A = fx 2 E N ;
N
X
i=1
xi rg:
H (A; q; k) = fx 2 E N ;
N
X
i=1
xi rq + kg:
20
Now
r rq+k+1
r N rq k
N
1
N
N
rq + k + 1
rq+k+1
r rq+k+1
N
2
r
N
e
2(rq + k + 1)
P (H (A; q; k) )
"
1
K
1
q + kr
!#rq+k+1
If k q are xed (large enough) and if we take r to be of the order of k=(q log q) , we see that we have
obtained an example for whi
h the bound (1.12) is optimal.
As announ
ed, we will only use (1.11) in appli
ations. These will be mainly studied in Chapter 6 and in
orollaries in Chapters 7 and 8 on strong limit theorems for sums of independent random variables. Let us
therefore brie
y indi
ate the trivial translation from the pre
eding abstra
t produ
t measures to the setting
of independent random variables. Let XX = (Xi )iN be a sample of independent random variables with
values in a measurable spa
e E . By independen
e, they
an be realized on some produ
t probability spa
e
K0 k
:
q
Hen
e, when k or q are large, the sample XX falls with high probability into H (A; q; k) . On this set, XX is
entirely
ontrolled by a nite number q of points in A provided k elements of the sample are negle
ted. In
the appli
ations, espe
ially to the study of sums of independent random variables, these negle
ted terms
an
essentially be thought as the largest values of the sample. Hen
e, on
e an appropriate bound on large values
have been found, a good
hoi
e of A and relations between the various parameters q and k determine
sharp bounds on the tails of sums of independent random variables. This will be one of the obje
ts of study
in Chapter 6. Let us note further that this intuition about large values of the sample is justied in the spe
ial
ase of the proof of Theorem 1.4 we give below; the nal binomial arguments exa
tly handle the situation
as we just des
ribed.
We refer to [Ta11 for a detailed proof of Theorem 1.4. We would like however to give a proof in the
simpler
ase where A is symmetri
, i.e. invariant under permutation of the
oordinates. The rearrangement
part of the proof is an inequality introdu
ed in [Ta6, in the same spirit, but easier, than the rearrangement
21
arguments needed for Theorem 1.4. The expli
it
omputations on the sets after appropriate rearrangement
are then identi
al to those required to prove Theorem 1.4, and rely on
lassi
al binomial estimates. This
method also yields a version of Theorem 1.4 in the
ase of symmetri
A for q > 1 not ne
essarily an integer.
This is another motivation for the details we are giving now. More pre
isely let, as before, N 1 be an
integer and let now q > 1 ; denote by N 0 the integer part of qN . Consider C symmetri
(invariant under
0
0
permutation of the
oordinates) in E N su
h that P 0 (C ) > 0 where P 0 =
N . For ea
h integer k , set
For simpli
ity, we do not indi
ate the expli
it dependen
e of K (q) and k(q; P 0 (C )) in fun
tion of q and
P 0 (C ) but, as will be
lear from the proof, these are similar to the ones expli
ited in Theorem 1.4.
In order to establish (1.14), we take upon the framework of [Ta11 and note in parti
ular, to start with,
that sin
e the result is measure theoreti
we might as well assume that E = [0; 1 and is Lebesgue
measure on [0; 1 . The main point in the proof of (1.14) is the use of Theorem 11 in [Ta6 whi
h ensures
0
0
0
the existen
e, for C symmetri
, of a left-hereditary subset Ce of 0; 1[N su
h that N (Ce) = N (C ) and
for whi
h, for every k ,
N
e k )):
N
(G(C; k)) (G(C;
Ce is left-hereditary in the sense that whenever (yi )in 2 Ce and, for 1 i N 0 ; 0 < zi < yi , then
e k ) whi
h is therefore measurable, but in gen(zi )iN 0 2 Ce . (When Ce is left-hereditary, so is G(C;
eral G(C; k) need not be measurable.) The
on
lusion now follows from an appropriate lower bound for
22
e k )) whi
h will be obtained using binomial estimates. Convenient here is the following inequality:
(G(C;
(1:15)
"
t 1
1 t
1 t #n
where B (n; ) is the number of su
esses in a run of n Bernoulli trials with probability of su
ess and
0 < t < 1.
0
We let q = (1 + ")2 ; " > 0 , and rst show that for some = ("; N (C )) > 0 large enough, there exists
(yi )iN 0 in Ce su
h that, for every 1 r N 0 ,
(1 + ")(r + )
g r:
N0
so that, by (1.15),
1
1 t
1 t
= 1
t
1 t
1 t
tn
exp( ( t))
1 log
:
t
(1 + ")(r + )
g r 1)
N0
exp( 2 (1 + ")(r + ))
r1
whenever = ("; N (C )) is
hosen large enough. This proves the pre
eding
laim.
Now, sin
e Ce is left-hereditary, ea
h sequen
e (xi )iN su
h that for every r > k ,
Card fi N ; "i 1
(1 + ")(r k + )
gr
N0
23
e k ) ; indeed, the r -th largest element of (xi )iN is less than 1 (1 + ")(r k + )=N 0 and
belongs to G(C;
is therefore smaller than the (r k) -th largest element of (yi )iN 0 . Thus, by the left-hereditary property
e (xi )iN 2 G(C;
e k ) . The proof of (1.14) will therefore be
ompleted if we
an show that
of C;
(1 + ")(r k + )
gr
N0
0
1 k("; N (C ))[K (")k
1)
for some K (") < 1 and all k k("; N (C )) large enough. To this aim, note that
t
1+ t
log u
t t
(1 t)n
exp( t)
1
1 t
1 log
1
1 t
:
Using this inequality, if r > k and k k("; N (C )) large enough, we get that
(1 + ")(r k + )
g r) exp( 2 r):
N0
As announ
ed, this is exa
tly what was required to
on
lude the proof and therefore the isoperimetri
result
(1.14) is established.
Re
all L1 = L1 (
; A; IP) denotes the spa
e of all real measurable fun
tions f on
su
h that IEjf j =
jf jdIP < 1 . Assume that we are given a ltration
f;
g = A0 A1 AN = A
24
of sub- -algebras of
for ea h i = 1; : : : ; N ,
di = IEAi f
IEAi 1 f
IEf = N
i=1 di . (di )iN denes a so-
alled martingale dieren
e sequen
e
hara
terized by the
property IEAi 1 di = 0; i N .
so that f
One of the typi
al examples of martingale dieren
es sequen
e we have in mind is a sequen
e (Xi )iN of
independent mean zero random variables. Indeed, if
X1 ; : : : ; Xi , by independen
e and the mean zero property, it is
lear that IEAi 1 Xi = IEXi = 0 . Hen
e, all
the results we will present for f
IEf =
PN
i=1 di
PN
i=1 Xi .
The rst lemma is a kind of analog in this
ontext of the
on
entration property for Lips
hitzian fun
tions.
It expresses, in the pre
eding notations, high
on
entration of f around its expe
tation in terms of the size
of the dieren
es di .
PN
i=1 di
Proof. We rst note that when ' is a random variable su
h that j'j 1 almost surely and IE' = 0 ,
then, for any real number ; IE exp ' exp(2 =2) . Indeed, simply note from the
onvexity of x ! exp(x)
and x = (1 + x)=2 (1 x)=2 that, for any jxj 1 ,
exp(x)
h + x sh exp(2 =2) + x sh
and integrating yields the
laim. It
learly follows that, for any i = 1; : : : ; N ,
IEAi 1 exp di exp(2 k di k21 =2):
25
IEf ) = IE exp(
N
X
= IE(exp(
IE exp(
di )
i=1
NX1
i=1
NX1
:::
i=1
exp(2 a2 =2) :
We then obtain from Chebyshev's inequality that, for t > 0 ,
IPff
exp( t2 =2a2)
for the optimal
hoi
e of . Applying this inequality also to
We should point out at this stage, and on
e for all, that in a statement like Lemma 1.5, it is understood
that if we are interested only in f IEf rather than jf IEf j , we also have
IPff
(This was a
tually expli
itly extablished in the proof!) This general
omment about a
oe
ient 2 in front
of the exponential bound in order to take into a
ount absolute values (f and f ) applies in many similar
situations (we already mentioned it about the
on
entration inequalities of Se
tion 1.1) and will be applied
usually without any further
omment in the sequel.
When, in addition to the bounds on di , some information on IEAi 1 d2i is available, the pre
eding proof
basi
ally yields the following renement.
P
IPfjf
t2
at
2 exp 2
2b2
b
26
The proof is similar to the one of Lemma 1.5. It uses simply that
2 Ai 1 2 3 Ai 1 3
IE
di + IE di + : : :
2!
3!
k di k1 2 k di k21
2
A
i
1 2
1 + 2 k IE di k1 1 + 3 + 3:4 + : : :
2
A
a
i
1 2
exp 2 k IE di k1 e :
jf IEf j
N
X
i=1
k di k1 :
This simple observation of
ourse suggests the possibility of some interpolation between the sum of the
P
2 1=2 whi
h steps in in Lemma 1.5 and this trivial bound. This kind of result is
squares ( N
i=1 k di k1 )
des
ribed in the next two lemmas.
Lemma 1.7. Let 1 < p < 2 and let q = p=p 1 denote the
onjugate of p . Let further f be as before
P
with f IEf = N
i1=p k di k1 . Then, for every t > 0 ,
i=1 di and set now a = max
iN
IPfjf
Proof. By homogeneity we may and do assume that a = 1 . For any integer m we an write
jf IEf j
n
X
i=1
m
X
i=1
jdi j + j
i>m
di j
X
X
i 1=p + j
di j qm1=q + j
di j :
i>m
i>m
Assume rst that t > 2q and denote then by m the largest integer su
h that t > 2qm1=q . We
an apply
P
Lemma 1.5 to
di and thus obtain in this way, together with the pre
eding \interpolation" inequality,
i>m
IPfjf
i>m
di j > qm1=q g
2 exp q2 m2=q =2
i>m
k di k21 :
27
Now, sin e a 1 ,
i>m
so that
k di k21
IPfjf
q 1 2=p
m
i 2=p
q
2
i>m
X
2)m=2)
2 exp( tq =Cq1 )
where Cq1 = 4(2q)q =q(q
2) . When t 2q ,
IPfjf
where Cq2 = (2q)q = log 2 . The lemma then follows with Cq = max(Cq1 ; Cq2 ) .
PN
i=1 di
IPfjf
Proof. It is similar to the pre
eding one. We again assume by homogeneity that a = 1 . When t 4 ,
IPfjf
When t > 4 , let m be the largest integer su h that t 2 + log m . We have as before that
jf IEf j
Hen
e
IPfjf
m
X
i=1
jdi j + j
i>m
i>m
di j (1 + log m) + j
di j > 1g 2 exp
1X
i
2 i>m
i>m
!
di j:
2 exp( m=2)
28
The des
ription of the
on
entration of measure phenomenon is taken from the paper [G-M by M.
Gromov and V. D. Milman were further interesting examples of "Levy' families" are dis
ussed (see also
[Mi-S, [Mi3). The use of isoperimetri
on
entration properties in Dvoretzky's theorem on almost spheri
al
se
tions of
onvex bodies (see Chapter 9) was initiated by V. D. Milman [Mi1, amplied later in [F-L-M.
Further appli
ations to lo
al theory of Bana
h spa
es are presented in [Mi-S, [Pi18, [TJ2.
The isoperimetri
inequality on the sphere (Theorem 1.1) is due to P. Levy [Le2 and E. S
hmidt [S
hm.
Levy's proof, that has not been understood for a long time, has been revived and generalized by M. Gromov [Gr1, [Mi-S. S
hmidt's proof is based on deep isoperimetri
symmetrizations (rearrangements in the
sense of Steiner) arguments. A
ounts on symmetrizations and rearrangements, geometri
inequalities and
isoperimetry may be found in [B-Z, [Os. For a short proof of Theorem 1.1, we refer to [F-L-M, or [Ba-T,
[Beny (for the two point symmetrization method). Poin
are's Lemma is not to be found in [Po a
ording
to [D-F; see this paper for the history of the result. Poin
are's Lemma is ni
ely revisited in [MK. The
Gaussian isoperimetri
Theorem 1.2 is due independently to C. Borell [Bo2 and V. N. Sudakov and B. S.
Tsirel'son [S-T with the proof sket
hed here. A. Ehrhard introdu
ed Gaussian symmetrization in [Eh1
and established there inequality (1.1). See further [Eh2 and also [Eh3 where extremality of half spa
es is
investigated. We refer the reader to [Ta19 where a new isoperimetri
inequality is presented, that improves
upon
ertain aspe
ts of the Gaussian isoperimetri
theorem. Log-
on
avity of Gaussian Radon measures in
lo
ally
onvex spa
es has been shown by C. Borell [Bo1. The simple proof we suggest has been shown to us
by J. Saint-Raymond. Inequality (1.5) is due to G. Pisier with the simple proof of B. Maurey [Pi16. They
a
tually deal with ve
tor valued fun
tions and the method of proof indeed ensures in the same way that if
f : E ! G is lo
ally Lips
hitzian between two Bana
h spa
es E and G , if
is a Gaussian Radon measure
on E and if F : G ! IR is measurable and
onvex, then
Z
F (f
fd )d
ZZ
(1.6)
omes from B. Maurey (
f. [Pi16, [Led7). A proof of (1.6) using Yurinskii's observation (see Chapter
6 below) and a
entral limit theorem for martingales has been noti
ed by A. de A
osta and J. Zinn (oral
ommuni
ation). (1.7) and the subsequent examples were observed by G. Pisier [Pi16. The isoperimetri
theorem for Haar measure on f 1; +1gN with respe
t to the Hamming metri
was established by L. H.
Harper [Har. Theorem 1.3 may be found in [Ta9 where
omparison with [Har is dis
ussed. Extensions to
measures on f 1; +1gN with non-symmetri
weights are des
ribed in [J-S2.
29
The isoperimetri
theorem for subsets of a produ
t of probability spa
es, Theorem 1.4, is due to the
se
ond author [Ta11. Inequality (1.14) for q not ne
essarily an integer is new, and is also due to the se
ond
author. The binomial
omputations
losely follow the last step in [Ta11. (1.15)
omes from [Che.
The rst two inequalities of Se
tion 1.3 are rather
lassi
al. In this form, Lemma 1.5 is apparently due
to [Azu. Lemma 1.6 is the martingale analogue of the
lassi
al exponential inequality of Kolmogorov [Ko
(see [Sto), in a form put forward in [A
7. For sums of independent random variables, and starting with
Bernstein's inequality (
f. [Ho) this type of inequality has been extensively studied leading to sharp versions
in, for example, [Ben, [Ho (see also Chapter 6). We use for simpli
ity Lemma 1.6 in this work but the
pre
eding referen
es
an basi
ally be used equivalently in our appli
ations. Lemmas 1.6 and 1.7 are taken
from [Pi16. For appli
ations of all these inequalities to Bana
h spa
e theory, see, besides others, [Mau3,
[S
h1, [S
h2, [S
h3, [J-S1, [Pi12, [B-L-M, [Mi-S, [Pi16, et
. For appli
ation of the martingale method
to rather dierent problems, see [R-T1, [R-T2, [R-T3.
30
Chapter 2. Generalities on Bana
h spa
e valued random variables and random pro
esses
2.1 Bana
h spa
e valued Radon random variables
2.2 Random pro
esses and ve
tor valued random variables
2.3 Symmetri
random variables and Levy's inequalities
2.4 Some inequalities for real random variables
Notes and referen
es
31
Chapter 2. Generalities on Bana
h spa
e valued random variables and random pro
esses
This
hapter
olle
ts in a rather informal way some basi
fa
ts about pro
esses and innite dimensional
random variables. The material we present a
tually only appears as the ne
essary ba
kground for the
subsequent analysis developed in the next
hapters. Only a few proofs are given and many important results
are only just mentioned or even omitted. It is therefore re
ommended to
omplement if ne
essary these
partial basis with the
lassi
al referen
es, some of whi
h are given at the end of the
hapter.
The rst se
tion des
ribes Radon (or separable) ve
tor valued random variables while the se
ond makes
pre
ise some terminology and denitions about random pro
esses and general ve
tor valued random variables.
The third one presents some important fa
ts about symmetri
random variables, espe
ially Levy's inequalities
and It^o-Nisio's theorem. In a last paragraph, we mention some
lassi
al and useful inequalities.
Throughout this book we deal with abstra
t probability spa
es (
; A; IP) whi
h are always assumed
to be large enough in order to support all the random variables we will work with; this is legitimate by
Kolmogorov's extension theorem. We also assume for
onvenien
e that (
; A; IP) is
omplete, that is the
-algebra
Throughout this book also, B denotes a Bana h spa e, that is a ve tor spa e over IR or CI with norm
kk and
omplete with respe
t to it. For simpli
ity, we shall always
onsider real Bana
h spa
es, but a
tually
almost everything we will present
arries over to the
omplex
ase. B 0 denotes the topologi
al dual of B
and f (x) = hf; xi (2 IR) , f 2 B 0 , x 2 B , the duality. The norm on B 0 is also denoted kf k , f 2 B 0 .
probability spa
e (
; A; IP) into B equipped with its Borel -algebra B generated by the open sets of B .
In fa
t, this denition of random variable is somewhat too large for our purposes sin
e for example the sum
of two random variables is not trivially a random variable. Furthermore, if B is equipped with a dierent
-algebra, like for example the
oarsest one for whi
h the linear fun
tionals are measurable (
ylindri
al
-algebra), the two denitions might not agree in general. We do not wish here to deal at length with
measurability questions. One way to handle them is the
on
ept of Radon or regular random variables,
whi
h amounts to some separability of the range.
32
A Borel random variable X with values in B is said to be regular with respe
t to
ompa
t sets, or
Radon, or yet tight, if, for ea
h " > 0 there is a
ompa
t set K = K (") in B su
h that
IPfX 2 K g 1 " :
(2:1)
In other words, the image of the probability IP by X (see below) is a Radon measure on (B; B) . Equivalently X takes almost all its values in some separable (i.e.
ountably generated)
losed linear subspa
e E of
S
B . Indeed, under (2.1), there exists a sequen
e (Kn ) of
ompa
t sets in B su
h that IPfX 2 Kn g = 1
n
so that X takes almost surely its values in some separable subspa
e of B . Conversely, let fxi ; i 2 INg be
dense in E and let " > 0 be xed. By density, for ea
h n 1 there exists an integer Nn su
h that
IPfX 2
iNn
where B (xi ; 2 n ) denotes the losed ball of enter xi and radius 2 n in B . Set then
K = K (") =
\ [
n1 iNn
B (xi ; 2 n) :
K is
losed and IPfX 2 K g 1 " ; further, K is
ompa
t sin
e from ea
h sequen
e in K one
an extra
t
a subsequen
e
ontained, for every n , in a single ball B (xi ; 2 n) ; this subsequen
e is, therefore, a Cau
hy
sequen
e hen
e
onvergent by
ompletness of B .
We
all thus Radon, or separable, a Borel random variable X satisfying (2.1). The pre
eding argument
P
shows equivalently that X is almost sure limit of step random variables of the form
xi IAi where
nite
xi 2 B and Ai 2 A . Note also that (2.1) is extended into
IPfX 2 Ag = supfIPfX 2 K g ; K
ompa
t; K Ag
for every Borel set A in B . This follows from (2.1) together with the analogous property for
losed sets
whi
h holds from the very denition of the Borel -algebra.
Sin
e Radon random variables have separable range, it is sometimes
onvenient to assume the Bana
h
spa
e itself to be separable. We are mostly interested in this work in results
on
erning sequen
es of random
variables. When dealing with sequen
es of Radon random variables, we will therefore usually assume for
onvenien
e and without any loss in generality the Bana
h spa
e to be separable. Note further that when
33
B is separable all the "reasonable" denitions of -algebras on B
oin
ide, in parti
ular the Borel and
ylindri
al -algebras. Note also, and this observation will motivate parts of the next se
tion, that if B is
separable the norm
an be expressed as a supremum
x 2B;
f 2D
over a
ountable set D of linear fun
tionals of norm 1 (or less than or equal to 1 ).
For a random variable X with values in B , the probability measure = X image of IP by X is
alled the distribution (or law) of X ; for any real bounded measurable ' on B ,
IE'(X ) =
'(x)d(x) :
The distribution of a Radon random variable is
ompletely determined by its nite dimensional proje
tions.
More pre
isely, if X and Y are Radon random variables su
h that for all f in B 0 , f (X ) and f (Y ) have
(as real random variables) the same distribution, then X = Y . Indeed, we
an assume B separable; the
Borel -algebra is therefore generated by the algebra of
ylinder sets. Sin
e f (X ) = f (Y ) , X and Y
agree on this algebra and the result follows. Note that it su
es to know that f (X ) and f (Y ) have the
same law on some weakly dense subset of B 0 . As a
onsequen
e of the pre
eding, and a
ording to the
uniqueness theorem in the s
alar
ase, the
hara
teristi
fun
tionals on B 0
IE exp if (X ) =
exp(if (x))d(x) ;
2 B0 ;
P (B ) onsider the
where " > 0 and 'i , i N , are real bounded
ontinuous on B . The topology generated by these
neighborhoods is
alled the weak topology and a sequen
e (n ) in P (B )
onverging with respe
t to this
topology is said to
onverge weakly. Observe that n ! weakly if and only if
lim
n!1
'dn =
'd
34
for every bounded
ontinuous ' on B . It
an be shown further that this holds if and only if
lim sup n (F ) (F )
n!1
for ea
h
losed set F in B , or, equivalently,
lim
inf (G) (G)
n!1 n
for ea
h open set G .
The spa
e P (B ) equipped with the weak topology is known to be a
omplete metri
spa
e (separable if
B is separable). Thus, in parti
ular, in order to
he
k that a sequen
e (n ) in P (B )
onverges weakly, it
su
es to show that (n ) is relatively
ompa
t in the weak topology and that all possible limits are the
same. The latter
an be veried along linear fun
tionals. For the former, a very useful
riterion of Prokhorov
hara
terizes relatively
ompa
t sets of P (B ) as those whi
h are uniformly tight with respe
t to
ompa
t
sets.
Theorem 2.1. A family (i )i2I in P (B ) is relatively
ompa
t for the weak topology if and only if for
ea
h " > 0 there is a
ompa
t set K in B su
h that
(2:2)
i (K ) 1 "
for all i 2 I :
This
ompa
tness
riterion may be expressed in various manners depending on the
ontext. For example,
(2.2) holds if and only if for ea
h " > 0 there is a nite set A in B su
h that
(2:3)
for all i 2 I
where d(x; A) denotes the distan
e (in B ) from the point x to the set A .
Another equivalent formulation of Theorem 2.1 is based on the idea of nite dimensional approximation
and is most useful in appli
ations. It is sometimes referred to as "
at
on
entration". The idea is simply that
bounded sets in nite dimension are relatively
ompa
t and therefore if a set of measures is
on
entrated near
a nite dimensional subspa
e it should be
lose to be relatively
ompa
t. The following simple fun
tional
analyti
lemma makes this
lear. If F is a
losed subspa
e of B , denote by T = TF the
anoni
al quotient
map T : B ! B=F . Then kT (x)k = d(x; F ) , x 2 B . (We denote in the same way the norm of B and the
norm of B=F .)
35
Lemma 2.2. A subset K of B is relatively
ompa
t if and only if it is bounded and for ea
h " > 0
there is a nite dimensional subspa
e F of B su
h that if T = TF , kT (x)k < " for every x in K (i.e.
d(x; F ) < " for x 2 K ).
A
ording to this result and to Theorem 2.1, if, for ea
h " > 0 , there is a bounded set L in B su
h that
i (L) 1 " for every i 2 I and a nite dimensional subspa
e F of B su
h that
(2:4)
for all i 2 I ;
n!1
X k > "g = 0 :
36
It is said to be bounded in probability (or sto
hasti
ally bounded) if, for ea
h " > 0 , one
an nd A > 0
su
h that
sup IPfkXnk > Ag < " :
n
The topology of
onvergen
e in probability is metrizable and a possible metri
an be given by IE min(1; kX
Y k) . Denote by L0(B ) = L0 (
; A; IP; B ) the ve
tor spa
e of all random variables (on (
; A; IP) ) with
values in B equipped with the topology of
onvergen
e in probability. If (Xn )
onverges in L0 (B ) , it also
onverges weakly and the
onverse holds true if the limiting distribution is
on
entrated on one point. If thus
one has to
he
k for example that (Xn )
onverges to 0 in probability, it su
e to show that the sequen
e
(Xn ) is tight and that all possible limits are 0 . The L0 and weak topologies are thus
lose in this sense
and may be
onsidered as weak statements as opposed to the strong almost sure properties (dened below).
If 0 < p 1 , denote by Lp (B ) = Lp (
; A; IP; B ) the spa
e of all random variables X (on (
; A; IP) )
with values in B su
h that kX kp is integrable:
IEkX kp =
kX kpdIP < 1 ;
p<1
Almost sure
onvergen
e is not metrizable. It
learly implies
onvergen
e in probability whi
h in turn implies
weak
onvergen
e. Conversely, an important theorem of Skorokhod [Sk1 asserts that if (Xn )
onverges
weakly to X , there exist, on a possibly ri
her probability spa
e, random variables Xn0 and X 0 su
h that
Xn0 = Xn for every n and X = X 0 and su
h that Xn0 ! X 0 almost surely. This property is useful in
parti
ular in
onvergen
e of moments, for example in
entral limit theorems.
37
We
on
lude this se
tion with some remarks
on
erned with integrability. As we have already seen, a
Radon random variable X on (
; A; IP) with values in B belongs to L1 (B ) , or is strongly or Bo
hner
integrable, if the real random variable kX k is integrable (IEkX k < 1) . Suppose now we are given X su
h
that for ea
h f in B 0 the real random variable f (X ) is integrable. If we
onsider the operator
T : B 0 ! L1 = L1 (
; A; IP)
dened by T f = f (X ) , T has
learly a
losed graph. T is therefore a bounded operator from whi
h we
dedu
e that f ! IEf (X ) denes a
ontinuous linear map on B 0 , that is an element, let us
all it z , of the
bidual B 00 of B . The Radon random variable X is said to be weakly or Pettis integrable if for ea
h f in
B 0 , f (X ) is integrable, and the element z of B 00 just
onstru
ted a
tually belongs to B . If this is the
ase, z is then denoted by IEX .
It is not di
ult to see that if the Radon random variable X is strongly integrable it is weakly integrable and kIEX k IEkX k . Indeed, we
an
hoose, for ea
h " > 0 , a
ompa
t set K in B su
h that
IE(kX kIf>X 62K g) < " . Let (Ai )iN be a nite partition of K with sets of diameter less than " and x for
ea
h i a point xi in Ai . Set then
Y (") =
N
X
i=1
xi IfX 2Ai g :
It is plain by
onstru
tion that IEkX Y (")k < 2" and that Y (") is weakly integrable with expe
tation
N
P
IEY (") = xi IPfX 2 Ai g . The
on
lusion then follows from the fa
t that (IEY (1=n)) is a Cau
hy sequen
e
i=1
in B whi
h
onverges therefore to an element IEX in B satisfying f (IEX ) = IEf (X ) for every f in B 0 .
In the same way,
onditional expe
tation of ve
tor valued random variables
an be
onstru
ted. Let X
be a Radon random variable in L1(
; A; IP; B ) and let F be a sub- -algebra of A . Then one
an dene
IEF X as the Radon random variable in L1 (
; F ; IP; B ) su
h that, for any F in F ,
Z
IEF X dIP =
X dIP :
It satises kIEF X k IEF kX k almost surely and f (IEF X ) = IEF f (X ) almost surely for every f in B 0 .
Note further that, by separability and extension of a
lassi
al martingale theorem, if X is in L1(
; A; IP; B ) ,
there exists a sequen
e (AN ) of nite sub- -algebras of A su
h that if XN = IEAN X , (XN )
onverges
almost surely and in L1 (B ) to X . If X is in Lp (B ) , 1 < p < 1 , the
onvergen
e also takes pla
e in
Lp (B ) .
38
We would like to mention for the sequel (in parti
ular Chapter 8) that, by analogy with the pre
eding, if
X is a Radon random variable with values in B su
h that for every f in B 0 , IEf 2 (X ) < 1 , the operator
T f = f (X ) is also bounded from B 0 into L2 . Furthermore, it
an be shown as before that for every in
L2 , X is weakly integrable so that IE(X ) is well dened as an element of B . In parti
ular, for f; g in
B 0 , g(IE(f (X )X )) = IE(f (X )g(X )) , whi
h denes the so-
alled "
ovarian
e stru
ture" of a random variable
X weakly in L2 .
39
or
ontinuous, or has almost all its traje
tories or sample paths bounded or
ontinuous, if, for almost all
! , the path t ! Xt (!) is bounded or
ontinuous. However, in order to prove that a random pro
ess is
almost surely bounded or
ontinuous, and to deal with it, it is preferable and
onvenient to know that the
sets involved in these denitions are properly measurable. It is not the fo
us of this work to enter these
ompli
ations, but rather to try to redu
e to a simple setting in order not to hide the main ideas of the
theory. Let us therefore brie
y indi
ate in this se
tion some possible and
lassi
al arguments used to handle
these annoying measurability questions. These will then mostly be used without any further
omments in
the sequel.
Let X = (Xt )t2T be a random pro
ess. When T is not
ountable, the pointwise supremum sup jXt (!)j
t2T
is usually not well dened sin
e one has to take into a
ount an un
ountable family of negligible sets. It is
therefore ne
essary to
onsider a handy notion of measurable supremum of the
olle
tion. One possible way
is to understand quantities as sup jXt j (or similar ones, sup Xt , sup jXs Xt j , : : : ) as the essential (or
t2T
t2T
s;t2T
latti
e) supremum in L0 of the
olle
tion of random variables jXt j , t 2 T . Even simpler, if the pro
ess X
is in Lp , 0 < p < 1 , that is, if IEjXt jp < 1 for every t in T , we
an simply set
IE sup jXt jp = supfIE sup jXt jp ; F nite in T g :
t2T
t2F
This latti
e supremum also works in more general Orli
z spa
es than Lp -spa
es and will mainly be used in
Chapters 11 and 12 in order to show a pro
ess is bounded, redu
ing basi
ally the various estimates to the
ase where T is nite.
Another possibility is the probabilisti
on
ept of separable version whi
h allows to deal similarly with
other properties than boundedness, like for example
ontinuity. Let (T; d) be a metri
spa
e. A random
pro
ess X = (Xt )t2T dened on (
; A; IP) is said to be separable if there exist a negligible set N
and
a
ountable set S in T su
h that for every ! 62 N , every t 2 T and " > 0 ,
40
Hen
e, when a random pro
ess is separable, there is no di
ulty in dealing with almost sure boundedness
or
ontinuity of the traje
tories sin
e these properties are redu
ed along some
ountable parameter set. In
general however, a given random pro
ess X = (Xt )t2T need not be separable. But in a rather general
setting, it admits a version whi
h is separable. A random pro
ess Y = (Yt )t2T is said to be a version of X
if, for every t 2 T , Yt = Xt with probability one; in parti
ular, Y has the same distribution as X . It is
known that when (T; d) is separable and when X = (Xt )t2T is
ontinuous in probability, that is, for every
t0 2 T and every " > 0 ,
lim IPfjXt Xt0 j > "g = 0 ;
t!t
0
then X admits a separable version. Moreover, every dense sequen
e S in T
an be taken as separable set.
The pre
eding hypothesis will always be satised when we will need su
h a result so that we use it freely
below.
Summarizing, the study of almost sure boundedness and
ontinuity of random pro
esses
an essentially be
redu
ed through the tools of essential supremum or separable version to the setting of a
ountable index set
for whi
h no measurability question o
urs. In our rst part, we will therefore basi
ally study integrability
properties and tail behaviors of supremum of bounded pro
esses indexed by a
ountable set. The se
ond
examines when a given pro
ess is almost surely bounded or
ontinuous and we use separable versions.
The purposes of the rst part motivate the introdu
tion of a slightly more general notion of random
variable with ve
tor values in order to possibly unify results on Radon random variables and on `1 -valued
random variables or bounded pro
esses. One possible denition is the following. Assume we are given a
Bana
h spa
e B (not ne
essarily separable!) su
h that there exists a
ountable subset D of the unit ball
or sphere of the dual spa
e B 0 su
h that
x 2B:
The typi
al example we have of
ourse in mind is the spa
e `1 . Re
all that separable Bana
h spa
es possess
this property. Given B; D like this, we
an say that X is random variable with values in B if X is a map
from some probability spa
e (
; A; IP) into B su
h that f (X ) is measurable for every f in D . We
an
then work freely with the measurable fun
tion kX k .
This denition in
ludes Radon random variables. It also in
ludes almost surely bounded pro
esses X =
(Xt )t2T indexed on a
ountable set T ; take then simply B = `1 (T ) and D = T identied with the
41
evaluation maps. As a remark, note that when X = (Xt )t2T is an almost surely
ontinuous pro
ess on
(T; d)
ompa
t, it denes a Radon random variable in the separable Bana
h spa
e C (T ) of
ontinuous
fun
tions on T .
When X and B are as before, we simply say that X is a random variable (or ve
tor) with values in
B , as opposed to Radon random variable. We will try however to re
all ea
h time it will be ne
essary the
exa
t setting in whi
h we are working, not trying to avoid repetitions in this regard. When we are dealing
with a separable Bana
h spa
e B , we however do not distinguish and simply speak of random variable (or
Borel random variable) with values in B .
To
on
lude this se
tion, let us note that for this generalized notion of random variables with values in
a Bana
h spa
e B we
an also speak of the spa
es Lp (B ) , 0 p 1 , as the spa
es of random variables
X su
h that kX kp = (IEkX kp)1=p < 1 for 0 < p < 1 , and the
orresponding
on
epts for p = 0 or
1 . Almost sure
onvergen
e of a sequen
e (Xn ) makes sense similarly, and if we have to deal with the
distribution of su
h a random variable X , we simply mean the one determined by its marginal distributions,
i.e. distributions of the nite dimensional random ve
tors (f1 (X ); : : : ; fN (X )) where f1 ; : : : ; fN 2 D .
Again, in
ase of a Radon random variable, this
oin
ides with the usual denition (
hoose D weakly dense
in the unit ball of B 0 ).
Finally in this se
tion, let us mention a trivial but useful observation based on independen
e and Jensen's
inequality. If X is a random variable with values in B in the general sense just des
ribed, let us simply
say that X has mean zero if IEf (X ) = 0 for all f in D (we then sometimes write with some abuse that
IEX = 0 ). Let then F be a
onvex fun
tion on IR+ and let X and Y be independent random variables
in B su
h that IEF (kX k) < 1 and IEF (kY k) < 1 . Then, if Y has mean zero,
(2:5)
Indeed, this follows simply by
onvexity of F (kk) and partial integration with respe
t to Y using Fubini's
theorem.
42
Proposition 2.3. Let (Xi ) be a symmetri
sequen
e of random variables with values in B . For every
k
P
k , set Sk = Xi . Then, for every integer N and t > 0 ,
i=1
(2:6)
43
and
(2:7)
and similarly for (2.7). As a
onsequen
e of Proposition 2.3, note also that by integration by parts, for every
0 < p < 1,
IE max kSk kp 2IEkSN kp
k N
and similarly with Xk instead of Sk .
Proof. We only detail (2.6), (2.7) being established exa
tly in the same way. Let = inf fk
N ; kSk k > tg . We have
IPfkSN k > tg =
N
X
k=1
IPfkSN k > t ; = kg :
Now, sin
e, for every k , (X1 ; : : : ; Xk ; Xk+1 ; : : : ; XN ) has the same distribution as
(X1 ; : : : ; XN ) and f = kg only depends on X1 ; : : : ; Xk , we also have that
IPfkSN k > tg =
where Rk = SN
N
X
k=1
IPfkSk
Rk k > t ; = k g
Rk k = kSN k + kSk
Rk k ;
N
X
k=1
44
Theorem 2.4. Let (Xi ) be a symmetri
sequen
e of Borel random variables with values in a separable
P
Bana
h spa
e B . Denote, for ea
h n , by n the distribution of the n -th partial sum Sn = ni=1 Xi . The
following are equivalent:
(i) the sequen
e (Sn )
onverges almost surely;
(ii) (Sn )
onverges in probability;
(iii) (n )
onverges weakly;
(iv) there exists a probability measure in
in B 0 .
P (B ) su h that n f 1 ! f
By a simple symmetrization argument, the equivalen
es (i)-(iii)
an be show to also hold for sums of
independent (not ne
essarily symmetri
) random variables. We shall
ome ba
k to this in Chapter 6. Observe
further from the proof that the equivalen
e between (i) and (ii) is not restri
ted to the Radon setting.
Proof. (iii) ) (ii). We rst show that Xi ! 0 in probability. By dieren
e, (Xi ) is weakly relatively
ompa
t. Hen
e, from every subsequen
e, one
an extra
t a further one, denote it by i0 , su
h that Xi0
onverges weakly to some X . Thus, along every linear fun
tional f , f (Xi0 ) ! f (X ) weakly. But now
(f (Sn ))
onverges in distribution as a sequen
e of real random variables so that, for all " > 0 , there is
M > 0 su
h that
sup IPfjf (Sn )j > M g < "2 :
n
Re
all now the symmetry assumption and the pre
eding notations:
sup IPX IP" fj
n
n
X
i=1
where ("i ) is a Radema her sequen e independent of (Xi ) . For every n , let
A = f! ; IP" fj
n
X
i=1
By Fubini's theorem, IP(A) = IPX (A) > 1 " . If ! 2 A , we
an apply Khint
hine's inequalities to the sum
Pn
i=1 "i f (Xi (! )) together with Lemma 4.2 and (4.3) below to see that, if " 1=8 ,
n
X
i=1
f 2 (Xi (!)) 8M 2 :
45
It follows that
n
X
sup IPf
n
i=1
from whi
h we get that f 2 (Xi ) < 1 almost surely. Thus f (Xi ) ! 0 almost surely. Hen
e (Xi ) is a
i
tight sequen
e with only 0 as possible limit point. This shows that Xi ! 0 in probability.
We then dedu
e (ii). Indeed, if this is not the
ase, (Sn ) is not a Cau
hy sequen
e in probability and
there exists " > 0 and a stri
tly in
reasing sequen
e of integers (nk ) su
h that Tk = Snk+1 Snk does not
P
P
onverge in probability to 0 . Sin
e Tk = Xi
onverges weakly, we may apply the pre
eding step to
i
k
get a
ontradi
tion.
(ii)
IPfkSnk
Sk > 2 kg < 1 :
By Levy's inequalities,
IPf
nk 1 <nnk
Sk > 2 k
1 g) :
By the Borel-Cantelli lemma, (Sn ) is almost surely a Cau
hy sequen
e and thus (i) holds.
We are left with the proof of (iv) ) (iii) sin
e the other impli
ations are obvious. By
Prokhorov's
riterion and (2.4) it is enough to show that for every " > 0 there exists a nite dimensional
subspa
e F of B su
h that, for every n ,
IPfd(Sn ; F ) > "g < " :
Sin
e is a Radon measure, it of
ourse su
es to show that
IPfd(Sn ; F ) > "g 2(x ; d(x; F ) > ")
for any n; " > 0 and F
losed subspa
e in B . Now, sin
e B is separable, for every
losed subspa
e F in
B , there is a
ountable subset D = ffm g of the unit ball of B 0 su
h that d(x; F ) = sup jf (x)j for every
f 2D
46
x . For every m , (f1 (Sn ); : : : ; fm (Sn )) is weakly
onvergent in IRm to the
orresponding marginal of .
Hen
e, by Levy's inequalities ((2.6)) in the limit, for every n ,
IPfmax jfi (Sm )j > "g 2(x ; max jfi (x)j > ") :
im
im
The
on
lusion is then easy:
IPfd(Sn ; F ) > "g = IPf sup jf (Sn )j > "g
f 2D
sup IPfmax
jf (S )j > "g
im i n
m
2 sup (x ; max
jf (x)j > ")
im i
m
2(x ; sup jf (x)j > ")
f 2D
2(x ; d(x; F ) > ") :
Theorem 2.4 is thus established.
Lemma 2.5. Let (Ai ) be a sequen
e of independent sets su
h that a = IP(Ai ) <
i
every n ,
X
an ea n
IPf IAi ng
:
n!
n
i
Proof. We have
IPf
IAi
ng
n
XY
j =1
IP(Aij )
where the summation is over all
hoi
es of indexes i1 < < in . Now
n
XY
j =1
IP(Aij ) =
1
n!
n1!
n
Y
distin
t j =1
i1 ;:::;in
n
X Y
all j =1
i1 ;:::;in
IP(Aij )
IP(Aij ) =
an
:
n!
1 . Then, for
47
Lemma 2.6. Let (Zi )iN be independent positive random variables. Then, for every t > 0 ,
N
X
N
X
IPfmax Zi > tg
IPfZi > tg=(1 + IPfZi > tg) :
iN
i=1
i=1
In parti
ular, if IPfmax Zi > tg 21 ,
iN
N
X
i=1
(1 IPfZi > tg
IPfmax Zi > tg = 1
iN
i=1
1 exp(
N
X
i=1
N
X
i=1
N
X
i=1
IPfZi > tg :
N
P
IPfZi > tg
If IPfmax Zi > tg 21 , the pre
eding inequality ensures that
iN
i=1
on
lusion of the lemma follows from the rst one.
48
Generalities on random pro
esses and separability are given in [Doo, [Me, [Ne1. More in the
ontext of
probability in Bana
h spa
es, see also [Ba, [J-M3, [Ar-G2.
Symmetri
sequen
es and randomization te
hniques were rst
onsidered by J.-P. Kahane in [Ka1 who
gave a proof of Levy's inequalities [Le1 in this setting of ve
tor valued random variables. See also [HJ1,
[HJ2, [HJ3. Theorem 2.4 is due to Levy [Le1 on the line and to It^o-Nisio [I-N for independent Bana
h
spa
e valued random variables. For symmetri
sequen
es, see J. Homan-Jrgensen [HJ3. Our proof follows
[Ar-G2.
The inequalities of Se
tion 4
an be found in all
lassi
al treatrises on probability theory, like for example
[Fe1.
49
50
t 2 IR ;
where = kX k2 = (IEX 2)1=2 . When we speak of Gaussian variable we therefore always mean a
entered
Gaussian (or equivalently symmetri
) variable. X is said to be standard if = 1 . Throughout this
work, the sequen
e denoted by (gi )i2IN will always mean a sequen
e of independent standard Gaussian
random variables; we sometimes
all it orthogaussian or orthonormal sequen
e (be
ause orthogonality and
independen
e are equivalent for Gaussian variables). In other words, for ea
h N , the ve
tor g = (g1 ; : : : ; gN )
follows the
anoni
al Gaussian distribution
N on IRN with density
51
distribution
N . Indeed, if = AAt = (IEXi Xj )1i;jN denotes the symmetri
(semi-) positive denite
ovarian
e matrix,
ompletely determines the distribution of X whi
h is the same as the one of Ag
where g = (g1 ; : : : ; gN ) .
One fundamental property of Gaussian distributions is their rotational invarian
e whi
h may be expressed
in various manners. For example, if g = (g1 ; : : : ; gN ) is distributed a
ording to
N in IRN and if U is
an orthogonal matrix in IRN , then Ug is also distributed a
ording to
N . As
a simple
onsequen
e, if
(i ) is a nite sequen
e of real numbers,
sin
e g1 has moments of all orders,
X
gi i
= kg1 kp
2i
P 2 1=2
.
In parti ular,
!1=2
invarian
e by rotation (whi
h was used in the proof of (1.5) in Chapter 1), if X is Gaussian (in IRN ) and
if Y is an independent
opy of X , for every , the rotation of angle of the ve
tor (X; Y ) , i.e.
(X sin + Y
os ; X
os
Y sin ) ;
has the same distribution as (X; Y ) . These properties are trivially veried on the
hara
teristi
fun
tionals.
A Radon random variable X with values in a Bana
h spa
e B is Gaussian if for any
ontinuous linear
fun
tional f on B , f (X ) is a real Gaussian variable. The typi
al example is given by a
onvergent
P
series gi xi (whi
h
onverges in any sense by Theorem 2.4) where (xi ) is a sequen
e in B . We shall
i
a
tually see later on in this
hapter that every Radon Gaussian ve
tor may be represented in distribution
in this way. Finally, a pro
ess X = (Xt )t2T indexed by a set T is
alled Gaussian if ea
h nite linear
P
ombination i Xti , i 2 IR , ti 2 T , is Gaussian. The
ovarian
e stru
ture (s; t) = IEXs Xt , s; t 2 T ,
i
ompletely determines the distribution of the Gaussian pro
ess X . Sin
e the distributions of these innite
dimensional Gaussian variables are determined by the nite dimensional proje
tions, the rotational invarian
e
trivially extends. For example, if X is a gaussian pro
ess or variable (in B ), and if (Xi ) is a sequen
e
of independent
opies of X , then, for any nite sequen
e (i ) of real numbers,
distribution as
P 2
1=2
X.
52
Let therefore X be Gaussian in B . Two main parameters of the distribution of X will determine the
behavior of IPfkX k > tg (when t ! 1 ): some quantity in the (strong) topology of the norm, median or
ex
eptation of kX k for example (or some other quantity in Lp (B ) , 0 p < 1 - see below), and weak
varian
es, IEf 2(X ) , f 2 D . More pre
isely, let M = M (X ) be a median of kX k , that is a number
satisfying both
1
1
IPfkX k M g :
IPfkX k M g ;
2
2
A
tually, for the purposes of tail behavior, integrability properties or moment equivalen
es, it would be
enough to
onsider M su
h that IPfkX k M g > " > 0 as we will see later; the
on
ept of median is
however
ru
ial for
on
entration results as opposed to the pre
eding ones whi
h
ome more under deviation
inequalities. Besides M ,
onsider
53
Gaussian distribution
=
1 on IRIN (i.e.,
is the distribution of the orthonormal sequen
e (gi ) ). The
pro
edure is
lassi
al. Set D = ffn ; n 1g . By the Gram-S
hmidt orthonormalization pro
edure applied
to the sequen
e (fn (X ))n1 in L2 , we
an write (in distritution)
fn (X ) =
n
X
i=1
ani gi ;
n 1:
In other words,
= (xi ) is a generi
point in IRIN , the sequen
e (fn (X )) has the same distribution as the
n if x
P n
sequen
e
ai xi under
. For notational
onvenien
e, we then extend the meaning of fn by letting
i=1
n
P
an x
for n 1 and x = (xi ) in IRIN . If we set further, for x 2 IRIN , kxk = sup jfn (x)j , the
n1
i=1
probabilisti
study of kX k then amounts to the study of kxk under
. Note that in these notations
fn (x) =
i i
(3:1)
where, as usual,
j j is the `2 norm. We use this simple redu tion throughout the various proofs below.
As announ
ed, the next lemma des
ribes the isoperimetri
on
entration of kX k around its median M
measured in terms of . Re
all , the distribution fun
tion of a standard normal variable, 1 , = 1
and the estimate (t) 12 exp( t2 =2) , t 0 .
Lemma 3.1. Let X be a Gaussian variable in B with median M = M (X ) and supremum of weak
varian
es = (X ) . Then, for every t > 0 ,
IPfjkX k M j > tg 2 (t=) exp( t2 =22 ) :
Proof. We use Theorem 1.2 through the pre
eding redu
tion. Let A = fx 2 IRIN ; kxk M g . Then
(A) 21 . By Theorem 1.2, or rather (1.3) here, if At is the Hilbertian neighborhood of order t > 0 of
A ,
(At ) (t) . But, if x 2 At x = a + th where a 2 A and jhj 1 ; hen
e by (3.1)
kxk M + tkhk M + t
and therefore At fx ; kxk M + tg . Applying the same argument to A = fx ; kxk
on
ludes the proof of Lemma 3.1.
M g learly
The proof of Lemma 3.1 of
ourse just repeats the
on
entration property (1.4) for Lips
hitz fun
tions
as is
lear from the fa
t that kxk (on IRIN ) is Lips
hitzian with
onstant . This observation tells us
54
that, following (1.5), we have similarly (and at some
heaper pri
e) a
on
entration of kX k around its
expe
tation, that is, for any t > 0 ,
(3:2)
It is
lear that IEkX k < 1 from Lemma 3.1; this
an a
tually also be dedu
ed from a nite dimensional
version of (3.2) together with an approximation argument. ((1.6) of
ourse yields (3.2) with best
onstant
t2 =22 in the exponential.) As usual, (3.2) is interesting sin
e it is often easier to work with expe
tations
rather than with medians. Repeating in this framework some of the
omments of Se
tion 1.1, note that a
median M = M (X ) of kX k is unique and that, integrating for example the inequality of Lemma 3.1,
jIEkX k M j (=2)1=2 :
As already mentioned, the integrability theorems we will dedu
e from Lemma 3.1 (or (3.2)) a
tually only
use half of it, that is only the deviation inequality
IPfkX k > M + tg (t) ;
t > 0;
(and similarly with IEkX k instead of M ). The
on
entration around M (or IEkX k ) will however be
ru
ial for some other questions like for example in Chapter 9 where this result and the relative weights of
M and
an be used in Geometry of Bana
h spa
es. A
tually, for the integrability theorems even only
the knowledge of s su
h that IPfkX k sg " > 0 is su
ient. Indeed, if, in the proof of Lemma 3.1, we
apply the isoperimetri
inequality to A = fx ; kxk sg , we get that, for every t > 0 ,
IPfkX k > s + tg ( 1 (") + t) :
It follows for example that, for t > 0 ,
IPfkX k > s + tg exp( 1 (")2 =2) exp( t2 =8) :
As we have seen, the information on weak moments is weaker than the one, M or IEkX k for example,
on the strong topology. We already noted that 2M and we
an add the trivial one (IEkX k2)1=2
(whi
h is nite). In general, is mu
h smaller. For the
anoni
al distribution
N on IRN we already have
p
that = 1 and M is of the order of N . In the pre
eding inequality,
an be repla
ed by one of the
55
strong parameters yielding weaker but still interesting bounds. For example, in the
ontext of the pre
eding
inequality, we observe that s=
(3:3)
1 1+"
2
1
1
IPfkX k > tg exp 1 (")2 +
2
8
1+"
2
exp
t2
32s2
1+"
2
2 !
This inequality seems ompli ated but however des ribes as before an exponential squared tail for IPfkX k >
1 1+"
2
be omes large when " goes to 1 . While we dedu e (3.3) from isoperimetri
methods, it should be noti
ed that su
h an inequality
an a
tually be established by a dire
t argument whi
h
we would like to brie
y sket
h. Let Y denote an independent
opy of X . By the rotational invarian
e
p
p
p
kX k and kY k are larger than (t s)= 2 . Hen
e, by independen
e and identi
al distribution,
p
p
IPfkX k sgIPfkX k > tg = IPfkX + Y k s 2 ; kX Y k > t 2g
p
p
IPfkX k > (t s)= 2 ; kY k > (t s)= 2g
p
(IPfkX k > (t s)= 2g)2 :
Iterating this inequality with IPfkX k sg = " >
1
2
and
t = tn = ( 2n+1
1)( 2 + 1)s
"
t2
log
;
24s2
1 "
IEkX k2 ,
56
To
on
lude these
omments, let us also mention a bound for the maximum of norms of a nite number
of ve
tor valued Gaussian variables Xi , i N . Assume rst that max (Xi ) 1 . For any 0 , we have
iN
by integration by parts and Lemma 3.1 that
N Z 1
X
IE max jkXi k M (Xi )j +
IPfjkXik M (Xi )j > tgdt
iN
i=1
Z 1
+ N exp( t2 =2)dt
+ N 2 exp( 2 =2) :
Let then simply = (2 log N )1=2 so that we have obtained by homogeneity that
(3:6)
The next
orollary des
ribes appli
ations of Lemma 3.1 and the pre
eding inequalities to the tail behavior
and integrability properties of the norm of a Gaussian random ve
tor.
t!1 t2
or, equivalently,
1
22
1
IE exp
kX k2 < 1 if and only if > :
22
Further, all the moments of kX k are equivalent (and equivalent to M = M (X ) , the median of kX k ): for
any 0 < p; q < 1 , there exists Kp;q depending on p and q only su
h that for any Gaussian ve
tor X
kX kp Kp;q kX kq :
In parti
ular, Kp;2 = K pp ( p 2 ) where K is numeri
al.
57
exponential integrability is easy by Chebyshev's inequality and integration by parts. Con
erning the moment
equivalen
es, if M is the median of kX k , integrating the inequality of Lemma 3.1,
IEjkX k M jp =
Z0
for some numeri al K . Now this inequality is stronger than what we need sin e 2M and M an be
As already mentioned, we use Lemma 3.1 in this proof but the inequalites dis
ussed prior to Corollary
3.2
an be used (to some extent) similarly.
Let (Xn ) be a sequen
e of Gaussian variables whi
h is bounded in probability, that is, for ea
h " > 0
there exists A > 0 su
h that
sup IPfkXnk > Ag < " :
n
Then (Xn ) is bounded in all the Lp -spa es. Indeed, if M (Xn ) is the median of kXn k , ertainly
sup M (Xn ) < 1 and the pre
eding equivalen
es of moments
onrm the
laim. In parti
ular, if (Xn )
n
is a Gaussian sequen
e (in the sense that (Xn1 ; : : : ; XnN ) is Gaussian in B N for all n1 ; : : : ; nN ) whi
h
onverges in probability, this
onvergen
e takes pla
e in all Lp .
Although already very pre
ise, the previous
orollary
an be rened. The sharpening we des
ribe next
rests on a more elaborated use of the Gaussian isoperimetri
inequality and
onrm the role of the two
parameters, weak and strong, used to measure the size of the distribution of the norm of a Gaussian ve
tor.
Let X be as before Gaussian in B and re
all = (X ) = sup (IEf 2 (X ))1=2 . Consider now
f 2D
58
xk "g)2 = IPfkX
xk "gIPfkY + xk "g
by the 1 - or log -
on
avity ((1.1) and (1.2)) but is su
ient for our modest purpose here. If X is Radon,
and if we assume that P fkX k "0 g = 0 for some "0 > 0 , there is a sequen
e (xn ) in B su
h that, by
separability,
IPf9n; kX
But then
1
IPfkX
xn k "0= 2g = 1 :
xn k "0 = 2g
jgn j
lim sup
=1
n!1 (2 log(n + 1))1=2
almost surely
Theorem 3.3. Let X be a Gaussian variable with values in B and let = (X ) and = (X ) .
Then, for any 0 > ,
1
0
2
IE exp
(kX k ) < 1 :
22
59
Before proving this theorem, let us interpret this result as a tail behavior. We have seen in Corollary 3.2
that
1
1
lim log IPfkX k > tg =
t!1 t2
22
whi
h
an be rewritten as
1
1
lim 1 (IPfkX k tg) =
t
t!1
( 1 (1 u) is equivalent to (2 log u1 )1=2 when u ! 0 ). From (1.1) we know that the fun
tion 1 (IPfkX k
tg) is
on
ave on ; 1[ . Theorem 3.3
an therefore be des
ribed equivalently as
1
0 tlim
!1[ (IPfkX k tg) t
:
That is, the
on
ave fun
tion 1 (IPfkX k tg) on ; 1[ has an asymptote (t=)+ ` with
Note that = 0 and hen
e ` = 0 if X is Radon.
= ` 0 .
The proof of Theorem 3.3 appears as a
onsequen
e of the following (deviation) lemma of independent
interest whi
h may be
ompared to Lemma 3.1.
Lemma 3.4. For every 0 > , there is an integer N su
h that for every t 0 ,
IPfkX k > 0 + tg IP
In parti
ular
8
N
< X
:
i=1
gi2
!1=2 9
=
;
kX k> 0
exp
Z 1
1
0 )2 dIP 1 +
0 + tgt exp t2 dt
(
k
X
k
IP
fk
X
k
>
22
2
0
2
Z 1
t (t + ")2
N
+1
1 + K (N ) (1 + " + t) exp 2
dt
2
0
Z 1
1 + K (N ) (1 + " + t)N +1 exp( "t)dt < 1 :
60
Proof of Lemma 3.4. It is based again on the Gaussian isoperimetri
inequality in the form of the
following lemma whi
h we introdu
e with some notations. Given an integer N , a point x in IRIN
an be
de
omposed in (y; z ) with y 2 IRN and z 2 IRN;1[ . By Fubini's theorem, d
(x) = d
N (y)d
N;1[ (z ) . If
A is a Borel set in IRIN , set B = fz 2 IRN;1[ ; (0; z ) 2 Ag . Re
all for t 0 , At denotes the Eu
lidean
or Hilbertian neighborhood of A .
Lemma 3.5. Under these notations, if
N;1[(B ) 1=2 , for any t 0 ,
(x 2 IRIN ; x 62 At )
N +1 (y0 2 IRN +1 ; jy0 j > t) :
Proof. Sin
e
N;1[(B ) 1=2 , Theorem 1.2 implies that (
N;1[) (Bs ) (s) where Bs is of
ourse
the Hilbertian neighborhood of order s 0 of B in IRN;1[ . Let y 2 IRN , t jyj and s = (t2 jyj2 )1=2 .
If z 2 Bs , by denition, z = b + sk where b 2 B , k 2 IRN;1[ , jkj 1 ; then
x = (y; z ) = (0; b) + (jyj2 + s2 )1=2 h = (0; b) + th
where h 2 IRIN and jhj 1 . Hen
e x 2 At . From this observation, we get that, via Fubini's theorem, for
t 0,
(x : x 62 At )
N (y : jyj > t)
+
N
(
N;1[) ((y; z ) : jyj t ; z 62 B(t2 jyj2 )1=2 )
N (y : jyj > t)
Z
Z
s2 ds
p d
N (y)
+
exp
2
2
jyjt s>(t2 jyj2 )1=2
Z
2
2 2 2 exp s2 pds d
N (y)
2
s +jyj >t
whi
h is the announ
ed result. Lemma 3.5 is thus established.
We are now in a position to prove Lemma 3.4. We of
ourse use the redu
tion to (IRIN ;
) as in Lemma
3.3. Let 0 > and A = fx; kxk 0 g . We rst show that there exists an integer N su
h that in the
notations introdu
ing Lemma 3.5, if B = fz 2 IRN;1[ ; (0; z ) 2 Ag , then
N;1[(B ) 1=2 . By hypothesis
(A) > 0 . Sin
e kxk = sup jfn (x)j and fn (x) only depends on the rst n
oordinates of x , there exists
n1
N su
h that
4
N (y; max jfn (y)j 0 )
(A) :
nN
3
61
so that the interse
tion of the two pre
eding sets has a measure bigger than 1=2 . But if z belongs to this
interse
tion, k(y; z )k 0 and k(y; z )k = k( y; z )k 0 and therefore k(0; z )k 0 . This shows that
N;1[(B ) 1=2 . From Lemma 3.5 we then get an upper bound for the
omplement of At , t > 0 . Sin
e
At fx ; kxk 0 + tg
the rst inequality in Lemma 3.4 follows. The se
ond one is an easy and
lassi
al
onsequen
e of the rst
one. The proof of Lemma 3.4 is
omplete.
To
on
lude this paragraph we brie
y des
ribe the series representation of Gaussian Radon Bana
h spa
e
valued random variables whi
h is easily dedu
ed from the integrability properties. Re
all (gi ) denote an
orthogaussian sequen
e.
with xi = IE(gi X ) . Re
all now that IEkX k < 1 (for example) so that by the martingale
onvergen
e
P
theorem (
f. Se
tion 2.1) the series
gi xi is almost surely
onvergent to X . Sin
e IEkX kp < 1 ,
i
0 < p < 1 , it
onverges also in Lp (B ) for every p .
62
In this se
tion, integrability and tail behavior of real and ve
tor valued Gaussian
haos are investigated
as a natural
ontinuation of the pre
eding. The Gaussian variables studied so far may indeed be
onsidered
as
haos of order 1 . But let us rst brie
y (and partially) des
ribe the
on
ept of
haos.
Consider the Hermite polynomials fhk ; k 2 INg on IR dened by the series expansion
1 k
X
2
p hk (x) ; ; x 2 IR :
=
exp x
2
k=0 k !
The Hermite polynomials form an orthonormal basis of L2(IR;
1 ) . Similarly, if k
P
(k1 ; k2 ; : : : ) , ki 2 IN , with jkj = ki < 1 , set, for x = (xi ) 2 IRIN ,
i
2 IN(IN) , i.e. k =
Then fHk ; k 2 IN(IN) g form an orthonormal basis of L2 (IRIN ;
) where we re
all that
is the
anoni
al
Gaussian produ
t measure on IRIN .
For 0 " 1 , introdu
e the bounded linear operator T (") : L2(
) ! L2 (
) dened by
T (")Hk = "jkj Hk
for any k with jkj < 1 . It is not di
ult to
he
k that T (") extends to a positive
ontra
tion on all
Lp (
) , 1 p < 1 . This is a
tually
lear from the following integral representation of T (") : if f is in
L2 (
) and x in IRIN ,
Z
T (")f (x) = f ("x + (1 "2 )1=2 y)d
(y) :
If t 0 , Tt = T (e t) is known as the Hermite or Ornstein-Uhlenbe
k semigroup.
The operators T (") , 0 " 1 , satisfy a very important hyper
ontra
tivity property whi
h is related to
the integrability properties of Gaussian variables and
haos. This property indi
ates that for 1 < p < q < 1
and " su
h that j"j [(p 1)=(q 1)1=2 , T (") maps Lp (
) into Lq (
) with norm 1 , i.e. for any f in
Lp (
) ,
(3:8)
kT (")f kq kf kp :
f=
Hk fk
63
where fk = fHk d and the sum runs over all k in IN(IN) . We an also write
f=
1
X
d=0
0
jkj=d
Hk fk A =
1
X
d=0
Qdf :
Qdf is named the
haos of degree d of f . Sin
e h0 = 1 , Q0 f is simply the mean of f ; h1 (x) = x , so
P
haos of degree 1 are Gaussian series gi i . Chaos of degree 2 are of the type
i
i6=j
gi gj ij +
(gi2
1)i ;
et
. Now, the very denition of the Hermite operators T (") shows that the a
tion of T (") on a
haos of
order d is simply multipli
ation by "d , that is T (")Qdf = "d Qdf . This observation together with (3.8)
has some interesting
onsequen
e. If we let, in (3.8), p = 2 , q > 2 and " = (q 1) 1=2 , we see that
kQdf kq (q 1)d=2kQdf k2 :
These inequalities of
ourse imply strong exponential integrability properties of Qdf . This follows for
example from the next easy lemma whi
h is obtained by a series expansion of the exponential fun
tion.
Lemma 3.7. Let d be an integer and let Z be a positive random variable. The following are equivalent:
(i) there is a
onstant K su
h that for any p 2
kZ kp Kpd=2 kZ k2 ;
(ii) for some > 0 ,
The integrability properties of Gaussian
haos we obtain in this way extend to
haos with
oe
ients in
a Bana
h spa
e. In parti
ular, for the
ase of series, this provides an alternate approa
h to the integrability
of Gaussian variables presented in Se
tion 3.1; note the right order of magnitude of Kp;2 = K pp . In this
paragraph, we shall a
tually be
on
erned in more pre
ise tail behavior of Gaussian
haos similar to the ones
obtained previously for
haos of order 1 . This will be a
omplished again with the tool of the Gaussian
isoperimetri
inequality. For simpli
ity, we only treat the
ase of
haos of order 2 . (Let us mention that this
redu
tion simplies, by elementary symmetry
onsiderations, several non-trivial polarization arguments that
64
are ne
essary in general and whi
h are thus somewhat hidden in our treatment; we refer to [Bo4, [Bo7 for
details on these aspe
ts.) With respe
t to the pre
eding des
ription of
haos, we will study more pre
isely
homogeneous Gaussian polynomials whi
h basi
ally
orresponds, for the degree 2 , to
onvergent series of the
P
type gi gj xij where (xij ) is a sequen
e in a Bana
h spa
e. Following the work of C. Borell [Bo4, [Bo7,
i;j
sin
e the
onstant 1 belongs to the
losure of the homogeneous Gaussian polynomials of degree 2 (at least
if the underlying Gaussian measure is innite dimensional), the
haos des
ribed previously (and their ve
tor
valued version as well) are limit, in probability for example, of homogeneous Gaussian polynomials of the
orresponding degree. This framework therefore in
ludes, for the results we will des
ribe, the usual meaning
of Gaussian or Wiener
haos. (At least at the order 2 , some aspe
ts of this
omparison
an also be made
apparent through simple symmetrization arguments.) We still use the terminology of
haos in this setting.
Let us now des
ribe the framework in whi
h we will work. As in Se
tion 3.1, the
ase of
onvergent
quadrati
sums is somewhat too restri
tive. Let again B be a Bana
h spa
e with D = ffn; n 1g in
the unit ball of B 0 su
h that kxk = sup jf (x)j for all x in B . Following the redu
tion to the
anoni
al
f 2D
Gaussian distribution on IRIN , we say that a random variable X with values in B is a Gaussian
haos of
order 2 if, for ea
h n , there exists a bilinear form
X
Qn(x; x0 ) = anij xi x0j
i;j
on IRIN IRIN su
h that the sequen
e (fn (X )) has the same distribution as
that (gi ) is the
anoni
al orthogaussian sequen
e. Therefore, for ea
h n ,
P n
a g
ij i gj
i;j
ij i gj is
P n
a g
i;j
where we re
all
almost surely (or
only in probability)
onvergent. If we set further, by analogy, kQ(x; x)k = sup jQn (x; x)j , x 2 IRIN , we are
n1
redu
ed as usual to the study of the tail behavior and integrability properties of kQk under the
anoni
al
Gaussian produ
t measure
on IRIN .
To measure the size of the tail IPfkX k > tg we use, as in the pre
eding se
tion, several parameters of
the distribution of X . First,
onsider the "de
oupled" symmetri
haos Y asso
iated to X dened in
distribution by
X
fn (Y ) = bnij gi gj0 ;
n1
i;j
where bnij = anij + anji and (gj0 ) is an independent
opy of (gi ) . A
ording to our usual notations, we denote
below by IE0 , IP0 partial expe
tation and probability with respe
t to (gj0 ) . Let then M and m be su
h
65
that
IPfkX k M g 3=4
and
Let further
We establish this inequality for nite sums and a norm given by a nite supremum; a limiting argument
then shows that the quadrati
sums dening Y are
onvergent as soon as the
orresponding ones for X
are, and, by in
reasing the nite supremum to the norm, that (3.9) is satised. We redu
e to (IRIN ;
) and
re
all that kQ(x; x)k = sup jQn (x; x)j . Let, on IRIN IRIN ,
n1
X
Qb n (x; x0 ) = bnij xi x0j
i;j
and set, with some further abuse in notation, kQb(x; x0 )k = sup jQb n (x; x0 )j . Then, simply note that for x; x0
n1
IN
in IR ,
2Qb n (x; x0 ) = Qn (x + x0 ; x + x0 ) Qn (x x0 ; x x0 )
p
and that x + x0 and x x0 have both the same distribution under d
(x)d
(x0 ) than 2x under d
(x) .
From this and the pre
eding
omments, it follows that Y is well dened and that (3.9) is satised.
It might be worthwhile to note that (3.9)
an essentially be reversed. Using that the
ouple ((x +
p
p
x0 )= 2; (x x0 )= 2) has the same distribution as (x; x0 ) , one easily veries that for all t > 0 ,
IPfkX
66
where X 0 is an independent
opy of X . If the diagonal terms of X are all zero, we see by Jensen's
inequality that X and Y have all their moments equivalent. It follows in parti
ular from this observation
and the subsequen
e arguments that if X is a real
haos (i.e. D is redu
ed to one point) with all its diagonal
terms zero, then the parameters M and m are equivalent (at least if M is large enough, see below), and
equivalent to kX k2 and kY k2 . We will use this observation later on in Chapter 11, Se
tion 11.3.
be su
h that
((x; x0 ) ; kQ
b (x; x0 )k M
) 7=8 . By Fubini's theorem,
(A) 3=4 where
Let M
) 1 g :
A = fx;
(x0 ; kQb(x; x0 )k M
2
is larger than the
Conditionally in x , kQb(x; x0 )k is the norm of a Gaussian variable in x0 . If x 2 A , M
median of kQb(x; x0 )k and thus, by what was observed early in the pre
eding se
tion, the supremum of the
. But this supremum is simply
weak varian
es is less than 2M
sup
n1
Z
1=2
whi
h is therefore well dened and nite. (Noti
e, for later purposes,
Hen
e we may simply take m = 2M
p
= 2 2M , and thus also
that if M is
hosen to satisfy IPfkX k M g 15=16 , we
an take, by (3.9), M
p
m = 4 2M .)
sup k
jhj1
k = sup
Qb(h; k)
Therefore,
n1
Z
1=2
2
b
Qn (x; k) d
(x)
2m :
67
After these long preliminaries in order to properly des
ribe the various parameters we are using, we now
state and prove the lemma whi
h des
ribed the tail IPfkX k > tg of a Gaussian
haos X in terms of these
parameters. We shall not be interested here in
on
entration properties; some, however,
an be obtained at
the expense of some
ompli
ations. Re
all, also that for real
haos, the parameters M and m are equivalent
so that the inequality of the lemma may be formulated only in terms of M and . This will be used in
Se
tion 11.3.
Lemma 3.8. Let X be a Gaussian
haos of order 2 as just dened with
orresponding parameters
M , m and . Then, for every t > 0 ,
IPfkX k > M + mt + t2 g exp( t2 =2) :
Proof. It is a simple
onsequen
e of Theorem 1.2. We use the pre
eding notations. Let
A1 = fx ; kQ(x; x)k M g ;
A2 = fx ; sup kQb(x; k)k mg
jkj1
and A = A1 \ A2 so that, by denition of M and m ,
(A) 1=2 . By Theorem 1.2, more pre
isely (1.3),
for any t > 0 ,
(At ) (t) . But if x 2 At , x = a + th where a 2 A , jhj 1 . Thus, for every n ,
At fx ; kQ(x; x)k M + tm + t2 g :
Corollary 3.9. Let X be a Gaussian
haos of order 2 with
orresponding = (X ) . Then
lim
t!1
or, equivalently,
1
1
log IPfkX k > tg =
t
2
1
IE exp
kX k < 1
2
68
Proof. That the limit is 1=2 follows from Lemma 3.8; this also implies that
IE exp(kX k=2) < 1 for > . To prove the
onverse assertions, let " > 0 and
hoose jhj 1 su
h
that kQ(h; h)k " . Given this h = (hi )i1 , there exists an orthonormal basis (hi )i1 of `2 su
h that
hi1 = hi for every i 1 . By the rotational invarian
e of Gaussian measures, the distribution of y = (hx; hi i)
under
is the same as the distribution of x . If we then set ye = (hxe; hi i) where xe = (0; x2 ; x3 ; : : : ) , we
an write y = x1 h + ye and x1 and ye are independent. Sin
e, for ea
h n ,
Qn (y; y) = x21 Qn (h; h) + x1 Qbn (ye; h) + Qn (ye; ye)
(where Qbn , Q were introdu
ed prior to Lemma 3.8) and sin
e x1 h
ye is distributed as y , a simple
kQb(ye; h)k M ) 12 :
15=16 , then we an
immediately yields
kX kp Kp M
for some
onstant Kp depending only on p . If we then have q > 0 , simply take
M = (16IEkX kq )1=q from whi
h the equivalen
e of the moments of X follows. Note that Kp is of the order
of p when p ! 1 , in a
ordan
e with what we observed in the beginning through the hyper
ontra
tive
estimates. The proof of Corollary 3.9 is thus
omplete.
69
We
on
lude this se
tion with a renement of the previous
orollary along the lines of what we obtained
in Theorem 3.3. Let X be as before a Gaussian
haos variable of order 2 with values in B and re
all the
symmetri
de
oupled
haos Y asso
iated to X . Set then
Theorem 3.10. Let X be a Gaussian
haos with
orresponding = (X ) and = (X ) . Then, for
every 0 > ,
!2
1
k
X k 1=2 0
< 1:
IE exp
2
2
Proof. We show that for every 0 > there exists an integer N and a real number t0 su
h that for
every t t0
IPfkX k > 0 t + t2 g IP
(3:10)
8
N
< X
:
i=1
gi2
!1=2
9
=
>t :
;
This will be su
ient to establish the theorem. Indeed, if 0 > 00 > , let " = ( 0
applying (3.10) to 00 , for some integer N ,
Z
1
exp
0
k
X
k
2
( )1=2 > 2
kX k 1=2 0
2
t
exp 2 +
0
2
t
exp 2 +
0
2
t
t0
Z
Z
t0
!2
2
IP
IP
(
(
dIP
)
kX k 1=2 > 0 + t t exp t2 dt
2
2
)
2
exp 2 + IPfkX k > 00 (t + ") + (t + ")2 gt exp t2 dt
t0
2
2
Z 1
t0
t (t + ")2
N
+1
dt < 1 :
exp 2 + K (N ) (1 + " + t) exp 2
2
0
0
Let us therefore prove (3.10). Re
all the notations of the proof of Lemma 3.4. Given an integer N , a
point x in IRIN is de
omposed in (y; z ) with y 2 IRN and z 2 IRN;1[ . Further
=
N
N;1[ and if
A is a Borel set in IRIN , we set B = fz 2 IRN;1[ ; (0; z ) 2 Ag .
70
and where Qb is the quadrati
form asso
iated to the de
oupled
haos Y (
f. the proof of Lemma 3.8).
Choose M large enough su
h that if
A1 = fx ; kQ(x; x)k M g ;
and A3 = A1 \ A2 , then
(A3 ) > 0 . There exists an integer ` su
h that if
A03 = fx ; max jQn (x; x)j M ; max sup jQb n (x; k)j 0 g ;
n`
n` jkj1
then
(A03 ) < 4
(A3 )=3 . By a simple approximation, repla
ing M and 0 by M + " and 0 + " if ne
essary,
we may assume the bilinear forms Qn , Qbn , n ` , only depend on a nite number of
oordinates. Hen
e,
for some integer N , A03 = L IRN;1[ with L IRN . By Fubini's theorem, there exists then y in IRN
su
h that
3
N;1[(z ; (y; z ) 2 A3 ) :
4
By symmetry we also have
3
N;1[(z ; (y; z ) 2 A3 ) :
4
The interse
tion of these two sets of measure bigger than 3=4 has therefore measure bigger than 1=2 . Let
z belong to this interse
tion. By
onvexity,
sup kQb((0; z ); k)k 0 :
jkj1
Moreover, sin
e
N
X n
+ sup
aij yi yj
n1 i;j =1
M + jyj2 :
71
At fx ; kQ(x; x)k M 0 + t 0 + t2 g :
Indeed, if x 2 At , x = a + th with a 2 A , jhj 1 , then
kX k 1=d 0
d
!2
< 1:
72
In the last part of this
hapter we investigate the Gaussian
omparison theorems whi
h, together with
integrability, are very important and useful tools in the Probability
al
ulus in Bana
h spa
es. These results,
whi
h may be
onsidered as geometri
al, rst step in with the so-
alled Slepian's lemma on whi
h the further
results are variations. We present here some of these statements in the s
ope of their further appli
ations.
Assume we are given two Gaussian random ve
tors X = (X1 ; : : : ; XN ) and Y = (Y1 ; : : : ; YN ) in IRN . In
order to des
ribe the question we would like to study, let us assume rst, as an example, that the
ovarian
e
stru
ture of X dominates that of Y in the (strong) sense that for every in IRN
IEh; Y i2 IEh; X i2 :
Then, for any
onvex set C in IRN
IPfY
(3:11)
62 C g 2IPfY 62 C g :
Indeed, we may of
ourse assume for the proof that X and Y are independent. If Z is a Gaussian
variable independent from Y with
ovarian
e IEZi Zj = IEXi Xj IEYi Yj (whi
h is positive denite from
the assumption), X has the same distribution as Y + Z . By independen
e and symmetry, X has also the
same distribution as Y Z . Hen
e, by
onvexity,
IPfY 2
6 C g = IP 12 [(Y + Z ) + (Y Z ) 62 C
IPfY + Z 62 C g + IPfY Z 62 C g
whi
h is (3.11).
It should be noted that deeper tools
an a
tually yield (3.11) without the numeri
al
onstant 2 for all
onvex and symmetri
(with respe
t to the origin) sets C . Indeed, by Fubini's theorem,
IPfX 2 C g = IPfY + Z 2 C g =
IPfY + z 2 C gdIPZ (z ) :
Now, the
on
avity inequalities (1.1) or (1.2) and symmetry ensure that, for every z in IRN ,
IPfY
hen
e the announ
ed
laim.
2 C z g IPfY 2 C g ;
73
Typi
ally (3.11) (or the pre
eding) is used to show a property like the following one: if (Xn ) is a sequen
e
of Gaussian Radon random variables with values in a Bana
h spa
e B su
h that IEf 2 (Xn ) IEf 2 (X ) for
all f in B 0 , all n and some Gaussian Radon variable X in B , then the sequen
e (Xn ) is tight. Indeed,
sin
e X is Radon, for every " > 0 , there exists a
ompa
t set C whi
h may be
hosen
onvex su
h that
IPfX 2 C g 1 " . Sin
e B may be assumed to be separable, there is a sequen
e (fk ) in B su
h that
x 2 K whenever fk (x) 1 for all k . The
on
lusion is then immediate from (3.11) whi
h implies that
IPfXn 2 C g 1 2" for all n .
The rst
omparison property we now present is the abstra
t statement from whi
h we will dedu
e many
onsequen
es of interest. Its quite easy proof
learly des
ribes the Gaussian properties whi
h enter these
questions. The result is similar in nature to (3.11) but under weaker
onditions on the
ovarian
e stru
tures.
Theorem 3.11. Let X = (X1 ; : : : ; XN ) and Y = (Y1 ; : : : YN ) be Gaussian random variables in IRN .
Assume that
IEXi Xj IEYi Yj
if (i; j ) 2 A ;
IEXi Xj IEYi Yj
if (i; j ) 2 B ;
IEXi Xj = IEYi Yj
if (i; j ) 62 A [ B
where A and B are subsets of f1; : : : ; N g f1; : : : ; N g . Let f be a fun
tion on IRN su
h that its se
ond
derivatives in the sense of distributions satisfy
Then
Dij f 0
if (i; j ) 2 A ;
Dij f 0
if (i; j ) 2 B :
IEf (X ) IEf (Y ) :
Proof. As before we may assume X and Y to be independent. Set, for t 2 [0; 1 , X (t) = (1 t)1=2 X +
t1=2 Y and '(t) = IEf (X (t)) . We have
'0 (T ) =
N
X
i=1
IE(Di f (X (t))Xi0(t)) :
Xj Xi ) :
74
0 , '0 (t) 0 and therefore '(0) '(1) whi h is the on lusion of the
As a rst
orollary, we state Slepian's lemma. It is simply obtained by taking in the theorem A =
f(i; j ) ; i 6= j g , B = ; and f = IG where G is a produ
t of half-lines 1; i for whi
h the hypotheses
on the se
ond derivatives are immediately veried. The
laim
on
erning expe
tations of maxima in the
next statement simply follows from the integration by parts formula
Z 1
Z 1
IEX =
IPfX > tg dt
IPfX < tg dt :
0
IEXi2 = IEYi2
for all i :
N
[
N
[
i=1
(Xi > i )g :
i=1
IE max Yi IE max Xi :
iN
iN
The next
orollary relies on a more elaborated use of Theorem 3.11. It will be useful in various appli
ations
both in this
hapter yet and in Chapters 9 and 15.
75
n [
m
\
i=1 j =1
n [
m
\
i=1 j =1
In parti
ular,
IE min max Yi;j IE min max Xi;j :
in j m
in j m
n
[
more
onvenient to deal with the
orresponding L2 -metri
s kXi Xj k2 whi
h do not require those spe
ial
onditions on the diagonal. The next statement is a simple
onsequen
e of Corollary 3.12 in this dire
tion.
Yj j2 IEjXi
Xj j2 :
76
Then
Proof. Repla
ing X = (Xi )iN by (Xi X1 )iN we may and do assume that X1 = 0 and similarly
Y1 = 0 . Let = max(IEXi2 )1=2 and
onsider the Gaussian variables X and Y in IRN dened by, i N ,
iN
X i = Xi + g(2 + IEYi2 IEXi2)1=2 ;
Y i = Yi + g
where g is standard normal independent from X and Y . It is easily seen that
IEY 2i = IEX 2i = 2 + IEYi2
while
IEjY i
Y j j2 = IEjYi Yj j2 IEjXi
Xj j2 IEjX i
X j j2
so that IEX i X j IEY i Y j for all i 6= j . We are thus in the hypotheses of Corollary 3.12 and therefore
IE max Y i IE max X i :
iN
iN
Now,
learly, IE max Y i = IE max Yi while
iN
iN
IE max X i IE max Xi + IEg+
iN
iN
where we have used that IEYi2 IEXi2 (sin
e X1 = Y1 = 0 ). But now,
1
= max(IEXi2 )1=2 =
max IEjXi j
iN
IEjgj iN
jX Xj j
IE1jgj IE i;jmax
N i
2
1
=
IE max X =
IE max X
IEjgj iN i IEg+ iN i
where we have used again, in the rst inequality, that X1 = 0 . This bound on and the pre
eding nish
the proof.
If X = (X1 ; : : : XN ) is Gaussian in IRN , by symmetry,
IE max
jXi
i;j
Xj j = IE max
(Xi Xj ) = 2IE max
Xi :
i;j
i
77
i;j
Xj j
But in general the
omparison results do not apply dire
tly to IE max
jXi j (see however [Si1, [Si2); take for
i
example Yi = Xi +
g where g is standard normal independent from X in Corollary 3.14 and let
tend
to innity. A
tually, one
onvenient feature of IE max
Xi is that for any real mean zero random variable Z ,
i
IE max
(Xi + Z ) = IE max
Xi .
i
i
The numeri
al
onstant 2 in the pre
eding
orollary is not best possible and
an be improved to 1 with
however a somewhat more
ompli
ated proof. On the other hand, under the hypotheses of Corollary 3.12,
we also have that, for all > 0 ,
IPfmax
jYi
i;j
Yj j > g 2IPfmax
Xi >
i
g:
2
Following the proof of Corollary 3.14 we
an then obtain that if X and Y are Gaussian ve
tors in IRN
su
h that for all i; j , kYi Yj k2 kXi Xj k2 , then, > 0 ,
(3:12)
IPfmax jYi
i;j
Xj j >
+ 2IPfmax(IEjXi
i;j
g
4
Xj j2 )1=2 g+ >
g:
4
This inequality
an of
ourse be integrated by parts. This observation suggests that the fun
tional max
jXi
i;j
Xj j is perhaps more natural in
omparison theorems. The next result (due to X. Fernique [Fer4) whi
h we
state without proof
ompletely answers these questions.
Theorem 3.15. Let X and Y be Gaussian random ve
tors in IRN su
h that for every i; j
IEjYi
Yj j2 IEjXi Xj j2 :
Yj j) IEF (max
jXi Xj j) :
i;j
78
There is also a version of Corollary 3.13 with
onditions on L2 -distan
es. Again the proof is more involved
so that we only state the result. It is due to Y. Gordon [Gor1, [Gor3.
IEjYi;j
Y`;k j2 IEjYi;j
Then
Y`;k j2
Among the various
onsequen
es of the pre
eding
omparison properties, let us start with an elementary
one whi
h we only present in the s
ope of the next
hapter where a similar result for Radema
her averages
is obtained. We use Theorem 3.15 for
onvenien
e but a somewhat weaker result
an be obtained through
(3.12).
Corollary 3.17. Let T be bounded in IRN and
onsider the Gaussian pro
ess indexed by T dened
N
P
as
gi ti , t = (t1 ; : : : ; tN ) 2 T IRN . Let further 'i : IR ! IR , i N , be
ontra
tions with 'i (0) = 0 .
i=1
Then for any non-negative
onvex in
reasing fun
tion F on IR+ ,
N
X
1
IEF
sup gi 'i (ti )
2 t2T i=1
!
N
X
2 sup gi ti
t2T
IEF
i=1
N
X
1
sup gi 'i (ti )
IEF
2 t2T i=1
N
X
1
1
IEF sup gi ('i (ti ) 'i (ui )) + IEF
2
2
t2T i=1
!
N
X
1
1
IEF sup gi ('i (si ) 'i (ti )) + IEF
2
2
s;t i=1
!
N
X
g
'
(ui )
i
i
i=1
!
N
X
gi ui
i=1
where we have use that j'i (ui )j jui j sin
e 'i (0) = 0 . Now, by Theorem 3.15 (and a trivial approximation
redu
ing to nite supremum), the pre
eding is further majorized by
N
X
1
IEF sup gi (si
2
s;t i=1
!
ti ) +
1
IEF
2
!
N
X
gi ui
i=1
N
X
i=1
jsi ti j2 :
79
Indeed, assume by homogeneity that max IEXi2 1 ; then, for every 0 , by integration by parts,
iN
Z 1
IE max Xi IE max jXi j + N
IPfjgj > tg dt
iN
iN
r
+ N 2 exp( 2 =2)
where g is a standard normal. Choose then simply = (2 log N )1=2 . Note the
omparison with (3.6).
The pre
eding inequality is two-sided for the
anoni
al Gaussian ve
tor (g1 ; : : : ; gN ) where we re
all that
gi are independent standard normal variables. Namely, for some numeri
al
onstant K ,
(3:14)
Indeed, sin
e IE max(g1 ; g2) 1=3 (for example), we may assume N to be large enough. Note that, by
independen
e and identi
al distribution, for every > 0 ,
IE max jgi j
iN
Now
IPfjgj > g =
2 1
exp( t2 =2) dt
Z
2
exp( ( + 1)2 =2) :
Choose then for example = (log N )1=2 (N large) so that IPfjgj > g 1=N and hen
e
"
IE max jgi j 1
iN
#
1 N
1
N
1
:
e
80
Sin
e IE max jgi j IEjgj + 2IE max gi , this proves the lower bound in (3.14) sin
e N is assumed to be large
iN
iN
enough. The upper bound has been established before.
If (T; d) is a metri
or pseudo-metri
spa
e ( d need not separate points of T ), denote by N (T; d; ") the
minimal number of open balls of radius " > 0 in the metri
d ne
essary to
over T (the results we present
are a
tually identi
al with
losed balls). Of
ourse N (T; d; ") need not be nite in whi
h
ase we agree that
N (T; d; ") = 1 . N (T; d; ") is nite for ea
h " > 0 if and only if (T; d) is totally bounded.
Let X = (Xt )t2T be a Gaussian pro
ess indexed by a set T . As will be further and deeply investigated in
Chapter 12, one fruitful way to analyze the regularity properties of the pro
ess X is to study the "geometri
"
properties of T with respe
t to the L2 pseudo-metri
dX indu
ed by X dened as
dX (s; t) = kXs Xt k2 ;
s; t 2 T :
The next theorem is an estimate of the size of N (T; dX ; ") for ea
h " > 0 in terms of the supremum of X .
In the statement, we simply let
IE sup Xt = supfIE sup Xt ; F nite in T g :
t2T
t2F
Theorem 3.18. Let X = (Xt )t2T be a Gaussian pro
ess with L2 -metri
dX . Then, for ea
h " > 0 ,
"(log N (T; dX ; "))1=2 K IE sup Xt
t2T
where K is a numeri
al
onstant. In parti
ular, if X is almost surely bounded, (T; dX ) is totally bounded.
Proof. Let N be su
h that N (T; dX ; ") N . There exists U T with CardU = N and su
h that
dX (u; v) > " for all u 6= v in U . Let (gu )u2U be standard normal independent variables and
onsider
Xu0 = p"2 gu , u 2 U . Then,
learly, for all u; v ,
1 p"
1 p"
(log N )1=2 :
81
Corollary 3.19. If the Gaussian pro
ess X = (Xt )t2T has a version with almost all bounded and
ontinuous sample paths on (T; dX ) , then
lim "(log N (T; dX ; "))1=2 = 0 :
"!0
Proof. We denote by X itself the bounded
ontinuous (and therefore separable) version. By the
integrability properties of Gaussian ve
tors and
ompa
tness of (T; dX ) (sin
e X is also bounded),
lim IE sup
!0
dX (s;t)<
jXs Xt j = 0 :
dX (s;t)<
jXs Xt j < :
Let A be nite in T su
h that the balls of radius with
enters in A
over T (su
h an A exists by
Theorem 3.18). Let " > 0 . By Theorem 3.18, for every s in A there exists As T satisfying
and su
h that if t 2 T and dX (s; t) < there exists u in As with dX (u; t) < " . Let then B =
As .
s2A
Ea
h point of T is within distan
e " of an element of B ; hen
e
Xt =
N
X
i=1
gi ti ;
t = (t1 ; : : : ; tN ) 2 T
IRN :
82
Set
N
X
IE sup gi ti
t2T
i=1
The L2 -metri
of X is of
ourse simply the Eu
lidean metri
in IRN . If A; B are sets in IRN , denote
by N (A; B ) the minimal number of translates of B by elements of A ne
essary to
over A . For example,
N (T; dX ; ") = N (T; "B2) where B2 is the Eu
lidean (open, for
onsisten
y!) unit ball of IRN . Sudakov's
minoration indi
ates that the rate of growth of N (T; "B2) when " ! 0 is
ontrolled by `(T ) . It might be
interesting to point out here that the dual version of this result is also true, namely that the sup-norm of X
ontrols in the same way N (B2 ; "T 0) where T 0 = fx 2 IRN ; hx; yi 1 for all y in T g is the polar of T ;
more pre
isely, for some numeri
al
onstant K ,
(3:15)
The proof of (3.15) is rather simple, simpler than the proof of Sudakov's minoration. Let a = 2`(T ) . Then
1
N (aT 0 ) = IPfsup jXt j ag
2
t2T
where
N is the
anoni
al Gaussian measure on IRN . Let now " > 0 and n be su
h that
a
N (B2 ; "T 0) = N ( B2 ; aT 0) n :
"
There exist z1 ; : : : ; zn in a" B2 su
h that, for all i 6= j , (zi + aT 0) \ (zj + aT 0) = ; . Hen
e,
1
N
n
[
i=1
(zi
+ aT 0)
n
X
i=1
N (zi + aT 0) :
N (z + aT 0) = exp( jz j2 =2)
aT 0
83
It is worthwhile noting that Theorem 3.18 and its dual version (3.15)
an easily be shown to be equivalent.
Let us sket
h for example how Sudakov's minoration
an be dedu
ed from (3.15) using a simple duality
2
2
argument. Observe rst that for every " > 0 , 2T \ ( "2 T 0) "B2 . Indeed, if t 2 2T and t 2 "2 T 0 ,
2
where
"2
"2
N (T; "B2) N (T; 2T \ ( T 0)) = N (T; T 0 ) :
2
2
By homogeneity, and elementary properties of entropy numbers
N (T;
"2
"2 0
T ) N (T; 2"B2)N (2"B2 ; T 0)
2
2
" 0
N (T; 2"B2)N (B2 ; 4 T ) :
where M = sup "(log N (B2 ; "T 0))1=2 . One then easily dedu
es that
">0
(3:16)
">0
The onverse inequality may be shown similarly. By duality, B2 Conv( 2" T 0 ; 2" T ) 2" T 0 + 2" T . Then
"
2
N (B2 ; "T 0) N ( T 0 + T; "T 0)
2
"
2
= N ( T; "T 0)
"
2 1
N ( " T; 4 B2 )N ( 41 B2 ; 2" T 0)
and we
an
on
lude as before that
sup "(log N (B2 ; "T 0))1=2 4M 0
(3:17)
">0
84
The last appli
ation of the
omparison theorems that we present
on
ern tensor produ
ts of Gaussian
measures. For simpli
ity, we only deal with Radon random variables. Let E and F be two Bana
h spa
es.
If x 2 E and y 2 F , x
y is the bilinear form on E 0 F 0 whi
h maps (f; h) 2 E 0 F 0 into f (x)h(y) .
P
The linear tensor produ
t E
F
onsists of all nite sums u = xi
yi with xi 2 E , yi 2 F . On
i
E
F ,
onsider the inje
tive tensor produ
t norm
kuk_ =
(
X
sup f (xi )h(yi )
; kf k 1 ; khk 1 ;
Consider now X =
gi xi (resp. Y =
Here (gi ) denotes as usual an orthogaussian sequen
e. Let further (gi;j ) be a doubly-indexed orthogaussian
sequen
e. Given
onvergent series X and Y like this with values in E and F respe
tively, one might
wonder whether
X
i;j
gi;j xi
yj
P
and this is the
on
lusion of the next theorem. Re
all that (X ) = sup (IEf 2(X ))1=2 = sup ( f 2 (xi ))1=2 ,
kf k1
kf k1 i
(Y ) being dened similarly.
gi xi and Y =
and F respe
tively and with
orresponding (X ) and (Y ) . Then G = gi;j xi
yj is almost surely
i;j
F and the following inequality holds:
onvergent in the inje
tive tensor produ
t E
Proof. To prove that G is
onvergent it is enough to establish the right side of the inequality of the
theorem for nite sums and use a limiting argument. By denition of the tensor produ
t norm, the left side
is easy; note that it indi
ates in the same way that the
onvergen
e of G implies the
onvergen
e of X and
Y . In the sequel we therefore only deal with nite sequen
es (xi ) and (yj ) . The idea of the proof is to
ompare G ,
onsidered as a Gaussian pro
ess indexed by the produ
t of the unit balls of E 0 and F 0 , to
85
another built as a kind of (independent) "sum" of X and Y . Consider namely the Gaussian pro
ess Ge
indexed by E 0 F 0 :
Ge(f; h) = (X )
gj0 h(yj ) + (
h2 (yj ))1=2
gi f (xi ) ;
2 E0 ; h 2 F 0
where (gi ) , (gj0 ) are independent orthogaussian sequen
es. A
tually, rather than to
ompare G to Ge it is
onvenient to repla
e G by
Gb(f; h) =
i;j
h2 (yj ))1=2 g ;
2 E0 ; h 2 F 0
where g is a standard normal variable independent of (gi;j ) . Clearly, by Jensen's inequality and independen
e,
IEkGk_ IE sup sup Gb(f; h) :
kf k=1 khk=1
The reason for the introdu
tion of Gb is that we will use Corollary 3.12 where we need spe
ial information
on the diagonal of the
ovarian
e stru
tures, something whi
h is given by Gb . Indeed, it is easily veried
that for f , f 0 2 E 0 , h , h0 2 F 0 ,
IEGb(f; h)Gb(f 0 ; h0 ) IEGe(f; h)Ge(f 0 ; h0 )
= ((X )2
h2 (yj ))1=2 (
h0 2 (yj ))1=2
Hen
e this dieren
e is always positive and is equal to 0 when h = h0 . We are thus in a position to apply
Corollary 3.12 to the Gaussian pro
esses Gb and Ge . After an approximation and
ompa
tness argument, it
implies that
IE sup sup Gb(f; h) IE sup sup Ge(f; h) :
khk=1 kf k=1
khk=1 kf k=1
To get the inequality of the theorem we need simply note that
IE sup sup Ge(f; h) (X )IEkY k + (Y )IEkX k :
khk=1 kf k=1
The proof of Theorem 3.20 is therefore
omplete. Noti
e that Theorem 3.15 yields a somewhat simplied
proof.
86
IE inf sup Ge(f; h) = (X )IE inf h(Y ) + inf ( h2 (yj ))1=2 IEkX k
khk=1
khk=1 j
khk=1 kf k=1
so that we have the following lower bound:
(3:18)
IE inf sup Gb(f; h) (X )IE inf h(Y ) + inf ( h2 (yj ))1=2 IEkX k :
khk=1 kf k=1
khk=1
khk=1 j
This inequality has some interesting
onsequen
es together with the one in Theorem 3.20. One appli
ation
is the following
orollary whi
h will be of interest in Chapter 9.
Corollary 3.21. Let X be a Gaussian Radon random variable with values in a Bana
h spa
e B . Let
also (Xi ) be independent
opies of X . Then, for every N , if = (1 ; : : : ; N ) is a generi
point in IRN ,
N
X
IE sup
i Xi
jj=1
p
IEkX k + (X ) N
N
X
IE inf
i Xi
jj=1
p
IEkX k (X ) N :
i=1
and
i=1
Proof. X an be represented as X =
N
X
j =1
gj ej
`N
where (ej ) is the
anoni
al basis of `N
2 . Then Theorem 3.20 in the tensor spa
e B
2 immediately yields
N
X
IE sup
i Xi
jj=1
i=1
00
IEkX k
11=2 1
N
X
+ (X )IE B
gj2 A C
A
j =1
87
and thus the rst inequality of the
orollary follows sin
e obviously IE((
use (3.18); in this
ase indeed
IE inf sup
jj=1 kf k=1
0
0
11=2 1
X
BX
gi;j j f (xi ) + (X ) 2j A gC
A=
i;j
=
and thus
N
X
IE inf
j Xj
jj=1
j=1
N
P
g2 )1=2 )
j =1
N
X
p
N . For the se
ond
1
N
X
IE inf
j Xj
jj=1
j=1
00
IEkX k
11=2 1
N
X
(X )IE B
gj2 A C
A
j =1
88
is of
ourse a large deviation result for
omplements of balls
entered at the origin. Theorem 3.3 improves
this limit into
1
t
log
IP
fk
X
k
>
t
g
+
=0
lim
t!1 t
22
(for Radon variables) whi
h appears as a "normal" deviation result for
omplements of balls; similar results
for dierent sets might hold as well (on large deviations, see e.g. [Az, [Str, [Ja3, : : : ). That = (X ) = 0
for a Gaussian Radon measure was re
orded in [D-HJ-S and that is the unique jump of the distribution
of kX k is due to B. S. Tsirelson [Ts.
Homogeneous
haos were introdu
ed by N. Wiener [Wie and are presented, e.g., in [Ne2. Their order
of integrability was rst investigated in [S
hr and [Var. Hyper
ontra
tivity of the Hermite semigroup has
been dis
overed by E. Nelson [Nel. L. Gross [Gro translated this property into a logarithmi
Sobolev
inequality and uses a two point inequality and the
entral limit theorem to provide an alternate proof (see
also Chapter 4 and
f. [Be
for further deep results in Fourier Analysis along these lines). The relevan
e
of hyper
ontra
tivity to integrability of Gaussian
haos (and its extension to the ve
tor valued
ase) was
noti
ed by C. Borell [Bo4, [Bo6; the deep work [Bo4 however develops the isoperimetri
approa
h that we
losely follow here (and that is further developed in [Bo7). The introdu
tion of de
oupled
haos is motivated
by [Kw4 (following [Bo6, [Bo7). Theorem 3.10 is perhaps new.
Inequality (3.11) with its best
onstant 1 (for C symmetri
) is due to T. W. Anderson [An. Slepian's
Lemma appeared in [Sl. Its geometri
meaning makes it probably more an
ient as was noted by several
authors [Su1, [Su4, [Gr2. Related to this lemma, let us mention its "two-sided" analogue studied by Z.
ak [Si1, [Si2 whi
h expresses that if X = (X1 ; : : : ; XN ) is a Gaussian ve
tor in IRN , for any positive
Sid
numbers i , i N ,
(
)
IP
N
[
i=1
(jXi j i )
N
Y
i=1
IPfjXi j i g :
We refer to [To for more inequalities on Gaussian distributions in nite dimension. Slepian's lemma was
rst used in the study of Gaussian pro
esses in [Su1, [M-S1 and [M-S2 where Corollary 3.14 is established.
Theorem 3.15 was announ
ed by V. N. Sudakov in [Su2 (see also [Su4) and established in this form by X.
Fernique [Fer4;
redit is also due to S. Chevet (unpublished). Y. Gordon [Gor1, [Gor2 dis
overed Corollary
3.13 and Theorem 3.16 motivated by Dvoretzky's theorem (
f. Chapter 9). [Gor3
ontains a more general
and simplied proof of Theorem 3.16 with appli
ations. Our exposition of the inequalities by Slepian and
Gordon is based on Theorem 3.11 of J.-P. Kahane [Ka2. Sudakov's minoration was observed in [Su1, [Su3.
89
Its dual version (3.15) appeared in the
ontext of lo
al theory of Bana
h spa
es and duality of entropy
numbers [P-TJ. The
onsideration of `(T ) (with this notation) goes ba
k to [L-P. [The simple proof of
(3.15) presented here is due to the se
ond author. This proof was
ommuni
ated in parti
ular to the author
of [Go (where a probabilisti
appli
ation is obtained) who gives a stri
kingly
reative a
knowledgement of
the fa
t. Further appli
ations of the method are presented in [Ta19. The equivalen
e between Sudakov's
minoration and its dual version ((3.16) and (3.17)) is due to N. Tom
zak-Jaegermann [TJ1 (and her argument
a
tually shows a
loser relationshiop between the entropy numbers and the dual entropy numbers,
f. [TJ1;
this will partially be used below in Se
tion 15.5). Tensor produ
ts of Gaussian measures were initiated by
S. Chevet [Ch1, [Ch2; see also [Car. The best
onstants in Theorem 3.20 and inequality (3.18) follow from
[Gor1, [Gor2 from where Corollary 3.21 is also taken.
90
91
This
hapter is devoted to Radema
her averages "i xi with ve
tor valued
oe
ients as a natural analog
i
P
of the Gaussian averages gi xi . The properties we examine are entirely similar to the ones investigated
i
in the Gaussian
ase. We will see in this way how isoperimetri
methods
an be used to yield strong
integrability properties of
onvergent Radema
her series and
haos. This is studied in Se
tions 4.3 and 4.4.
Some
omparison results are also available in the form, for example, of a version of Sudakov's minoration
presented in Se
tion 4.5. We however start in the rst two se
tions with some basi
fa
ts on Radema
her
averages with real
oe
ients as well as on the so-
alled
ontra
tion prin
iple, a most valuable tool in
Probability in Bana
h spa
es.
We thus assume we are given on some probability spa
e (
; A; IP) a sequen
e ("i ) of independent
random variables taking the values 1 with probability 1=2 , that is symmetri
Bernoulli or Radema
her
random variables. We usually
all ("i ) a Radema
her sequen
e. If ("i ) is
onsidered alone, one might
take, as a
on
rete example,
to be the Cantor group f 1; +1gIN , IP its
anoni
al produ
t probability
measure (Haar measure) = 1 + 1
IN and " the
oordinate maps. We thus investigate nite or
onvergent sums
2 +1
"i xi with ve tor valued oe ients xi . As announ ed the rst paragraph is devoted to
Sin
e we will only be interested in estimates whi
h easily extend to innite sums, there is no loss in
generality to assume, as is usual, for simpli
ity in the exposition, that we deal with nite sequen
es (i ) ,
i.e. nitely many i 's only are non-zero.
The rst main observation is the
lassi
al subgaussian estimate whi
h draws its name from the Gaussian
P
type tail. We
an obtain it as a
onsequen
e of Lemma 1.5 sin
e "i i
learly denes a mean zero sum
i
of martingale dieren
es or dire
tly by the same argument: indeed, given thus a nite sequen
e (i ) of real
92
"i i =
IE exp("i i )
exp
2
2i
2 X 2
= exp
;
2 i i
(4:1)
>t
2 exp
t2 =2
2i
In parti
ular, a
onvergent Radema
her series "i i satisfy exponential squared integrability properties
i
exa
tly as Gaussian variables.
This simple inequality (4.1) is extremely useful. It is moreover sharp in various instan
es and we have
in parti
ular the following
onverse whi
h we re
ord at this stage for further purposes: there is a numeri
al
P
onstant K 1 su
h that if (i ) and t satisfy t K ( 2i )1=2 and t max
ji j K 1 P 2i , then
i
i
IPf
(4:2)
2i ) :
This inequality, a
tually in a more pre
ise form
on
erning the
hoi
e of the
onstants,
an be dedu
ed
for example from the more general Kolmogorov minoration inequality given below as Lemma 8.1. Let us
P
however give a dire
t proof of (4.2). Assume that (i )i1 is su
h that, by homogeneity, 2i = 1 and that
i
t 2 , ji j 1=16t for all i . Dene nj , j k ( n0 = 0 ) by
8
<
nj = inf n > nj 1 ;
:
Sin e
P 2
n
X
i=nj 1 +1
2i >
9
=
1
:
162t2 ;
2i
nX
j 1
i=nj 1 +1
2i +
1
162t2
i>nk
2i
1
162t2
21 :
1622t2
93
Set Ij = fnj
1 + 1; : : : ; nj g ,
(
IP
8
<X
8
>
<X
1 =
"i i >
"i i > t IP
:
4 16t ;
i
j k
i2Ij
j k
IP
>
:i2Ij
"i i >
1
4
11=2 9
>
=
2
A
i
>
;
i2Ij
0
Now, (4.3) and Lemma 4.2 below indi
ate together that
8
<X
IP
It follows that
IP
(
X
1
"i i >
4
i
)
"i i > t
i2
!1=2 9
=
1
:
;
16
1 k
exp( 162t2 log 16)
16
Lemma 4.1. For any 0 < p < 1 , there exist positive nite
onstants Ap and Bp depending on p
only su
h that for any nite sequen
e (i ) of real numbers
Ap
2i
!1=2
P 2
p
X
IE "i i
X
"i
alphai
Bp
2i
!1=2
2
(
X
IP "i i
> t dtp
For the left hand side inequality, it is enough, by Jensen's inequality, to onsider the ase p < 2 . By mean
94
2
X
= IE "i i
0
2p=3
2 2p=3 1
X
X
A
IE "i i "i i
p !2=3 0
6 2p 11=3
X
X
IE
IE "i i
"i i A
p !2=3
X
IE "i i
B62 22pp=3
2i
!1=2
X
"
i
i
X
2
"i i
Khint
hine's inequalities show how the Radema
her sequen
e denes a basi
un
onditional sequen
e and
spans `2 in the spa
es Lp , 0 < p < 1 . We
ould also add in a sense p = 0 in this
laim as is shown by
the simple (but useful) following lemma. The interest of this lemma goes beyond this appli
ation and it will
be mentioned many times throughout this book.
Lemma 4.2. Let Z be a positive random variable su
h that for some q > p > 0 and some
onstant
C
kZ kq C kZ kp :
kZ kp 21=p t
and
kZ kq 21=p Ct :
fZ>tg
95
Note, as a
onsequen
e of this lemma, that if (Xn ) is a sequen
e of random variables (real or ve
tor
valued) su
h that for some q > p > 0 and C > 0 , kXn kq C kXn kp for all n , and if (Xn )
onverges in
probability to some variable X , then, sin
e sup kXnkq < 1 by Lemma 4.2, (Xn ) also
onverges to X in
n
Lq0 for all q0 < q .
While the subspa
e generated by ("i ) in Lp for 0 p < 1 is `2 , in L1 however this subspa
e is
isometri
to `1 . Indeed, for any nite sequen
e (i ) of real numbers, there exists a
hoi
e of signs "i = 1
su
h that "i i = ji j for all i . Hen
e
X
"i i
ji j :
It might therefore be of some interest to try to have an idea of the span of the Radema
her sequen
e in
spa
es "between" Lp for p < 1 and L1 . Among the possible intermediary spa
es we may
onsider Orli
z
spa
es with exponential rates. A Young fun
tion : IR+ ! IR+ is
onvex, in
reasing with tlim
!1 (T ) = 1
and (0) = 0 . Denote by L = L (
; A; IP) the Orli
z spa
e of all real random variables X (dened on
(
; A; IP) ) su
h that IE (jX j=
) < 1 some
> 0 . Equipped with the norm
1;
1 q < 1:
To handle the small
onvexity problem when 0 < q < 1 , we
an let q (x) = exp(xq ) 1 for x x(q) large
enough, and take q to be linear on [0; x(q) .
The rst observation is that ("i ) still spans a subspa
e isomorphi
to `2 in q whenever q 2 . We
P
assume that 1 q 2 for simpli
ity, but the proof is similar when 0 < q < 1 . Letting X = "i i where
P
96
Hen
e, when q 2 and
Bq0 large enough, IE q (jX j=
) 1 so that kX k q Bq0 . On the other hand,
sin
e ex 1 x ,
j
Xj
j
X jq
Aq q
IE
q
> 1
IE q
for
A0q small enough so that kX k q A0q . Hen
e, as
laimed, when q 2 ,
A0q
2i
!1=2
X
"i i
B0
2i
!1=2
Equivalently k(i )kp;1 = sup i1=p i where (i ) is the non-in
reasing rearrangement of the sequen
e (ji j) .
i1
These spa
es are known to show up in interpolations of `p -spa
es. The fun
tional k kp;1 , equivalent to a
norm when p > 1 , may be
ompared to the `p -norms as follows: for r < p ,
k(i )kp;1
ji
jp
!1=p
ppr
1=p
k(i )kr;1 :
Let now 2 < q < 1 and denote by p the
onjugate of q : 1=p + 1=q = 1 , 1 < p < 1 . The next lemma
des
ribes how in this
ase the span of ("i ) in L q is isomorphi
to `p;1 .
Lemma 4.3. Let 2 < q < 1 and p = q=q 1 . There exist positive nite
onstants A0q , Bq0 depending
only on q ( p ) su
h that for any nite sequen
e (i ) of real numbers
A0q k(i )kp;1
X
"i i
Bq0 k(i )kp;1 :
Proof. By symmetry ("i i ) has the same distribution as ("i ji j) . Further, by identi
al distribution
and denition of k(i )kp;1 we may assume that j1 j ji j . The martingale inequality of
Lemma 1.7 then yields, for every t > 0 ,
(4:4)
(
X
IP "i i
>t
97
As before, one then dedu
es the right side of the inequality of Lemma 4.3 from a simple integration by parts.
Turning to the left side, we make use of the
ontra
tion prin
iple in the form of Theorem 4.4 below. It
implies indeed, by symmetry and monotoni
ity of (ji j) , that for every m
q
X
IE exp "i i
IE exp vertm
Hen e
X
"i i
Now, sin e
m
P
i=1
i=1
m
X
m vert
"i
j
m
X
jq
i=1
q !
"i
:
q
i=1
(1 + log 2)
1=q m1=p :
(1 + log 2)
1=q
sup m1=p jm j
m1
(
X
IP "i i
>t
The rest of this
hapter is mainly devoted to extensions of the previous
lassi
al results to Radema
her
averages with Bana
h spa
e valued
oe
ients. Of
ourse, this ve
tor valued setting is
hara
terized by the
la
k of the orthogonality property
X
2
IE "i i
2i :
Various substitutes have therefore to be investigated but the extension program will basi
ally be fullled.
Classi
ation of Bana
h spa
es a
ording to the pre
eding orthogonality property is at the origin of the
98
notions of type and
otype of Bana
h spa
es whi
h will be dis
ussed later on in Chapter 9. We study here
integrability and
omparison theorems for Radema
her averages with ve
tor valued
oe
ients.
Theorem 4.4. Let F : IR+ ! IR+ be
onvex. For any nite sequen
e (xi ) in a Bana
h spa
e B and
any real numbers (i ) su
h that ji j 1 for all i , we have
(4:6)
!
X
i "i xi
IEF
!
X
"i xi
IEF
(
X
IP
i "i xi
>t
(
X
2IP
"i xi
>t :
!
N
X
i "i xi
i=1
is
onvex. Therefore, on the
ompa
t
onvex set [ 1; +1N , it attains its maximum at an extreme point,
that is a point (i )iN su
h that i = 1 . But for su
h values of i , by symmetry, both terms in (4.6)
are equal. This proves (4.6). Con
erning (4.7), repla
ing i by ji j we may assume by symmetry that
It follows that
i "i xi =
N
X
k=1
k (Sk
Sk 1 ) =
N
X
i "i xi
i=1
N
X
(k
k=1
max
kS k :
kN k
N +1 = 0 . Set Sk = P "i xi .
k+1 )Sk :
i=1
99
Theorem 4.4 admits several easy generalizations whi
h will be used mostly without further
omments in
the sequel. Let us brie
y indi
ate some of these generalizations. Re
all that a sequen
e (i ) of real random
variables is
alled a symmetri
sequen
e when (i ) has the same distribution, as a sequen
e, as ("i i ) where
("i ) is independent from (i ) . It is then
lear by independen
e and Fubini's theorem that Theorem 4.4 also
applies to (i ) in pla
e of ("i ) . Further, as is easy also, if the i 's are now random variables independent of
("i ) (or (i ) ), su
h that ki k1 1 for all i , the
on
lusion of Proposition 4.4 still holds true. Moreover,
as we will see in Chapter 6, the xed points xi
an also be repla
ed by ve
tor valued random variables
independent of ("i ) .
The next lemma is another extension and formulation of the
ontra
tion prin
iple.
Lemma 4.5. Let F : IR+ ! IR+ be
onvex and let (i ) be a symmetri
sequen
e of real random
variables su
h that IEji j < 1 for every i . Then, for any nite sequen
e (xi ) in a Bana
h spa
e,
IEF
!
X
inf IE i
"i xi
i
j j
!
X
i xi
IEF
Proof. By the symmetry asumption, (i ) has the same distribution as ("i ji j) where, as usual, ("i )
is independent from (i ) . Using rst Jensen's inequality and partial integration, and then the
ontra
tion
prin
iple (4.6), we get that
IEF
!
X
i xi
= IEF
IEF
IEF
!
X
"i i xi
i
!
X
"i IE i xi
i
!
X
inf
IE
"
x
i
i
i
i
j j
j j
j j
Note that in
ase the i 's have a
ommon distribution the inequality redu
es to the appli
ation of Jensen's
inequality.
100
An example of a sequen
e (i ) of parti
ular interest is given by the orthogaussian sequen
e (gi )
onsisting
of independent standard normal variables. Sin
e IEjgi j = (2=)1=2 we have from the previous lemma and
its notation that
(4:8)
IEF
!
X
"i xi
IEF
!
1=2
X
gi xi
2
Hen
e Gaussian averages always dominate the
orresponding Radema
her ones. In parti
ular, from the
P
P
integrability properties of Gaussian series (Corollary 3.2), if the series gi xi is
onvergent, so is "i xi .
i
i
One might wonder whether a
onverse inequality or impli
ation hold true. Letting F (t) = t for simpli
ity,
the
ontra
tion prin
iple applied
onditionally on (gi ) assumed to be independent from ("i ) yields
N
X
IE"
"i gi xi
i=1
N
X
max gi IE"
"i xi
iN
j j
i=1
for any nite sequen
e (xi )iN in a Bana
h spa
e B where we re
all that IE" is partial integration with
respe
t to ("i ) . If we now re
all from (3.13) that IE max jgi j K (log(N +1))1=2 for some numeri
al
onstant
iN
K , we see by integrating the previous inequality that
(4:9)
N
X
IE
gi xi
i=1
K (log(N
N
X
+ 1))1=2 IE
i=1
"i xi
This is not the
onverse of inequality (4.8) sin
e the
onstant depends on the number of elements xi whi
h
are
onsidered. (4.8) is a
tually best possible in general Bana
h spa
es as is shown by the example of the
anoni
al basis of `1 together with the left hand side of (3.14). This example is however extremal in
the sense that if a Bana
h spa
e does not
ontain subspa
es isomorphi
to nite dimensional subspa
es of
`1 , then (4.9) holds with a
onstant independent of N (but depending on the Bana
h spa
e). We shall
ome ba
k to this later on in Chapter 9 (see (9.12)). So far, we retain that Gaussian averages dominate
Radema
her ones and that the
onverse is not true in general or only holds in the form (4.9).
The next lemma is yet another form of the
ontra
tion prin
iple under
omparison in probability.
Lemma 4.6. Let F : IR+ ! IR+ be
onvex. Let further (i ) and (i ) be two symmetri
sequen
es of
real random variables su
h that for some
onstant K 1 and all i and t > 0
IPfji j > tg K IPfji j > tg :
101
!
X
i xi
!
X
K
i xi
IEF
Proof. Let (i ) be independent of (i ) su
h that IPfi 1g = 1 IPfi = 0g = 1=K for all i ; then,
for every t > 0 ,
IPfji i j > tg IPfji j > tg :
Taking inverses of the distribution fun
tions, it is easily seen and
lassi
al that the sequen
es (i i ) and
(i )
an be realized on some probability spa
e in su
h a way that, almost surely,
ji i j ji j
for all i :
From the
ontra
tion prin
iple and the symmetry assumption it follows that
IEF
!
X
i i xi
IEF
!
X
i xi
The proof is then
ompleted via Jensen's inequality with respe
t to the sequen
e (i ) sin
e IEi = 1=K .
Noti
e that if we have only in the pre
eding lemma that
IPfji j > tg K IPfji j > tg
for all t t0 > 0 , then the
on
lusion is somewhat weakened: we have
IEF
!
X
i xi
X
X
1
1
IEF 2Kt0
"i xi
+ IEF 2K
i xi
:
2
2
i
i
where ("i ) is an independent Radema
her sequen
e, the
ouple (i ; i0 ) satises the hypothesis of Lemma
4.6. Use then
onvexity and the
ontra
tion prin
iple to get rid of the indi
ator fun
tions.
102
On the basis of the s
alar results des
ribed in the rst paragraph, we now investigate integrability properties of Radema
her series with ve
tor valued
oe
ients. The typi
al obje
t of study is a
onvergent series
P
"i xi where (xi ) is a sequen
e in a Bana
h spa
e B . This denes a Radon random variable in B .
i
Motivated by the Gaussian study of the previous
hapter, there is a somewhat larger setting
orresponding
to what
ould be
alled almost surely bounded Radema
her pro
esses. That is, for some set T assumed
to be
ountable for simpli
ity, let (xi ) be a sequen
e of fun
tions on T su
h that for all t ,
almost surely (or in probability)
onvergent; in other words,
X
sup "i xi (t)
t2T
<1
xi
(t)2
<1
"i xi (t) is
for all t . Assuming that
i
almost surely ;
we are interested in the integrability properties and tail behavior of this almost surely nite supremum.
As in the previous
hapter, in order to unify the exposition, we assume that we are given a Bana
h
spa
e B su
h that for some
ountable subset D in the unit ball of B 0 , kxk = sup jf (x)j . We deal
f 2D
with a random variable X with values in B su
h that there exists a sequen
e (xi ) of points in B su
h
P
that f 2 (xi ) < 1 for every f in D and for whi
h (f1 (X ); : : : ; fN (X )) has the same distribution as
i
P
P
( "i f1 (xi ) ; : : : ; "i fN (xi )) for every nite subset ff1; : : : ; fN g of D . We then speak of X as a ve
tor
i
i
valued Radema
her series (although this terminology is somewhat improper) or almost surely bounded
Radema
her pro
ess. For su
h an X we investigate integrability and tail behavior of kX k . The size of the
tail IPfkX k > tg will be measured in terms of two parameters similar to the ones used in the Gaussian
ase.
As for Gaussian random ve
tors, we
onsider indeed
!1=2
f 2 (xi )
X
sup sup hi f (xi )
jhj1 f 2D
(where h = (hi ) 2 `2 ). Re
all that if X = "i xi is almost surely
onvergent in a (arbitrary) Bana
h spa
e
i
B , dening thus a Radon random variable, we
an let simply
103
2 11=2
X
IE
"i f (xi ) A
X
2IE "i f (xi )
f 2 (xi )
!1=2
2 11=2
X
= IE "i f (xi ) A
p
2 2M
and thus our pre
eding
laim. The tail behavior and integrability properties of kX k are measured in terms
of this number , supremum of weak moments, and some quantity, median or expe
tation, related to the
L0 topology of the norm (strong moments). The main ingredient is the isoperimetri
Theorem 1.3 and
related
on
entration inequality. The next statement summarizes more or less the various results around
this question.
Theorem 4.7. Let X be a Radema
her series in B as dened before with
orresponding = (X ) .
Let moreover M = M (X ) denote a median of kX k . Then, for every t > 0 ,
(4:10)
In parti
ular, there exists > 0 su
h that IE exp kX k2 < 1 and all moments of X are equivalent: that
is, for any 0 < p; q < 1 , there is a
onstant Kp;q depending on p; q only su
h that
kX kp Kp;q kX kq :
Proof. Re
all Haar measure on
f 1; +1gIN . The fun tion ' on IRIN dened by '() = sup j P i f (xi )j ,
f 2D i
= (i ) , is -almost everywhere nite by denition of X . It is
onvex and Lips
hitzian on `2 with Lips
hitz
onstant sin
e
j'() '( )j
X
sup (i
f 2D
i )f (xi )
j j :
Inequality (4.10) is then simply the
on
entration inequality (1.10) issued from Theorem 1.3 applied to this
onvex Lips
hitzian fun
tion on (IRIN ; ) . Alternatively, one may obtain (4.10) dire
tly form Theorem 1.3
104
by a simple nite dimensional approximation, rst through a nite supremum in f , then through nite
sums. Re
all, as is usual in this setting, that we also have, for all t > 0 ,
IPfkX k > M + tg 2 exp( t2 =82 ) :
(4:11)
An integration by parts on the basis of (4.10) already ensures that IE exp kX k2 < 1 for all > 0
small enough, namely less than 1=82 . Con
erning the moment equivalen
es, if M 0 is
hosen to satisfy
p
IPfkX k > M 0 g 1=8 , we know that 2 2M 0 , and, from (4.11) and M M 0 ,
IPfkX k > M 0 + tg 2 exp( t2 =82 )
for all t > 0 . Integrating by parts, for any 0 < p < 1 ,
Z 1
IEjkX k M 0 jp M 0 p +
IPfkX k > M 0 + tg dtp
0
M 0 p + Kp p K 0 M 0 p :
p
Sin
e M 0 (8IEkX kq )1=q for every 0 < q < 1 , the
laim of the theorem is established. Note that we
an
take Kp;2 = K pp ( p 2 ) for some numeri
al
onstant K .
It is worthwhile mentioning that the moment equivalen
es in Theorem 4.7 (due to J.-P. Kahane [Ka1)
provide an alternate proof of Khint
hine's inequalities (with the right order of magnitude of the
onstants
when p ! 1 ). They are therefore sometimes refered to in the literature as the Khint
hine-Kahane inequalities. Note also that (4.10) (or rather (4.11)) implies the weaker but sometimes
onvenient inequality whi
h
orresponds perhaps more dire
tly to the subgaussian inequality (4.1): for every t > 0 ,
IPfkX k > tg 2 exp( t2 =32IEkX k2) :
(4:12)
XN )2 ) :
105
Hen
e, by the
hoi
e of N , IE exp kX XN k2 < 1 from whi
h the
laim follows sin
e kXN k is bounded.
It is still true that the pre
eding observation holds in the more general setting of almost surely bounded
Radema
her pro
esses. The proof is however somewhat more
ompli
ated and makes use of a variation on
the
onverse subgaussian inequality (4.2).
Theorem 4.8. Let X be a ve
tor valued Radema
her series as in Theorem 4.7. Then
IE exp kX k2 < 1
n
P
i=1
i > t . Then
(
X
IP "i i
>t
Proof. Let = (
two
ases. If
IP
( n
X
i=1
"i i > t
X
1
exp Kt2 = 2i A :
2
in
2 n exp( 2Kt2=2 ) :
Kt :
8
<X
:
in
"i i > t
9
=
;
106
To establish Theorem 4.8 we show a quantitative version of the result. Namely, for every > 0 , there
exists " = "() > 0 su
h that if M satises IPfkX k > M g < " , for all t > 0 ,
IPfkX k > KM (t + 1)g 2 exp( t2 )
(4:13)
p
p
for some numeri
al K . If IPfkX k > M g 1=8 we know that = (X ) 2 2M . Let then M 0 = 2 2KM
where K 1 is the
onstant of Lemma 4.9. We thus assume that " < 1=8 . By this lemma (applied to the
non-in
reasing rearrangement of (jf (xi )j) with t = M 0 ), there exist, for ea
h f in D , sequen
es (ui (f ))
and (vi (f )) su
h that, for all i , f (xi ) = ui (f ) + vi (f ) , with the following properties:
X
jui (f )j M 0 ;
In parti ular
exp
X
KM 0 2 = vi (f )2
2" :
X
kX k M 0 + sup "i vi (f )
f 2D i
P
and the Radema
her pro
ess ( "i vi (f ))f 2D satises the following properties:
i
IP
and
X
sup "i vi (f )
f 2D
1
> 2M 0 < " <
2
X
1
sup vi (f )2 KM 0 2 log
2"
f 2D i
1
Given > 0 ,
hoose " = "() > 0 small enough in order that K (log 21" )
from (4.11), for all t > 0 ,
X
sup "i vi (f )
f 2D
IP
Hen
e
> M 0 (t + 2)
2 exp( t2 ) :
107
We
an now easily
on
lude the proof of Theorem 4.8. For ea
h N , set ZN = sup j
"i f (xi )j . (ZN )
f 2D i>N
denes a reverse submartingale with respe
t to the family of -algebras generated by
"N +1 ; "N +2; : : : , N 2 IN . By Theorem 4.7,
sup IEZN
N
IEkX k < 1 :
(ZN ) is therefore almost surely
onvergent. Its limit is measurable with respe
t to the tail algebra, and
therefore degenerated. Hen
e, there exists M < 1 su
h that for all " > 0 one
an nd N large enough
su
h that IPfZN > M g < " . Apply then (4.13) to ZN to easily
on
lude the proof of Theorem 4.8 sin
e
N
k P "i xi k is bounded.
i=1
Going ba
k to the moment equivalen
es of Theorem 4.7, it is interesting to point out that these inequalities
ontain the
orresponding ones for Gaussian averages. This
an be seen from a simple argument involving
the
entral limit theorem. Denote by ("ij ) a doubly indexed Radema
her sequen
e; for any nite sequen
e
(xi ) in B and any n , 0 < p; q < 1 ,
1
0
n
X X
"ij A
x
i
i
j =1 n
n
P
j =1
0
1
n
X X
"ij A
Kp;q
xi
i
j =1 n
:
q
X
Kp;q
gi xi
From the right order of magnitude of the
onstants Kp;q in fun
tion of p and q also follows the exponential
square integrability of Gaussian random ve
tors (Lemma 3.7).
As yet another remark, we would like to outline a dierent approa
h to the
on
lusions of Theorem 4.7
based on the Gaussian isoperimetri
inequality and
ontra
tions of Gaussian measures (see (1.7) in Chapter
1). Let (ui ) denote a sequen
e of independent random variables uniformly distributed on [ 1; +1 . As
des
ribed by (1.7), there is an isoperimetri
inequality of Gaussian type for these measures. As in the
previous
hapter (
f. (3.2)), we
an then obtain, for example, that for any (nite) sequen
e (xi ) in B and
any t > 0
(4:14)
(
X
IP
ui xi
)
X
> 2IE
ui xi
+ t
exp( t2 =2 )
108
where is as before i.e. = sup ( f 2 (xi ))1=2 . We now would like to apply the
ontra
tion prin
iple
f 2D i
in order to repla
e the sequen
e (ui ) in (4.14) by the Radema
her sequen
e. To perform this we need to
translate (4.14) in some moment inequalities in order to be able to apply Theorem 4.4 and Lemma 4.5. We
make use of the following easy equivalen
e (in the spirit of Lemma 3.7).
Lemma 4.10. Let Z be a positive random variable and ; be positive numbers. The following are
equivalent:
(i) there is a
onstant K > 0 su
h that for all t > 0 ,
IPfZ > K ( + t)g K exp( t2 =K ) ;
(ii) there is a
onstant K > 0 su
h that for all p 1
kZ kp K ( + pp) :
Further, the
onstants in (i) and (ii) only depend on ea
h other.
From (4.14) and this lemma it follows that for some numeri
al
onstant K
X
ui xi
K
X
ui xi
p
+ p
for all p 1 . The
ontra
tion prin
iple (Theorem 4.4 and Lemma 4.5) applies to give
X
"i xi
2K
X
"i xi
p
+ p
(
X
IP
"i xi
K exp( t2 =K2)
109
ea
h time (4.10) is only used as a deviation inequality (i.e. in the form of (4.11)), then (4.15)
an be used
equivalently.
T (")wA = "jAjwA
for A IN , jAj < 1 . Sin
e, as in the Gaussian
ase, T (") is a
onvolution operator, it extends to a positive
ontra
tion on all Lp () , 1 p < 1 . One striking property of the operator T (") is the hyper
ontra
tivity
property similar to the one observed for the Hermite semigroup in the pre
eding
hapter. Namely, for
1 < p < q < 1 and " [(p 1)=(q 1)1=2 , T (") maps Lp () into Lq () with norm 1 , i.e. for all f in
Lp ()
kT (")f kq kf kp :
(4:16)
This property
an be dedu
ed from a sharp two point inequality together with a
onvolution argument.
It implies moreover the
orresponding Gaussian hyper
ontra
tivity using the
entral limit theorem ([Gro,
[Be
).
R
A fun
tion f in L2 ()
an be written as f = wA fA where fA = fwA d and the sum runs over
A
all A IN , jAj < 1 . Regrouping, we
an write
f=
1
X
d=0
0
jAj=d
wA fA A =
1
X
d=0
Qd f :
P
Qdf is
alled the
haos of degree or order d of f . Chaos of degree 1 are simply Radema
her series "i i ,
i
P
haos of degree 2 quadrati
series of the type
"i "j ij , et
. Chaos of degree d are
hara
terized by the
i=
6 j
fa
t that the a
tion of the operator T (") is multipli
ation by "d , that is
T (")Qdf = "dQd f :
110
kQdf kq (q 1)d=2kQdf k2 :
As we know, this type of inequalities implies strong integrability properties of Qd f ; re
alling Lemma 3.7, it
follow indeed as in the Gaussian
ase that
IE exp jQd f j2=d < 1
for some (a
tually all) > 0 .
This approa
h extends to
haos with values in a Bana
h spa
e providing in parti
ular a dierent proof of
some of the results of the pre
eding se
tion for
haos of order 1 . As for Gaussian
haos, we however would
like to
omplete these integrability results with some more pre
ise tail estimates. This is the obje
t of what
follows where we one more time make use of isoperimetri
methods. For simpli
ity we only deal with the
haos of degree, or order, 2 in a setting similar to the one developed in the Gaussian
ase.
We keep the setting of the pre
eding paragraph with a Bana
h spa
e B for whi
h there exists a
ountable
subset D of the unit ball of B 0 su
h that kxk = sup jf (x)j for all x in B . We say that a random variable
f 2D
X with values in B is a Radema
her
haos, of order 2 thus, if there is a sequen
e (xij ) in B su
h that
P
"i "j f (xij ) is almost surely
onverent (or only in probability) for all f in D and su
h that (f (X ))f 2D
i;j
has the same distribution as ( "i "j f (xij ))f 2D . We assume for simpli
ity that the diagonal terms xii are
i;j
zero in whi
h
ase the results are more
omplete. We brie
y dis
uss the general
ase at the end of the
se
tion.
The idea of this study will be to follow the approa
h to Gaussian
haos using isoperimetri
methods in
the form of Theorem 1.3. However, with respe
t to the Gaussian
ase, some
onvexity and de
oupling results
appear to be slightly more
ompli
ated here and we will try to detail some of these di
ulties.
Let thus X be a Radema
her
haos (of order 2 ) as just dened. Our aim will be to try to nd estimates
of the tail IPfkX k > tg in terms of some parameters of the distribution of X . These are similar to the ones
P
used in the Gaussian setting. Let us
onsider rst the "de
oupled"
haos Y = ( "i "0j f (yij ))f 2D where ("0j )
i;j
is an independent
opy of ("i ) and yij = xij + xji . Let further M be a number su
h that IPfkX k M g
is large enough, for example
63
IPfkX k M g > :
64
111
8
<
X
IP sup sup "i hj f (yij )
:jhj1 f 2D
i;j
and set
= (X ) =
9
=
15
m; > 16
X
sup sup hi hj f (xij )
jhj1 f 2D i;j
It might be worthwhile to already mention at this stage that these parameters as well as the de
oupled
haos
Y are well dened. To this aim we use a de
oupling argument whi
h will also be useful in the proof of the
main result below.
Let us rst assume we deal with a norm k k given by a nite supremum. On
e the right estimates are
established we will simply need to in
rease these supremum to the norm. For ea
h N , let us set further
N
P
XN =
"i "j xij . If M 0 is su
h that IPfkX k M 0 g > 127=128 , for all N large enough (re
all the norm
i;j =1
is a nite supremum) IPfkXN k M 0 g 127=128 . Let I f1; : : : ; N g and let (i ) be dened as i = 1
if i 2 I , i = +1 if i 62 I . By symmetry
IP
and thus by dieren
e
8
<
kXN k
N
X
M;
"i i "j j xij
i;j =1
8
<
X
IP
"i "j yij
:
i2I;j 62I
9
=
63
M ; 64
9
=
M ; 63
:
64
P
2
X
IE
"i "0j yij
i2I;j 62I
KM 0 2 :
This a
tually simply follows from Fubini's theorem and the integrability results for one-dimensional
haos,
i.e. series. Let indeed
9
9
8
8
<
=
=
<
X
A = ! : IP0
"i (!)"0j yij
M 0 7=8 :
;
;
:
:
i2I;j 62J
112
Then IP(A) 7=8 . For ! in A , Theorem 4.7 applied to the sum in "0j implies that
2
X
IE0
"i (!)"0j yij
i2I;j 62J
KM 0 2
for some numeri
al K . But now, the same result applied to the sum in "i but in L2(
0 ; IP0 ; B ) implies the
announ
ed
laim (4.17) sin
e IP(A) 7=8 . We note then that
0
N
X
X
X
1
"i "0j yij A :
"i "0j yij = 4 N
2
i;j =1
I f1;:::;N g i2I;j 62J
2
N
X
IE
"i "0j yij
i;j =1
KM 0 2 :
i;j
in L2 (and almost surely by Fubini). Hen
e Y is well dened and, in
reasing the nite supremum to the
norm, also satises IEkY k2 KM 0 2 . To
ontrol m and , observe that, by independen
e,
IEkY k2
2
X
IE sup sup "i hj f (yij )
jhj1 f 2D i;j
2
X
sup sup hi kj f (yij )
jhj;jkj1 f 2D i;j
42 :
Further, by Theorem 4.7 again (although for a dierent norm), we may take m to be equivalent to
0
2 11=2
X
B
"i hj f (yij ) C
IE sup sup
A
jhj1 f 2D i;j
and thus Km K 2M 0 for some numeri
al
onstant K . In parti
ular moreover, we will be allowed to
deal with nite sums in the estimates we are looking for sin
e the pre
eding s
heme and these inequalities
justify all the ne
essary approximations.
After having des
ribed the parameters, de
oupling and approximation arguments we will use, we are now
ready to state and prove the tail behavior of IPfkX k > tg where X is a
haos as before.
113
Theorem 4.11. Let X = ( "i "j f (xi ))f 2D be a Radema
her
haos with xii = 0 for all i and let
i;j
N
P
X
X
1
X =2 N
""y A:
2 I f1;:::;N g i2I;j62I i j ij
f1; : : : ; N g , the tail probability of k P "i "j yij k . For simpli
ity in the
i2I;j 62I
notation, we thus assume for this step that yij = 0 if i 62 I or j 2 I . Re
all that, by de
oupling and
8
<
X
IP
"i "j yij
:
i;j
Let
8
<
B = !;
:
8
<
9
=
31
M ; 32
:
X
IP sup
"i hj yij
:jhj1
i;j
8
<
X
IP0
"i (!)"0j yij
:
i;j
9
=
M;
9
=
m; 78 :
=
X
3
and sup
"i (!)hj yij
m :
;
4
jhj1
i;j
Thus IP(B ) 3=4 . If ! 2 B , we see that we
ontrol the one-dimensional parameters in the summation
with respe
t to "0j . It therefore follows from Theorem 1.3 that, for t > 0 ,
IP(A1 ) IP(B )(1 2 exp( t2 =8))
where
8
<
A1 = (!; !0 ) ; ! 2 B ;
:
X
0 (!0 )yij
"
(
!
)
"
i
j
i;j
9
=
M + mt; :
114
X
IP0 sup
hi "0j yij
:jhj1
i;j
> m + 6t
9
=
;
2 exp( t2 =8)
X
sup
hi kj yij
jhj;jkj1
i;j
6 :
A=
8
<
X
0
0
0
(!; ! ) ; ! B ;
"i (!)"j (! )yij
M
:
i;j
9
=
X
and sup
hi "0j yij
m + 4t
;
jhj1
i;j
+ mt
we have that
Let then
8
<
B 0 = !0 ;
:
8
<
X
0
0
IP ! B ;
"i (!)"j (! )yij
M
:
i;j
9
=
X
sup
hi "0j (!0 )yij
m + 4t :
;
jhj1
i;j
9
=
+ mt
12 ;
By Fubini's theorem, IP0 (B 0 ) 1 8 exp( t2 =18) . If !0 is in B 0 , we are in a position to apply the onedimensional integrability results for the sum in "i sin
e we
ontrol the
orresponding parameters; this gives
that
8
9
8
9
<
=
<
=
X
X
IP
"i "0 yij
M + 2mt + 4t2 = IP
"i "0 yij
M + mt + (m + 4t)t
:
i;j
i;j
1 10 exp( t2 =18) :
8
<
X
IP
"i "j yij
:
i2I;j 62I
> M + tm + t2
9
=
10 exp
;
t2
:
72
115
N
X
X
X
1
"i "j yij A ;
"i "j xij = 2 N
2
i;j =1
I f1;:::;N g i2I;j 62I
we are basi
ally left to show that the pre
eding tail estimate is stable by
onvex
ombination. This is however
easily proved. Indeed, let u = u(t) = t2 + mt and denote by t = t(u) the inverse fun
tion (on IR+ ).
The fun
tion (u) = exp(t(u)2 =144) 1 is
onvex in
reasing with (0) = 0 (elementary
omputation). By
(4.18) and integration by parts we have that
IE
00
X
"i "j yij
i2I;j 62I
Hen
e by
onvexity
IE
1
kX k M
2
1+ 1
MA
+ !
10 :
10 :
(
1
kX k M
2
+
> mt + t2
exp(t2 =10144) 1
from whi
h the tail estimate of the theorem follows. Note that the somewhat unsatisfa
tory fa
tor 2
ame
in only at the very end from the de
oupling formula.
By the pre
eding tail estimate, we already know that IE exp kX k < 1 for some > 0 . To establish
that this hold for every > 0 it
learly su
es by the de
oupling argument developed above (and Fatou's
lemma) to show this integrability result for the de
oupled
haos Y . We make use of the proof of Theorem
P
4.8 and (4.13). Let ZN = sup k
"i "0j yij k . By the reverse submartingale theorem, ZN
onverges almost
f 2D i;j>N
surely to some degenerate distribution. Using then (4.13) and Fubini's theorem as in the previous proof of
the tail estimate, we nd that there exists M > 0 su
h that for every > 0 one
an nd N large enough
with
IPfZN > KM (t + 1)g K exp( t)
for all t > 0 , K numeri
al. By the one-dimensional integrability properties, the proof of Theorem 4.11 is
easily
ompleted.
116
We
on
lude this part on Radema
her
haos with a few words on the
ase where the diagonal elements
are non-zero. Assume we are given a nite sequen
e (xij ) in a Bana
h spa
e B . We just learned that there
is a numeri
al
onstant K su
h that for all p 1
X
"i "j xij
i6=j
p
X
Kp
"i "j xij
i6=j
(
f. Lemma 3.7). Denote by ("0i ) an independent Radema
her sequen
e. Then, by independen
e and
Jensen's inequality,
X
0
0
("i "j "i "j )xij
1
i6=j
1
X
0
0
=
("i "j "i "j )xij
i;j
1
X
2
"i "j xij
:
i;j
X
"i "j xij
i6=j
Hen e, by dieren e,
X
xii
X
"
"
x
i j ij
i;j
X
3
"i "j xij
i;j
X
(3 + 2Kp)
"i "j xij
i;j
from whi
h we dedu
e similar integrability properties for
haos with non-zero diagonal terms. We do not
know however whether the tail estimate of Theorem 4.11 extends to this setting.
of a Radema
her pro
ess. For the purposes of this study, one
onvenient representation is
N
X
"i xi
i=1
N
X
sup "i ti
t2T
i=1
117
2 B 0 ; kf k 1g . We therefore
N
P
present the results on
omparison for Radema
her pro
esses of this type, i.e.
"i ti , t = (t1 ; : : : ; tN ) 2 T ,
where T is the (bounded) subset of IRN dened by T = ft = (f (xi ))iN ; f
i=1
We learned in the pre
eding
hapter how Gaussian pro
esses
an be
ompared by mean of their L2 metri
s. While this is not
ompletely possible for Radema
her pro
esses, one
an however investigate analogs
of some of the usual
onsequen
es of the Gaussian
omparison theorems. More pre
isely, we establish a
omparison theorem for Radema
her averages when
oordinates are
ontra
ted and we prove a version of
Sudakov's minoration inequality in this
ontext. Both results are due to the se
ond author.
We start with the
omparison theorem, analogous to Corollary 3.17. A map ' : IR ! IR is
alled a
ontra
tion when j'(s) '(t)j js tj for all s; t 2 IR . If h is a map on some set T , we set for simpli
ity
(and with some abuse) kh(t)kT = khkT = sup jh(t)j .
t2T
Theorem 4.12. Let F : IR+ ! IR+ be
onvex and in
reasing. Let further 'i : IR ! IR , i N , be
ontra
tions su
h that 'i (0) = 0 . Then, for any bounded subset T in IRN
N
1
X
IEF
"i 'i (ti )
2
i=1
IEF
!
N
X
"i ti
i=1
Before turning to the proof, note the following. The numeri
al
onstant 21 is optimal as
an be seen
from the example of the subset T of IR2
onsisting of the points (1; 1) and ( 1; 1) with '1 (x) = x ,
'2 (x) = jxj and F (x) = x . One typi
al appi
ation of Theorem 4.12 is of
ourse given when 'i (x) = jxj
for all i . Another one whi
h will be useful in the sequel is the following. If (xi )iN are points in a Bana
h
spa
e, then
(4:19)
IE
!
N
X
2
sup "i f (xi )
kf k1
i=1
N
X
4IE
"
i=1
xi xi
k k
:
N
P
(Re
all that by the
ontra
tion prin
iple we
an repla
e the right hand side by 4 max kxi kIEk "i xi k .) To
iN
i=1
dedu
e (4.19) from the theorem, let simply T be as before, i.e. T = ft = (f (xi ))iN ; kf k 1g , and take
s2
kx k2 ;
; i
2
2kxi k
2
s 2 IR ; i N :
As we mentioned before, theorems like Theorem 4.12 for Gaussian averages follow from the Gaussian
omparison properties. The Radema
her
ase involves independent (and
on
eptually simpler) proofs to
whi
h we now turn.
118
N
X
(4:20)
IEG sup
N
X
t2T i=1
"i ti :
By
onditioning and iteration, it su
es to show that if T is a subset of IR2 and ' a
ontra
tion on IR
su
h that '(0) = 0 , then
IEG(sup(t1 + "2 '(t2 ))) IEG(sup(t1 + "2 t2 ))
t2T
t2T
( t = (t1 ; t2 ) ). We show that for all t and s in T , the right hand side is always larger than
1
1
I = G(t1 + '(t2 )) + G(s1 '(s2 )) :
2
2
We may assume that
()
t1 + '(t2 ) s1 + '(s2 )
and
()
s1 '(s2 ) t1
'(t2 ) :
'(s2 ) , b = s1
s2 ) :
a b = s2
'(s2 ) t2 '(t2 ) = a0
b0 :
119
Sin
e G is
onvex and in
reasing, for all positive x , the map G( + x)
x = a b 0 and with b b0 , we get that
2I G(t1 + t2 ) + G(s1
s2 )
rd
N
1
X
"i 'i (ti )
IEF
2
i=1
N
X
1
IEF sup
"i 'i (ti )
2
t2T i=1
0
IEF sup
t2T
N
X
i=1
!+ 1
A + IEF sup
t2T
!+ 1
N
X
i=1
! 11
AA
where we have used in the se
ond step that, by symmetry, ( "i ) has the same distribution as ("i ) and
( ) = ()+ . Applying (4.20) to F (()+ ) whi
h is
onvex and in
reasing on IR yields then immediately
the
on
lusion. The proof of Theorem 4.12 is
omplete.
After
omparison properties, we des
ribe in the last part of this
hapter a version of the Sudakov minoration inequality (Theorem 3.18) for Radema
her pro
esses.
If T is a (bounded) subset of IRN , set
r(T ) =
N
X
IE sup "i ti
t2T
i=1
Denote by d2 (s; t) = js tj the Eu
lidean metri
on IRN and re
all N (T; d2 ; ") the minimal number of
(open) balls of radius " > 0 in the metri
d2 su
ient to
over T . Equivalently N (T; d2 ; ") = N (T; "B2 )
120
where we denote by N (A; B ) the minimal number of translates of B by elements of A ne
essary to
over
A , and where B2 is the Eu
lidean unit ball (open). (We do not spe
ify later if the balls are open or
losed
sin
e this distin
tion
learly does not ae
t the various results.) The next result is the main step in the
proof of Sudakov's minoration inequality for Radema
her pro
esses.
Proposition 4.13. There is a numeri
al
onstant K su
h that for any " > 0 , if T is a subset of IRN
su
h that max jti j "2=Kr(T ) for any t 2 T , then
iN
"(log N (T; d2 ; "))1=2 Kr(T ) :
Proof. As an intermediary step, we rst show that when T B2 and max jti j
iN
t 2 T , then
1
(4:23)
log N (T; B2 ))1=2 Kr(T )
2
For a proof,
onsider for example f () = IE(exp h) 1 162 exp( s2 =32) for
f 0 (0) = 0 , it will be su
ient to
he
k that f 00 () 0 when s=4 . Now
jxj>s
= exp
x2 exp
2Z
x
jx+j>s
x2
2
pdx
2
(x + )2 exp
x2
2
pdx :
2
0 . Sin e f (0) =
121
U . Let us then
onsider the Gaussian pro
ess ( gi ui )u2U where (gi ) is an orthogaussian sequen
e. As
i=1
a
onsequen
e of Sudakov's minoration inequality and Gaussian integrability properties (Theorem 3.18 and
Corollary 3.2), there is a numeri
al
onstant K 0 1 su
h that
N
X
sup gi ui
u2U
IP
i=1
21 :
We use a kind of a priori estimate argument. Let K = (100K 0)2 and assume that max jti j 1=Kr(T ) for
iN
every t 2 T . We
laim that whenever 1 satises (log CardU )1=2 Kr(T ) , then
N
X
sup gi ui
u2U
IP
i=1
1
K
> 0 r(T ) <
2K
2
so that, interse
ting the probabilities, (log CardU )1=2 Kr(T )=2 . This of
ourse ensures that (log CardU )1=2
Kr(T ) whi
h is the
on
lusion (4.23).
For all i , set hi = gi Ifjgi j>sg , ki = gi
sin
e jki j s ,
N
X
sup gi ui
u2U
IP
i=1
K
> 0 r (T )
2K
IP
i=1
K
> 0 r(T )
4K
N
X
4K 0s
K
+ IP sup hi ui > 0 r(T ) :
K
4K
u2U i=1
T B2 ,
s2
2 CardU exp[ 4KK 0 r(T ) + 162 exp( 32
)
s2
2 exp[2 K 2 r(T )2 4KK 0 r(T ) + 162 exp( 32
) :
K
2
IPf sup j gi ui j > 0 r(T )g + 2 exp 2 K 2 r(T )2 (1
4K
5
u2U i=1
K
16K 2
2 K 2
+
exp(
)) :
160(K 0)2 (40K 0)2
32(10K 0)2
122
p
If we re
all that 1 , r(T ) 1=2 2 and K = (100K 0)2 104 , it is
lear that the pre
eding probability
is made less than 1=2 whi
h was the announ
ed
laim.
To rea
h the full
on
lusion of the proposition, we use a simple iteration pro
edure. For ea
h t and
> 0 , denote by B2 (t; ) the Eu
lidean ball of
enter t and radius . Let " > 0 and k be an integer
su
h that 2 k < " 2 k+1 . Then
Y
N (T; 2 k B2 ) sup N (T \ B2 (t; 2 `+1 ); 2 ` B2 ) :
`k t2T
`k
r(T )2
):
"2
!1=2
" N
"(log N (T; d2; "))1=2 Kr(T ) log(2 +
)
r(T )
where K is some numeri
al
onstant.
Proof. As before, let us rst assume that T B2 and estimate N (T; 12 B2 ) . Denote by K1 the
numeri
al
onstant in Proposition 4.13. We
an write that
1
1
1
1
N (T; B2 ) N (T;
B1 )N ((T T ) \
B1 ; B2 )
2
K1 r(T )
K1 r(T )
2
1
1
N (B2 ; K r(T ) B1 )N ((T T ) \ K r(T ) B1 ; 12 B2 )
1
1
123
where B1 is the unit ball for the sup-norm in IRN . It is known that (see [S hu, Theorem 1)
p !1=2
1=2
1
B )
K2 r(T ) log(2 + r(TN) )
log N (B2 ;
K1 r(T ) 1
where K2 is numeri
al (it
an be assumed that r(T ) is bounded below). Combining with Proposition 4.13
we get that for some K3 numeri
al
!1=2
1
N
(log N (T; B2 ))1=2 K3r(T ) log(2 +
)
2
r(T )
We
an then use an iteration argument similar to the one used in Proposition 4.13 to obtain the inequality
of the
orollary. The proof is
omplete.
We now turn to another version of Sudakov's minoration. The example of T
onsisting of the
anoni
al
basis of IRN for whi
h
learly r(T ) = 1 and N (T; B2 ) = N indi
ates that Sudakov's minoration for
Gaussians
annot extend litterally to Radema
hers. On the other hand, note that if T
r(T ) 1 . This suggests the possibility of some interpolation and of a minoration involving both B2 and
N
B1 , the unit balls of `N
2 and `2 respe
tively. This is the
on
lusion of the next statement.
N
P
Theorem 4.15. Let T be a (bounded) subset of IRN and let r(T ) = IE sup j "i ti j . There exists a
t2T i=1
numeri
al
onstant K su
h that if " > 0 and if D = Kr(T )B1 + "B2 , then
"(log N (T; D))1=2 Kr(T )
where we re
all that N (T; D) is the minimal number of translates of D by elements of T ne
essary to
over T .
Proof. The idea is to use Proposition 4.13 by
hanging the strange balls D into `2 balls for another
T . Let K1 be the
onstant of the
on
lusion of Proposition 4.13 and set K = 3K1 whi
h we would like to
t the statement of Theorem 4.15. Set a = "2 =Kr(T ) and let M be an integer bigger than r(T )=a . Dene
a map ' in the following way:
' : [ Ma ; +Ma ! IR[ M;M
u ! ('(u)j ) M jM ;
124
'(u)j is dened a
ording to the following rule: if u 2 [0; Ma , k = k(u) is the integer part of u=a ; we
then set
'(u)j = a
for 1 j k
'(u)k+1 = u ka
'(u)j = 0
If u 2 [ Ma; 0 , we let '(u)j = '( u) j . We mention some elementary properties of ' . First, for every
u; u0 in [ Ma; Ma ,
M
X
(4:25)
j= M
j'(u)j '(u0 )j j = ju u0 j :
Another elementary property is the following. Suppose we are given u; u0 in [ Ma; Ma and assume
u0 < u . Let us dene v0 v in the following way: if u 0 , let v = k(u)a and v0 = (k(u0 ) + 1)a or
v0 = k(u0)a a
ording whether u0 0 or u0 < 0 ; if u < 0 , we let v = (k(u) 1)a and v0 = k(u0 )a . We
then have that
(4:26)
M
X
j= M
! (IR[ M;M )N
t = (ti )iN ! (('(ti )j ) M jM )iN :
:T
is of
ourse well dened sin
e if t 2 T , then jti j r(T ) Ma for every i = 1; : : : ; N . Consider now
a doubly indexed Radema
her sequen
e ("ij ) and another one ("0i ) whi
h we assume to be independent.
Then, by symmetry,
r( (T ))
N
M
X X
= IE sup
"ij '(ti )j =
t2T i=1 j = M
N
M
X 0 X
IE sup "i (
"ij '(ti )j )
t2T i=1 j = M
"ij '(t0i )j
j= M
M
X
jti t0i j :
125
This means that, with respe
t to ("0i ) , we are in a position to apply the
omparison Theorem 4.12 from
whi
h we get that r( (T )) 3r(T ) . Now, by
onstru
tion, for every t; i; j ,
2
j (t)
i;j
(4.8). For a large
lass of Bana
h spa
es (whi
h will be des
ribed in Chapter 9 as the spa
es having a nite
P
P
otype),
onvergen
e of Radema
her series "i xi and
orresponding Gaussian series gi xi are equivalent.
i
i
Therefore, a
ording to Theorem 3.20, if E and F have this property, the answer to the pre
eding question
is yes. What we would like to brie
y point out here is that this is not the
ase in general.
Let (xi )iN (resp. (yi )iN ) be a nite sequen
e in E (resp. F ) and set X =
N
P
N
P
N
P
N
P
i=1
"i xi (resp. Y =
"i yi ). Re
all (X ) = sup ( f 2 (xi ))1=2 ( (Y ) = sup ( f 2(yi ))1=2 ). Then for the Radema
her
i=1
kf k1 i=1
kf k1 i=1
N
P
F we have:
average
"ij xi
yj in E
i;j =1
(4:27)
N
X
IE
"ij xi
i;j =1
yj
where K is numeri
al. This inequality is an immediate
onsequen
e of, respe
tively, (4.8), Theorem 3.20 and
(4.9). The point of this observation is that (4.27) is best possible in general. To see it, let E = `N
1 , xi be the
126
elements of the
anoni
al basis, and F = IR , yi = N 1=2 , i = 1; : : : ; N . Then
learly (X ) = (Y ) = 1 ,
IEkX k = 1 , IEkY k 1 . However, by denition of the tensor produ
t norm
N
X
IE
"ij xi
i;j =1
yj
1
= IE max p
iN N
1
N
X
"
ij A
j =1
and this quantity turns out to be of the order of (log N )1=2 . Indeed, by (4.2), for some numeri
al K > 0 ,
)
N
1 X
1
1
=
2
IP p
"i > K (log N )
N1
N i=1
(
(4:28)
1
IE max p
iN N
i=1
Z K
(log N )1=2
(log N )1=2
0
Z K
0
Z K
(log N )1=2
8
<
9
N
=
X
1
"ij > t dt
N j=1 ;
(
)!N 3
N
X
1
5
"i > t
IP
N
IP max p
: iN
2
41
[1 (1
i=1
dt
1 N
) dt
N
127
In [Ka1 (rst edition), J.-P. Kahane showed that an almost surely
onvergent Radema
her series X =
"i xi with
oe
ients in a Bana
h spa
e satises IE exp kX k < 1 for all > 0 and has all its moments
equivalent. Using Lemma 4.5, S. Kwapien [Kw3 improved this integrability to IE exp kX k2 < 1 for some
(and also all) > 0 (Theorem 4.7). The proof of this result presented here is dierent and is based on
isoperimetry. Theorem 4.8 on bounded Radema
her pro
esses is perhaps new; its proof uses Lemma 4.9
whi
h was noti
ed independently in [MS2.
The hyper
ontra
tivity inequality (4.16) was established by L. Gross (as a logarithmi
Sobolev inequality)
and W. Be
kner (as a two point inequality). Its interest for integrability of Radema
her
haos was pointed
out by C. Borell [Bo5. Complete details may be found in [Pi4 where the early
ontribution of A. Bonami
[Bon is pointed out. The de
oupling argument used in the proof of Theorem 4.11 is inspired from [B-T1.
General results on the de
oupling tool may be found in [K-S, [Kw4, [MC-T1, [MC-T2, [Zi3, et
.
The
omparison Theorem 4.12 is due to the se
ond named author and rst appeared in [L-T4 (the proof
presented here being simpler). Proposition 4.13 and Theorem 4.15 are re
ent results of the se
ond author
while Corollary 4.14 is essentially in [C-P (see also [Pa for some earlier related results). (4.27) and the fa
t
that it is best possible belongs to the folklore. Theorem 4.15 is in parti
ular applied in [Ta18.
128
129
k kp;1 is only a quasi-norm but is equivalent to a norm when p > 1 ; take for example
(5:1)
Np (X ) = supfIP(A)
1=q
where q = p=p 1 is the
onjugate of p , for whi
h we have that, for all X , kX kp;1 Np (X ) qkX kp;1
p
(integration by parts). A random variable X in Lp is of
ourse in Lp;1 , satisfying even tlim
!1 t IPfjX j >
tg = 0 . Conversely, the spa
e of all random variables having this limit 0 is the
losure in the Lp;1 -norm
of the step random variables. Re
all also the
omparisons with the Lr -norms: for every r > p and X
kX kp;1 kX kp r r p
1=p
kX kr;1 :
Finally, if B is a Bana
h spa
e, we denote by Lp;1(B ) the spa
e of all random variables X in B su
h
that kX k 2 Lp;1 ; we let simply kX kp;1 = k kX k kp;1 .
As in the Gaussian
ase, we only
onsider symmetri
stable random variables. A real valued (symmetri
)
random variable X is
alled p -stable, 0 < p 2 , if, for some 0 , its Fourier transform is of the form
IE exp itX = exp( p jtjp =2) ; t 2 IR :
130
= p = p (X ) is
alled the parameter of the stable random variable X with index p . A 2 -stable
random variable with parameter is just Gaussian with varian
e 2 . If = 1 , X is
alled standard.
As for Gaussians, when we speak of a standard p -stable sequen
e (i ) , we always mean a sequen
e of
independent standard p -stable random variables i (the index p will be
lear from the
ontext).
Despite the analogy in the denition, the
ase p = 2
orresponding to Gaussian variables and the
ase
0 < p < 2 present some quite important dieren
es. For example, while stable distributions have densities,
these
annot be easily expressed in general. Further, if Gaussian variables have exponential moments, a
non-zero p -stable random vari able X , 0 < p < 2 , is not even in Lp . It
an however be shown that
kX kp;1 < 1 and a
tually that
lim tp IPfjX j > tg =
pp p
(5:2)
t!1
where is the parameter of X and
p > 0 only depends on p (
f. e.g. [Fe1). X has therefore moments
of order r for every r < p and kX kr =
p;r where
p;r depends on p and r only.
Stable random variables are
hara
terized by their fundamental "stability" property (from whi
h they
draw their name): if (i ) is a standard p -stable sequen
e, for any nite sequen
e (i ) of real numbers,
P
ji jp
1=p
X
i i
= p;r
ji
jp
!1=p
so that the span in Lr , r < p , of (i ) is isometri
to `p . This property, whi
h is analogous to what we
learned in the Gaussian
ase but with a smaller spe
trum in r , is of fundamental interest in the study of
`np -subspa
es of Bana
h spa
es (
f. Chapter 9). In this order of ideas and among the
onsequen
es of (5.2)
, we would like to note further that if (i ) is a standard p -stable sequen
e with 0 < p < 2 and (i ) a
P
sequen
e of real numbers su
h that sup ji i j < 1 almost surely, then ji jp < 1 . Indeed, we have from
i
i
the Borel-Cantelli lemma (
f. Lemma 2.6) that for some M 0 > 0
X
It already follows that (i ) is bounded, i.e. sup ji j M 00 for some M 00 . By (5.2) there exists t0 su
h
i
that for all t t0
1
IPfj1 j > tg p p :
2
p t
131
1>
IPfji i j > M g
1 X p
j j :
2M p
pp i i
This kind of result is of
ourse
ompletely dierent in the
ase p = 2 for whi
h we re
all (see (3.7)), as an
example and for the matter of
omparison, that if (gi ) is an orthogaussian sequen
e,
jgi j
lim sup
=1
(2
log(
i + 1))1=2
i!1
almost surely :
N
P
ji
jp
!1=p
132
j
P
= i , j 1 , whi
h will always have the same meaning throughout the book. The sequen
e ( j )j1
i=1
denes the su
essive times of the jumps of a standard Poisson pro
ess (
f. [Fe1). As is easy to see,
j
IPf j tg =
In parti
ular,
Z t
xj 1 x
e dx ; t 0 :
(j 1)!
1 1
IPf j 1=p > tg pj
j! t
for all 0 < p < 1 , j 1 and t > 0 . It already follows that while
lim tp IPf
(5:3)
t!1
1=p
> tg = 1 ;
(5:4)
(a
tually
1=p
1=p
kp < 1
p
kr < 1 for any r < pj ), hen
e tlim
!1 t IPf
1=p
> tg = 0 .
By the strong law of large numbers, j =j ! 1 almost surely. A powerful method will be to repla
e j
by j whi
h is non random. We already quote at this stage a rst observation: for any > 0 and j > ,
(5:5)
IE( j ) =
(j
)
(j )
j1
for j >
Provided with these easy observations, the series representation of p -stable random variables
an be
formulated as follows.
Theorem 5.1. Let 0 < p < 2 and let be a symmetri
real random variable su
h that IEjjp < 1 .
Denote further by (j ) independent
opies of assumed to be independent from the sequen
e ( j ) . Then,
the almost surely
onvergent series
1
X
1=p
X=
j
j
j =1
denes a p -stable random variable with parameter = p 1 kkp (where p has been introdu ed in (5.2)).
133
Proof. Let us rst
onvin
e ourselves that the sum dening X is almost surely
onvergent. To this
aim, we prove a little bit more than ne
essary but whi
h will be useful later in this proof. Let us show indeed
that
N
X
1=p
lim sup
j
j
j0 !1 N j0
j =j0
(5:6)
p;1
1
P
j =1
1=p
= 0:
Sin
e ( j 1=p j ) is a symmetri
sequen
e, the series
onverges almost surely by It^o-Nisio's theorem. Let us
thus establish (5.6). An alternate proof making use of some of the material introdu
ed later in this
hapter
is given at the end of Se
tion 5.2. For every t > 0 , 2 j0 N ,
8
9
N
< X
=
1=p
IP
>
t
j
j
:
;
j =j0
Clearly
j j0
1
IPfjj > tj 1=p g p IE(jjp Ifjj>tj01=p g )
t
j j0
X
1 X
C 2 X 2=p
2=p 2
IE(
I
)
IE jj
j
Ifjjjp =tp g A
1
=p
fj
j
tj
g
j
j
j
t2 jj0
t2
j j0
0
Ct2 (2=p1 ) 1 IE(jj2 Ifjjtj01=p g ) + C 0 vertp IE(jjp Ifjj>tj01=p g ) :
j0
The
on
lusion now follows: for every " > 0 , a > 0 and j0 large enough, we have obtained that
p
N
X
1=p
sup
j
j
N j0
j =j0
p;1
"p +
C 0 a2
"2 p j0(2=p)
Sin
e IEjjp < 1 , we
an let j0 tend to innity, then a also, and then " to 0 to get the
on
lusion.
In order to establish the theorem, we show that X satises the
hara
teristi
property of p -stable random
variables, namely that if X1 and X2 are independent
opies of X , for all real numbers 1 ; 2 ,
134
1
P
1=p
ji ji ,
j =1
j )j 1 ; (j )j 1 g . Set ai
1 X1 + 2 X2 =
1
X
j =1
1
X
1=p
(
j ) 1=p j = (a1 + a2 )1=p
j = (j1 jp + j2 jp )1=p X :
j
j =1
Hen
e X is p -stable. The nal step of the proof
onsists in showing that X has parameter
p 1 jjp . To
this aim we identify the limit (5.2) and make use of the fa
t established in the rst part of this proof. We
have indeed from (5.6) and (5.4) that
8
9
1
<X
=
1=p
p IP
lim
t
>
t
j
j
t!1
:
;
j =2
= 0:
t!1
1=p
t!1
and by
omparison with (5.2) we indeed get that X has parameter
p 1 jjp . The proof of Theorem 5.1 is
omplete.
After the s
alar
ase we now atta
k the
ase of innite dimensional stable random ve
tors and pro
esses.
The key tool in this investigation is the
on
ept of spe
tral measure. The spe
tral measure of a stable variable
arises from the general theory of Levy-Khint
hine representations of innitely divisible distributions. We do
no follow here this approa
h but rather outline, for the modest purposes of our study, a somewhat weaker
but simple des
ription of spe
tral measures of stable distributions in innite dimension. It will
over the
135
appli
ations we have in mind and explains the
avor of the result. We refer to [Ar-G2 and [Li for the more
general innitely divisible theory.
We state and prove the existen
e of a spe
tral measure of a stable distribution in the
ontext of a random
pro
ess X = (Xt )t2T indexed by a
ountable set T in order to avoid measurability questions. This is
anyway the basi
result from whi
h the ne
essary
orollaries are easily dedu
ed.
Theorem 5.2. Let 0 < p < 2 an d let X = (Xt )t2T be a p -stable pro
ess indexed by a
ountable set
T . There exists a positive nite measure m on IRT (equipped with its
ylindri
al -algebra) su
h that
for every nite sequen
e (j ) of real numbers
IE exp i
j Xtj = exp
X
1
x dm(x)A :
2 IRT j j tj
Proof. In a rst step, assume that T is a nite set ft1 ; : : : ; tN g . Re
all that if is real p -stable with
parameter , and r < p , then kkr =
p;r . It follows that for every = (1 ; : : : ; N ) in IRN ,
IE exp i
N
X
j =1
j Xtj = exp
2
= exp 6
4
N
P
j =1
1
()p
2
r 1p=r 3
N
1 X
IE j Xtj A 7
5
p
2
p;r
j =1
0
mr on the unit sphere S for the sup norm k k on IRN by setting for every bounded measurable fun
tion
' on S
Z
Z
x
1
r
'(y)dmr (y) = r
'
p;r IRN
kxk kxk dIPX (x)
S
where IPX is the law of X = (Xt1 ; : : : ; XtN ) . Hen
e, for any = (1 ; : : : ; N ) in IRN ,
IE exp i
N
X
j =1
j Xtj = exp 6
4
1
2
r
1p=r 3
N
X
j xj dmr (x)A 7
5
S j =1
0
Z
136
jmr j xinf
2S
N
X
j =1
1 1
jxj jr A
N
X
j =1
(ej )r
where ej , 1 j N , are the unit ve
tors of IRN . Therefore sup jmr j < 1 . Let then m be a
luster
r<p
point (in the weak-star sense) of (mr )r<p ; m is a positive nite measure whi
h is
learly a spe
tral measure
of X . This proves the theorem in this nite dimensional
ase.
Assume now that T = ft1 ; t2 ; : : : g . It is not di
ult to see that we may assume the stable pro
ess X
be almost surely bounded. Indeed, if this is not the
ase, by the integrability property (5.2) and the BorelCantelli lemma, there exists a sequen
e (at )t2T of positive numbers su
h that if Zt = at Xt , the p -stable
pro
ess Z = (Zt )t2T satises sup jZt j < 1 almost surely. If we
an then
onstru
t a spe
tral measure m0
t2T
on IRT for Z , dene m in su
h a way that for any bounded measurable fun
tion ' on IRT depending
only on nitely many
oordinates,
Z
'(x)dm(x) =
T
IR
IR
'
T
xt
at
dm0 (x)
where x = (xt ) 2 IRT . Then the positive nite measure m on IRT is a spe
tral measure for the p -stable
pro
ess X . We therefore assume that X is almost surely bounded. For ea
h N , the pre
eding nite
dimensional step provides us with a spe
tral measure mN
on
entrated on the unit sphere of `N
1 of the
N
N
random ve
tor (Xt1 ; : : : ; XtN ) in IR . Denote by (Yj ) independent random variables distributed like
mN =jmN j . If we re
all the sequen
e ( j ) of the representation and if we let ("j ) denote a Radema
her
sequen
e, then, the sequen
es (YjN ) , ( j ) , ("j ) being assumed independent, Theorem 5.1 indi
ates that
(Xt1 ; : : : ; XtN ) has the same distribution as
1
X
1=p
p jmN j1=p
"j YjN :
j
j =1
Our next step is to show that sup jmN j < 1 . Sin
e X is assumed to be almost surely bounded, we
an
N
hoose to this aim a nite number u su
h that IPfsup jXt j > ug 1=4 . By Levy's inequality (2.7) and the
t2T
pre
eding representations, it follows that, for every N ,
1
2
1=p
> ug :
137
p p up and thus that sup jmN j < 1 sin
e u has been
hosen independently of
N
N . As before, if m denotes then a
luster point (in the weak-star sense) of the bounded sequen
e (mN ) of
positive measures, m is immediately seen to full the
on
lusion of Theorem 5.2; m is a spe
tral measure
of X and the proof is
omplete.
As an immediate
orollary to Theorems 5.1 and 5.2 we
an now state the following:
Corollary 5.3. Let 0 < p < 2 and let X = (Xt )t2T be a p -stable random pro
ess indexed by
a
ountable set T with spe
tral measure m . Let (Yj ) be a sequen
e of independent random variables
distributed like m=jmj (in IRT ). Let further (j ) be real independent symmetri
random variables with
the same law as where IEjjp < 1 and assume the sequen
es (Yj ) , (j ) , ( j ) to be independent. Then,
the random pro
ess X = (Xt )t2T has the same distribution as
0
p
kkp 1jmj1=p
1
X
j =1
1=p
j Yj (t)A
t2T
Remark 5.4. If m is a spe
tral measure of an almost surely bounded p -stable pro
ess X = (Xt )t2T ,
then ne
essarily
Z
kk the `1 (T ) -norm. This
an be seen for example from the pre
eding representation; indeed, by Levy's inequalities applied
onditionally on ( j ) , we must have that sup kYj k= 1j =p < 1
j 1
almost surely. Now re
all that from the strong law of large numbers j =j ! 1 with probability one and
therefore we also have that sup kYj k=j 1=p < 1 . The
laim thus follows from the Borel-Cantelli lemma and
j 1
the fa
t that the independent random variables Yj are distributed like m=jmj . A
tually, a
lose inspe
tion
where we have denoted by
of the proof of Theorem 5.2 shows that for a bounded pro
ess we dire
tly
onstru
ted a spe
tral measure
on
entrated on the unit ball of `1 (T ) . It is in fa
t
onvenient in many problems to work with a spe
tral
measure
on
entrated on the unit sphere (or only ball) of `1 (T ) . To this aim, observe that if m is a
spe
tral measure of X satisfying
kxkp dm(x) < 1 , let m1 be the image of the measure kxkp dm(x) by
the map x ! x=kxk . Then m1 is a spe
tral measure of X
on
entrated on the unit sphere of `1 (T ) with
total mass
138
It
an be shown that a symmetri
spe
tral measure on the unit sphere of `1 (T ) is unique and this a
tually
follows from (5.10) below (at least in the Radon
ase). This uniqueness is however rather irrelevant for our
purposes. By analogy with the s
alar
ase, we
an however dene the parameter of X by
(5:7)
p (X ) = jm1
j1=p
Z
1=p
kxkp dm(x)
Note that by uniqueness of m1 , p (X ) is well dened (
f. also (5.11)). The terminology of parameter
extends the real
ase. This parameter plays sometimes roles analogous to the 's en
ountered in the study
of Gaussian and Radema
her variables; it is however quite dierent in nature as will be
ome apparent later
on.
We now inspe
t the
onsequen
es of the pre
eding results in the
ase of a p -stable Radon random variable
in a Bana
h spa
e.
Corollary 5.5. Let X be a p -stable ( 0 < p < 2 ) Radon random variable with values in a Bana
h
R
spa
e B . Then there is a positive nite Radon measure m on B satisfying kxkp dm(x) < 1 su
h that
for every f in B 0
Z
1
p
IE exp if (X ) = exp
jf (x)j dm(x) :
2 B
Further, if (Yj ) is a sequen
e of independent random variables distributed like m=jmj , and (j ) a sequen
e
of real symmetri
random variables with the same law as where IEjjp < 1 , the series
p jjp
1 jmj1=p
1
X
j =1
1=p
j Yj
onverges almost surely in B where, as usual, the sequen
es ( j ) , (j ) and (Yj ) are assumed to be
independent from ea
h other and is distributed as X .
Proof. We may and do assume B to be separable. Let D be
ountable weakly dense in the unit ball
of B 0 . By Corollary 5.3, there exists a positive nite measure M on the unit ball of `1 (D) su
h that if
(Yjf )f 2D are independent and distributed like m=jmj , and independent of ( j ) and (j ) , (f (X ))f 2D has
the same distribution as
0
1
1
X
1
=p
f
p k kp 1 jmj1=p
j Yj A
:
j
j =1
f 2D
139
Let (xn ) be a dense sequen
e in B and denote, for ea
h n , by Fn the subspa
e generated by x1 ; : : : ; xn .
By Levy's inequality (2.7) applied to the norms inf sup j f (z )j , and
onditionally on the sequen
e ( j ) ,
z2Fn f 2D
we get that for all n and " > 0 ,
2IPf inf kX
z2Fn
1=p
1 Y1f
z j > "g :
Sin
e X is a Radon variable in B , the left hand side of this inequality
an be made, for every " > 0 ,
arbitrarily small for all n large enough. It easily follows that we
an dene a random variable with values in
B ,
all it Y , su
h that f (Y ) = Y1f almost surely for all f in D . The same argument as before through
Levy's inequalities indi
ates that Y is Radon. By density of D , the law of Y is, up to a multipli
ative
fa
tor, a spe
tral measure of X and we have, by Remark 5.4, that IEkY kp < 1 . The
onvergen
e of
the series representation indeed takes pla
e in B by the It^o-Nisio theorem (Theorem 2.4). Corollary 5.5 is
therefore established.
m=
kxi kp (
2
x
x
kxii k + kxii k ) :
Then m is a spe
tral measure for X (symmetri
and
on
entrated on the unit sphere of B ). We note in
this
ase that the parameter p (X ) of X (
f. (5.7)) is simply
p (X ) =
kxi
kp
!1=p
< 1:
P
This property indu
es a rather deep dieren
e with the Gaussian situation in whi
h kxi k2 is not ne
esi P
P
sarily nite if gi xi
onverges. As yet another dieren
e, note that if
onvergent series gi xi
ompletely
i
i
des
ribe the
lass of Gaussian Radon random ve
tors, this is no more the
ase when p < 2 (as soon as
140
the spe
tral measure is no more dis
rete). The series representation might then be thought as a kind of
substitute to this property.
The representation theorems were des
ribed with a sequen
e (j ) of independent identi
ally distributed
real symmetri
random variables with IEjj jp < 1 . Two
hoi
es are of parti
ular interest. First is the
simple
ase of a Radema
her sequen
e. A se
ond
hoi
e is an orthogaussian sequen
e. It then appears that
p -stable ve
tors and pro
esses may be seen as
onditionally Gaussian. Various Gaussian results
an then
be used to yield, after integration, similar
onsequen
es for stables. This main idea, and the two pre
eding
hoi
es, will be used extensively in the subsequent study of p -stable random variables and pro
esses.
To
on
lude this se
tion we would like to
ome ba
k to the
omparison of ( j ) with (j ) initiated in the
beginning. The representation now
learly indi
ates what kind of properties would be desirable.
First, as an easy
onsequen
e of j =j ! 1 almost surely and the
ontra
tion prin
iple (
onditionally) in
1 1=p
P
the form of Theorem 4.4, it is plain that, in the previous notations,
j Yj
onverges almost surely
j
j =1
1 1=p
P
if and only if
j
j Yj does. The next two observations will be used as quantitative versions of this
j =1
result. As a simple
onsequen
e of the expression of IPf j tg and Stirling's formula, we have that
1=p
j
sup
j 1
j
(5:8)
p;1
Kp
for some Kp < 1 and similarly with ( j =j )1=p (for whi
h a
tually all moments exist). More important
perhaps is the following:
X
(5:9)
j 2
1=p
Note that the sum in (5.9) is up from 2 in order for j 1=p to be in Lp . It su
es to show that for all j
large enough
1
IEj j 1=p j 1=p jp Kp p=2+1 :
j
We have that
IEj j
1=p
1=p jp
1
IPf j
j
j > jg +
f j 2jg
1 1
1=p p
dIP :
141
Now, if 0 x 2 , j1 x1=p j Kp j1 xj , so that, by Chebyshev's and Holder's inequalities the pre
eding
is bounded by
1
+ Kpp IE 1
j2
2 !p=2
j
(IE( 2j =(p
2) (2 p)=2
))
1
1
+ Kpp p=2 (IE( 2j =(p
j2
j
2) (2 p)=2
))
:
Proposition 5.6. Let 0 < p < 2 and let X be a p -stable random variable in B . Then kX kp;1 < 1 .
Furthermore, all the moments of X of order r < p are equivalent, and equivalent to kX kp;1 , i.e. for every
r < p , there exists Kp;r su
h that for every p -stable variable X
Kp;r1 kX kr kX kp;1 Kp;r kX kr :
Proof. As in the previous
hapters, we show that the moments of X are
ontroled by some parameter
in the L0 (B ) topology. Let indeed t0 be su
h that IPfkX k > t0 g 1=4 . Let (Xi ) be independent
opies
of X . Sin
e, for ea
h N ,
N
1 X
X has the same distribution as X ;
N 1=p i=1 i
142
IPfkX k > t0 g
(
N
X
IP
Xi
i=1
> t0 N 1=p
1
IPfmax kX k > t0 N 1=p g :
2 iN i
1
N
1
1
IPfkX k > t0 g r IEkX kr :
t0
4
As a
onsequen
e of this proposition, we see that if (Xn ) is a p -stable sequen
e of random variables
onverging almost surely to X , or only in probability, then (Xn ) also
onverges in Lp;1 and therefore
in Lr for every r < p . This follows from the pre
eding moment equivalen
es together with Lemma 4.2 or
dire
tly from the proof of Proposition 5.6; indeed, for every " > 0 , IPfkXn X k > "g
an be made smaller
than 1=4 for all n large enough and then kXn X kp;1 21=p " .
Integrability properties of innite dimensional p -stable random ve
tors are thus similar to the nite
dimensional ones. This observation
an be pushed further to obtain that (5.2) also extends. The proof is
based on the representation and mimi
ks the last argument in the proof of Theorem 5.1. For notational
onvenien
e and simpli
ity in the exposition, we present this result in the setting of Radon random variables
but everything goes through to the
ase of almost surely bounded stable pro
esses.
Let therefore X be a p -stable Radon random variable with values in a Bana
h spa
e B . A
ording to
Corollary 5.5 (and Remark 5.4), let m be a spe
tral measure of X symmetri
ally distributed on the unit
sphere of B . Then, for every measurable set A in the unit sphere of B su
h that m(A) = 0 where A
is the boundary of A ,
(5:10)
lim
t!1
tp IP
kX k > t ; kX
2 A =
pp m(A) :
Xk
143
This shows in parti
ular uniqueness of su
h a spe
tral measure as announ
ed in Remark 5.4. If we re
all the
parameter p (X ) = jmj1=p of X (
f. (5.7)), we have in parti
ular that
lim tp IPfkX k > tg =
pp p (X )p :
(5:11)
t!1
To better des
ribe the idea of the proof of (5.10), let us rst establish the parti
ular
ase (5.11). We use a result of the next
hapter on sums of independent random variables. Let (Yj ) be independent random variables
1 1=p
P
distributed like m=jmj . A
ording to Corollary 5.5, X has the same distribution as
p jmj1=p
Yj .
j
j =1
1 1=p p
1
P
P
Yj k < 1 . By (5.9), it is enough to have IEk j 1=p Yj kp < 1 .
The main observation is that IEk
j
j =2
j =2
But then we are dealing with a sum of independent random variables. Anti
ipating on the next
hapter, we
1
P
may invoke Theorem 6.11 to see that indeed IEk j 1=p Yj kp < 1 . Hen
e it follows that
j =2
8
1
<
X
1=p
p
lim t IP
Yj
j
t!1
:
j =2
(5:12)
9
=
> t = 0:
;
Sin
e Y1 is
on
entrated on the unit sphere of B ,
ombining with (5.3) we get that
8
1
<
X
1
=p
p
lim t IP
Yj
j
t!1
:
j =1
9
=
> t = 1;
;
X
kX k > t ; kX
k
2 F IPfY1 2 F g :
The
orresponding lower bound for open sets is established similarly yielding thus (5.10) sin
e Y1 is dis1 1=p
P
tributed like m=jmj . For ea
h " > 0 , we set F" = fx 2 B ; 9y 2 F ; kx yk "g . Set also Z =
Yj
j
j =1
whi
h has the same distribution as X . For every "; t > 0
X
IP kX k > t ;
kX k
8
<
1
=
X
1=p
2 F IP :kZ k > t ; kZZ k 2 F ; k
Y
k
"t
j
j
;
j =2
8
9
1
<
=
X
1=p
> "t :
+ IP
Y
j
j
j =2
144
1=p
Z=
1=p
1=p
Y1
1
Z
k k
X
IP kX k > t ;
kX k 2 F
By independen
e of
1
1=p
Y1 +
1
X
j =2
1=p
Yj ;
1=p
kZ k
IPf
1=p
> (1 ")t ; Y1 2
8
1
<
X
1=p
F2" + IP
Y
j
j
:
j =2
9
=
> "t :
;
and Y1 , and (5.3), (5.12), it follows that for every " > 0
lim sup tp IP
t!1
kX k > t ; kX
2F
Xk
kX k around its expe tation ( p > 1 ). The argument relies on a on entration idea for sums of independent
random variables presented in Se tion 6.3 but we already explain here the result. For simpli ity, we deal as
before with Radon random variables and the ase p > 1 . The ase 0 < p 1 an be dis ussed similarly
Proposition 5.7. Let 1 < p < 2 and let X be a p -stable Radon random variable with values in a
Bana
h spa
e B . Then, p (X ) denoting the parameter of X , for all t > 0 ,
(X )p
IPfj kX k IEkX k j > tg Cp p p
t
where Cp > 0 only depends on p .
145
Proof. Let (Yj ) be independent identi
ally distributed random variables in the unit sphere of B su
h
1 1=p
P
that X has the law of
p p (X )Z where Z =
Yj is almost surely
onvergent in B (Corollary 5.5).
j
j =1
j kZ k IEkZ k j
1
X 1=p
j
Y
j
j =1
+
By (5.9),
1
P
j =1
IEj j 1=p
j =1
1
X
j 1=p j + IEj j 1=p
1=p
j =1
In order to estimate
1
X
P
1
j 1=p Yj
j =1
1=p
k IEk
1
X 1=p
IE
j
Yj
j =1
1=p
j
1
P
j =1
1
X 1=p
IE
j
Yj
j =1
1
X
j =2
1=p Y k ,
j
1=p
j 1=p j :
1kp;1 < 1 ,
1=p
j 1=p kp < 1 :
2
1
X 1=p
IE
j
Yj
j =1
1
X
j =1
j 2=p < 1 :
p (X ) Kp kX kp;1
for some
onstant Kp depending only on p . (It is also a
onsequen
e of (5.11).) Thus, the "strong" norm of
a p -stable variable always dominates its parameter p (X ) . Let us already mention that (5.13) is two-sided
1 1=p
P
when 0 < p < 1 . This follows again from the representation together with the fa
t that
j
<1
when p < 1 . We will see later how this is of
ourse no more the
ase when 1 p < 2 .
j =1
We
on
lude this paragraph with some useful inequalities for real valued independent random variables
whi
h do not seem at rst sight to be
onne
ted with stable distributions. They will however be mu
h helpful
146
later on in the study of various questions involving stable distributions like in Chapters 9 and 13. They also
allow to evalute some interesting norms of p -stable variables.
Re
all that for 0 < p < 1 and (i )i1 a sequen
e of real numbers, we set
t>0
where (i )i1 is the non-in
reasing rearrangement of the sequen
e (ji j)i1 . The basi
inequality we
present is
ontained in the following lemma.
Lemma 5.8. Let 0 < p < 1 . Let (Zi ) be independent positive random variables. Then
sup tp IPfk(Zi )kp;1 > tg 2e sup tp
t>0
t>0
IPfZi > tg :
Proof. By homogeneity (repla
ing Zi by Zip ) it su
es to deal with the
ase p = 1 . If (Zi )i1 denotes
P
the non-in
reasing rearrangement of the sequen
e (Zi )i1 , Zn > u if and only if IfZi >ug n . Hen
e,
i
P
if a = IPfZi > ug , by Lemma 2.5, for all n 1 ,
i
Now
ea n
:
IPfZn > ug
n
1 e n
X
n=1
2te
> tg
X
2e k
p
sup
u
IPfZi > ug
tp u>0
i
147
Motivated by the representation of stable variables, the pre
eding lemma has an interesting
onsequen
e
to the
ase where Zi = Yi =i1=p where (Yi ) is a sequen
e of independent identi
ally distributed random
variables.
Corollary 5.9. Let 0 < p < 1 and let Y be a positive random variable su
h that IEY p < 1 . Let
(Yi ) be independent
opies of Y and set Zi = Yi =i1=p , i 1 . Then, if (Zi ) is as usual the non-in
reasing
1
IPfsup n1=p Zn > (2e)1=p kY kp tg kp
t
nk
for all k 1 and t > 0 .
IPfZi > ug =
1
X
1
IPfY > ui1=pg p IEY p :
u
i=1
Hen e the rst inequality of the lemma simply follows from IPfZn > tg
u = (e=n)1=p kY kp t . The se ond inequality follows similarly from Lemma 5.8 and (5.14).
3t
9
=
;
8
1
<X
IP j ( j 1=p
:
j =1
1=p )
>
9
=
8
1
<X
t + IP j 1=p j
;
:
j =1
9
=
> 2t :
;
By (5.3)(
and (5.9) the rst probability
on the right of this inequality is of the order of t p . We are thus left
)
P
1
with IP j 1=p j > 2t . Set Zj = j =j 1=p , j 1 , and let > (Zj ) be the non-in
reasing rearrangement
j =1
of the sequen e (jZj j) . Denote further by ("j ) a Radema her sequen e independent of (j ) . Then, by
148
9
=
8
1
<X
> 2t = IP "j Zj
;
:
j =1
IPfZ1 > tg
9
=
> 2t
;
8
1
<X
+ IP "j Zj
:
j =2
9
=
>t
p
IPfZ1 > tg + IPfsup j 1=p Zj > tg
j 2
8
1
<X
+ IP "j Zj
:
j =2
p=
> t ; sup j 1=p Zj t :
;
j 2
Re
all that IEjj jp < 1 and Zj = j =j 1=p . By Corollary 5.9, the rst two terms in the last estimate are
of the order of t p . Con
erning the third one, we
an use for example the subgaussian inequality (4.1)
onditionally
on the sequen
e
(Zj ) and nd in this way a bound of the order of exp( Kpt) . This shows
P
1
1=p
indeed that
j
< 1 . The limit (5.6)
an be established in the same way.
j =1 j
p;1
Lemma 5.8 has some further interesting
onsequen
es to the evaluation of the norm of
ertain stable
ve
tors. Consider a standard p -stable sequen
e (
i ) ( 0 < p < 2
) and (i ) a nite (for simpli
ity)
sequen
e of real numbers. We might be interested in
P
i
ji i jr
1=r
p;inf ty
the i 's. In other words, we would like to examine the p -stable random variable in `r whose
oordinates
are (i i ) . Lemma 5.8 indi
ates to start with that
(5:15)
k k(i i )kp;1 kp;1
(2e)1=p k
1 kp;1
ji
jp
!1=p
;:
k sup ji i j kp;1
(5:16)
ji
jp
!1=p
where the equivalen
e sign means a two-sided inequality up to a
onstant Kp depending on p only. The
P
right side follows from (5.15) while for the left one we may assume by homogeneity that ji jp = 1 ; then
i
by Lemma 2.6 and (5.2), if t is large enough and satises IPfsup ji i j > tg 1=2 ,
i
IPfsup ji i j > tg
i
1
IPfji i j > tg (Kp tp )
2 i
X
149
sup ji i j
i
ji i
jr
!1=r
r p
1=r
k(i i )kp;1 ;
(5:17)
!1=r
r
i i
p;1
ji
jp
!1=p
where the equivalen
e is up to Kp;r depending on p; r only. When r < p , we
an simply use Proposition
5.6 and the moment equivalen
es to see that, by Fubini,
X
i
(5:18)
!1=r
r
i i
p;1
ji
jr
!1=r
We are thus left with the slightly more
ompli
ated
ase r = p . It states that
X
i
(5:19)
8
< X
:
!1=p
p
i i
ji i
jp
2
X
p;1
B
0 P
ji jp 641 + log B
131
1=p
ji jp )1=p
C7C
ji j A5A :
i
!1=p
9
=
>t
IP
jp I
ji i fji i jtg
> tp
+ IPfsup ji i j > tg :
i
By (5.16) we need only be
on
erned with the rst probability on the right of this inequality. By integration by parts, it is easily seen that there exists a
onstant Kp large enough su
h that, if tp
P
Kp ji jp 1 + log j1i j , then
i
X
tp
IE(ji i jp Ifji i jtg ) :
2
i
Therefore, for su
h t , by Chebyshev's inequality,
(
IP
jp I
ji i fji thetai jtg
> tp
p
IP
ji i fji i jtg IE(ji i fji i jtg ) > t2
i
4 X
t2p IE(ji i j2p Ifji ijtg ) :
i
X
jp I
jp I
150
Integrating again by parts, this quantity is seen to be less than 8k1kpp;1 t p . If we set together all these
informations we see that these yield the upper bound in (5.19). The lower bound is proved similarly and we
thus leave it to the interested reader.
where Yj are independent and distributed like the Haar measure N on f 1; +1gN . Then p (X ) of
(5.7) is 1 . Let us show however that kX kp;1 is of the order of (log N )1=q (for N large) where q is the
onjugate of p ( log log N when p = 1 ). We only prove the lower bound, the upper bound being similar.
First note that by the
ontra
tion prin
iple
1
1=p
X 1=p
IEkX k :
IE
j
Yj
IE sup j
j 1 j
j =1
By (5.8) we know that IE sup( j =j )1=p Kp for some Kp depending on p only. Let now Z be the real
j 1
1 1=p
P
random variable
j
"j where ("j ) is a Radema
her sequen
e and denote by Z1 ; : : : ; ZN independent
j =1
151
so that we have simply to bound below this maximum. For t > 0 , let ` be the smallest integer su
h that
(` + 1)1=q > t . By Levy's inequality (2.6),
IPfjZ j > tg
With probability 2 ` ,
so that
`+1
X 1=p
j
"j
j =1
`+1
=
1 <X
IP j 1=p "j > t :
;
2 :j=1
`+1
X
j =1
IPfjZ j > tg 2 `
12 exp( tq ) :
Let then t = 2IE max jZi j so that in parti
ular IPfmax jZi j > tg 1=2 . By Lemma 2.6 we have N IPfjZ j >
iN
iN
tg 1 . From the pre
eding lower bound it follows that > t Kp 1(log N )1=q for some Kp > 0 . Therefore we
have obtained that kX kp;1 Kp 1 (log N )1=q while p (X ) = 1 . This
learly indi
ates what the dieren
es
an be between kX kp;1 and the parameter p (X ) of a innite dimensional p -stable random variable X
for 1 p < 2 .
A
ording to the previous observations, the next results on
omparison theorems and Sudakov's minoration
for p -stable random variables are restri
ted to the
ase 1 p < 2 .
We rst address the question of
omparison properties in the form of Slepian's lemma for stable random
ve
tors. Consider two p -stable, 1 p < 2 , random ve
tors X = (X1 ; : : : ; XN ) , Y = (Y1 ; : : : ; YN ) in IRN .
By analogy with the Gaussian
ase denote by dX (i; j ) (resp. dY (i; j ) ) the parameter of the real p -stable
variable Xi Xj (resp. Yi Yj ), 1 i , j N . One of the ideas of the Gaussian
omparison theorems
was that if one
an
ompare dX and dY , then one should be able to
ompare the distributions or averages
of max Xi and max Yi (
f. Corollary 3.14 and Theorem 3.15). In the stable
ase with p < 2 , the following
iN
iN
simple example furnishes a very negative result to begin with. Let X be as in the pre
eding example and
take Y to be the
anoni
al p -stable ve
tor in IRN given by Y = (1 ; : : : ; N ) ( (i ) is a standard p -stable
sequen
e). It is easily seen that dX (i; j ) = 21=q while dY (i; j ) = 21=p , i 6= j . Thus dX and dY are
equivalent. However, assuming for example that p > 1 , we know that
IE max Xi Kp (log N )1=q
iN
152
IE max i Kp 1N 1=p
iN
(at least for all N large enough -
ompare IE max i and IE max ji j ). One
an thus measure on this
iN
iN
example the gap whi
h may arise in
omparison theorems for p -stable ve
tors when p < 2 .
Nevertheless some positive results remain. This is for example the
ase for Sudakov's minoration (Theorem
3.18). If X = (Xt )t2T is a p -stable pro
ess (1 p < 2) indexed by some set T , denote as before by dX (s; t)
the parameter of the p -stable real random variable Xs Xt , s; t 2 T . Sin
e kXs Xt kr =
p;r dX (s; t) ,
r < p , dX ( drX if p = 1 ) denes a pseudo-metri
on T . Re
all N (T; dX ; ") is the smallest number of
open balls of radius " > 0 in the metri
dX whi
h
over T (possibly innite). We then have the following
extension of Sudakov's minoration. (This minoration will be improved in Se
tion 12.2.) The idea of the
proof is to represent X as
onditionally Gaussian and apply then the Gaussian inequalities. As is usual in
similar
ontexts, we simply let here
t2F
Theorem 5.10. Let X = (Xt )t2T be a p -stable random pro
ess with 1 p < 2 and asso
iated
pseudo-metri
dX . There is a
onstant Kp depending only on p > 1 su
h that if q is the
onjugate of p ,
for every " > 0 ,
"(log N (T; dX ; "))1=q Kp k sup jXt j kp;1 :
t2T
When p = 1 , the lower bound has to be repla
ed by " log log+ N (T; dX ; ") . In both
ases, if X is almost
surely bounded, (T; dX ) is totally bounded.
Proof. We only show the result when 1 < p < 2 . The
ase p = 1 seems to require independent deeper
tools; we refer to [Ta8 for this investigation. Let N (T; dX ; ") N ; there exists U T with
ardinality N
su
h that dX (s; t) > " for s 6= t in U . Consider the p -stable pro
ess (Xt )t2U and let m be a spe
tral
measure of this random ve
tor (in IRN thus). Let (Yj ) be independent and distributed like m=jmj and let
further (gj ) denote an orthogaussian sequen
e. As usual in the representation, the sequen
es (Yj ) , ( j ) ,
(gj ) are independent. From Corollary 5.3, (Xt )t2U has the same distribution as
p kg1kp 1 jmj1=p
1
X
j =1
1=p
gj Yj :
153
Related to this representation, we introdu
e random distan
es (on U ). Denote by ! randomness in the
sequen
es (Yj ) and ( j ) and set, for ea
h su
h ! and s; t in U ,
0
d! (s; t)
=B
IE
g
p
kg1kp 1 jmj1=p
1
X
j =1
j (! )
0
1
X
1=p
2=p
j (! )
= p kg1 kp 1jmj
j =1
1=p g (Y (!; s)
j j
2 11=2
Yj (!; t)) C
A
11=2
where IEg denotes partial integration with respe
t to the Gaussian sequen
e (gi ) . A
ordingly, note that
for all 2 IR and s; t
1 p p
1 2 2
IE exp i(Xs Xt ) = exp
j
j dX (s; t) = IE exp
d! (s; t) :
2
2
It follows that for every u and > 0 and s; t in U ,
2 2
2 2 2
IPfd! (s; t) udX (s; t)g = IP exp
d (s; t) exp
u dX (s; t)
2 !
2
2
p
exp 2 u2 d2X (s; t) 2 dpX (s; t) :
Minimizing over > 0 , namely taking = [(2u2 )=2p dX (s; t)
where 1 = p1
1
2
(5:20)
where
= (4 2=2 )
1.
Now re
all that dX (s; t) > " for s 6= t in U . From (5.20) we thus get that for all u > 0
IPf9s 6= t in U ; d! (s; t) "ug ( CardU )2 exp(
u ) :
Choose u > 0 in order this probability is less than 1=2 (say), more pre
isely take
u =
1= (log(2N 2 )) 1=
where N = CardU . Hen
e, on a set
0 of ! 's of probability bigger than 1=2 , d! (s; t) > "u for all s 6= t
in U . By Sudakov's minoration for Gaussian pro
esses (Theorem 3.18), for some numeri
al
onstant K
and all ! in
0
1
X
1=p g Y (!; t) 1 "u (log N )1=2
p kg1kp 1 jmj1=p IEg sup
j (! )
j j
K 2
t2U j =1
154
0
Z
dIP
By the
hoi
e of u and Proposition 5.6, k supt2U jXt j kp;1 Kp 1 "(log N )1=q . If we now re
all that
N N (T; dX ; ") was arbitrary the proof is seen to be
omplete.
There is also an extension of Corollary 3.19 whose proof is
ompletely similar. That is, if X = (Xt )t2T
is a p -stable random pro
ess, 1 p < 2 , with almost all traje
tories bounded and
ontinuous on (T; dX )
(or having a version with these properties), then
lim "(log N (T; dX ; "))1=q = 0 ; p > 1
(5:21)
"!0
(and
"!0
In the last part of this
hapter, we brie
y investigate tensorization of stable random variables analogous
to the ones studied for Gaussian and Radema
her series with ve
tor valued
oe
ients. One
orresponding
question would be the following: if (xi ) is a sequen
e in a Bana
h spa
e E and (yj ) a sequen
e in a Bana
h
P
P
spa
e F su
h that i xi and j yj are both almost surely
onvergent, where (i ) is a standard p -stable
i
P j
ij xi
yj , where (ij ) is a doubly indexed standard p -stable sequen
e, in
F of the Bana
h spa
es E and F ? Theorem 3.20 has provided a positive
the inje
tive tensor produ
t E
answer in the
ase p = 2 and the obje
t of what follows will be to show that this remains valid when p < 2 .
We have however to somewhat widen this study; we know indeed that,
ontrary to the Gaussian
ase, not
all p -stable Radon random variable in a Bana
h spa
e
an be represented as a
onvergent series of the type
P
i xi . We use instead spe
tral measures. Let thus 0 < p < 2 and let U and V be p -stable Radon
i
random variables with values in E and F respe
tively. Denote by mU (resp. mV ) the symmetri
spe
tral
measure of U (resp. V )
on
entrated on the unit sphere of E (resp. F ). One
an then dene naturally
F . Is this measure the spe
tral measure of
the symmetri
measure mU
mV on the unit sphere of E
this question.
i;j
155
Theorem 5.11. Let 0 < p < 2 and let U and V be p -stable Radon random variables with values
in Bana
h spa
es E and F respe
tively. Let mU and mV be the respe
tive symmetri
spe
tral measures
on the unit spheres of E and F . Then, there exists a p -stable Radon random variable W with values in
F with spe
tral measure mU
mV . Moreover, for some
onstant Kp depending on p only,
E
1=p
gj Yj
and
1
X
0
V =
j =1
1=p
gj Zj
are almost surely
onvergent in E and F respe
tively where (gj ) is an orthogaussian sequen
e and, as
usual, ( j ) , (gj ) , (Yj ) and (Zj ) are independent. Our aim is to show that
W0 =
1
X
j =1
1=p
gj Yj
Zj
F and satises
is almost surely
onvergent in E
(5:22)
Sin
e p (U ) = jmU j1=p , p (V ) = jmV j1=p , p (W ) = jmU j1=p jmV j1=p , homogeneity and the normalization
in Corollary 5.5 lead then easily to the
on
lusion.
We establish inequality (5.22) for sums U 0 ; V 0 ; W 0 as before but only for nitely many terms in the
summations, simply indi
ated by
Let f; f 0 in the unit ball of E 0 , h; h0 in the unit ball of F 0 . Sin
e kYj k = kZj k = 1 , for every j , with
probability one,
jf (Yj )h(Zj ) f 0 (Yj )h0 (Zj )j jf (Yj ) f 0 (Yj )j + jh(Zj ) h0 (Zj )j :
156
Let (gj0 ) be another orthogaussian sequen
e independent from (gj ) and denote by IEg
onditional integration with respe
t to those sequen
es. By the pre
eding inequality
X
1=p
IEg
gj [f
j
j
h(Yj
Zj ) f 0
h0 (Yj
2 11=2
Zj ) C
A
X
B
1=p
2IE
gj (f (Yj )
g
j
j
f 0 (Yj0 )) +
1=p
gj0 (h(Zj )
2 11=2
h0 (Zj )) C
A
It therefore follows from the Gaussian
omparison theorems in the form for example of Corollary 3.14 (or
Theorem 3.15) that, almost surely in ( j ) , (Yj ) , (Zj ) ,
X
1=p
IEg
gj Yj
j
j
Zj
2
X
1=p
2IEg
gj Yj
+ 2
j
j
X
1=p 0
2IEg
gj Zj
j
j
Integrating and using the moment equivalen
es of both Gaussian and stable random ve
tors
on
lude in this
way the proof of Theorem 5.11.
We mention to
on
lude some
omments and open questions on Theorem 5.11. While kW kp;1 always
dominates p (U )p (V ) , it is not true in general that the inequality of Theorem 5.11
an be reversed. The
works [G-M-Z and [M-T have a
tually shown a variety of examples with dierent sizes of kW kp;1 . One
may introdu
e weak moments similar to the Gaussian
ase; a natural lower bound for kW kp;1 would then
be, besides p (U )p (V ) ,
where
p (U ) = sup
kf k1
Z
jf (x)jp dm
1=p
U (x)
and similarly for V . However, neither this lower bound nor the upper bound of the theorem seem to provide
the exa
t weight of kW kp;1 . The denitive result, if any, should be in between. This question is still under
study.
157
As announ
ed, our exposition of stable distributions and random variables in innite dimensional spa
es
is quite restri
ted. More general expositions based on innitely divisible distributions, Levy measures,
Levy-Khint
hine representations and related
entral limit theorems for triangular arrays may be found in
the treatrises [Ar-G2 and [Li to whi
h we a
tually also refer for more a
urate referen
es and histor
ial
ba
kground. See also the work [A-A-G, the paper [M-Z, et
. The survey arti
le [Wer presents a sample
of the topi
s studied in the rather extensive literature on stable distributions. More on Lp;1 -spa
es (and
interpolation spa
es Lp;q ) may be found e.g. in [S-W.
The theory of stable laws was
onstru
ted by P. Levy [Le1. The few fa
ts presented here as an introdu
tion
may be found in the
lassi
al books on Probability theory, like [Fe1.
Representation of p -stable variables, 0 < p < 2 , goes ba
k to the work by P. Levy and was revived
re
ently by R. LePage, M. Woodroofe and J. Zinn [LP-W-Z; see [LP for the history of this representation.
For a re
ent and new representation, see [Ro3. The proof of Theorem 5.1 is taken from [Pi16 (see also
[M-P2). Theorem 5.2 and the existen
e of spe
tral measures is due to P. Levy [Le1 (who a
tually dealt
with the Eu
lidean sphere); our exposition follows [B-DC-K. Remark 5.4 and uniqueness of the symmetri
spe
tral measure
on
entrated on the unit sphere follow from the more general results about uniqueness of
Levy measures for Bana
h spa
e valued random variables, and started with [Ja1 and [Kue1 in Hilbert spa
e
and was then extended to more general spa
es by many authors (
f. [Ar-G2, [Li for the details). (5.9) was
noti
ed in [Pi12.
P
Proposition 5.6 is due to A. de A
osta [A
2; a prior result for i xi was established by J. Homanni
Jrgensen [HJ1 (see also [HJ3 and Chapter 6). A. de A
osta [A
3 also established the limit (5.11) (by a
dierent method however) while the full
on
lusion (5.10) was proved by A. Araujo and E. Gine [Ar-G1.
Proposition 5.7 is taken from [G-M-Z. Lemma 5.8 is due to M.B. Mar
us and G. Pisier [M-P2 with a
simplied proof by J. Zinn (
f. [M-Zi, [Pi16). The equivalen
es (5.16)-(5.19) were des
ribed by L. S
hwartz
[S
hw1.
Comparison theorems for stable random variables intrigued many people and it was probably known for
a long time that Slepian's lemma does not extend to p -stable variables with 0 < p < 2 . The various
introdu
tory
omments
olle
t informations taken from [E-F, [M-P2, [Li, [Ma3,... Our exposition follows
the work by M. B. Mar
us and G. Pisier [M-P2; Theorem 5.10 is theirs. Theorem 5.11 on tensor produ
t of
stable distributions was established by E. Gine, M. B. Mar
us and J. Zinn [G-M-Z, and further investigated
in [M-T.
158
6.2
6.3
159
160
if f (X ) is measurable for ea
h f in D . We re
all that this denition
overs the
ase of Radon random
variables or equivalently Borel random variables taking their values in a separable Bana
h spa
e.
X 0k > tg:
This is of parti
ular interest when for example a is
hosen su
h that IPfkX k ag 1=2 in whi
h
ase it
follows that
IPfkX k > t + ag 2IPfkX X 0 k > tg:
It also follows in parti
ular that IEkX kp < 1 (0 < p < 1) if and only if IEkX
X 0kp < 1 .
A
tually (6.1) is somewhat too
rude in various appli
ations and it is worthwhile mentioning here the
following improvements: for t; a > 0 ,
(6:2)
f 2D
X 0 k > tg:
For the proof, let ! be su
h that kX (!)k > t + a ; then, for some h in D , jh(X (!))j > t + a . Hen
e
inf IP0 fjf (X 0)j ag IPfkX (!) X 0 k > tg:
f 2D
Integrating with respe
t to ! then yields (6.2). Similarly, one
an show that for t; a > 0 ,
(6:3)
When dealing with a sequen
e (Xi )i2IN of independent random variables, we
onstru
t an asso
iated
sequen
e of independent and symmetri
random variables by setting, for ea
h i , Xei = Xi Xi0 where (Xi0 )
is an independent
opy of the sequen
e (Xi ) . Re
all that (Xei ) is then a symmetri
sequen
e in the sense
161
that it has the same distribution as (i Xei ) where (i ) is a Radema
her sequen
e independent of (Xi ) and
(Xi0 ) . That is, we
an randomize by independent
hoi
es of signs symmetri
sequen
es (Xi ) . A
ordingly
and following Chapter 2, we denote by IE ; IP (resp. IEX ; IPX ) partial integration with respe
t to (i )
(resp. (Xi ) ).
The fa
t that the symmetri
sequen
e (Xei ) built over (Xi ) is useful in the study of (Xi )
an be
illustrated in dierent ways. Let us start for example with the Levy-It^o-Nisio theorem for independent but
not ne
essarily symmetri
variables (
f. Theorem 2.4) where symmetrization proves its e
ien
y. Sin
e weak
onvergen
e is involved in this statement we restri
t for simpli
ity to the
ase of Radon random variables.
The equivalen
e between (i) and (ii) however holds in our general setting.
Theorem 6.1. Let (Xi ) be a sequen
e of independent Borel random variables with values in a separable
n
P
Bana
h spa
e B . Set Sn = Xi ; n 1 . The following are equivalent:
i=1
Proof. Suppose that (Sn )
onverges weakly to some random variable S . On some dierent probability
n
P
spa
e (
0 ; A0 ; IP0 ) ,
onsider a
opy (Xi0 ) of the sequen
e (Xi ) and set Sn0 = Xi0; (Sn0 )
onverges weakly
i=1
to S 0 whi
h has the same distribution as S . Set Sen = Sn Sn0 , Se = S S 0 dened on
0 . Sin
e
Sen ! Se weakly, by the result for symmetri
sequen
es (Theorem 2.4), Sen ! Se almost surely. In parti
ular,
there exists by Fubini's theorem !0 in
0 su
h that
Sn
On the other hand Sn ! S weakly. By dieren
e, it follows from these two observations that (Sn0 (!0 )) is
a relatively
ompa
t sequen
e in B . Further, taking
hara
teristi
fun
tionals, for every f in B 0 ,
exp(if (Sn0 (!0 ))) ! exp(if (S 0(!0 )):
Hen
e f (Sn0 (!0 )) ! f (S 0 (!0 )) and thus Sn0 (!)
onverges in B to S 0 (!0 ) . Therefore Sn ! S almost surely
and the theorem is proved.
While Levy's inequalities (Proposition 2.3) are one of the main ingredients in the proof of the It^o-Nisio's
theorem in the symmetri
al
ase, one
an a
tually also prove dire
tly the pre
eding statement using instead
162
a similar inequality known as Ottaviani's inequality. Its proof follows the pattern of the proof of Levy's
inequalities.
k
P
Lemma 6.2. Let (Xi )iN be independent random variables in B and set Sk = Xi ; k N . Then,
i=1
for every s; t > 0 ,
IPfkSN k > tg
:
IPf max kSk k > s + tg
kN
1 max IPfkSN Sk k > sg
kN
Proof. Let = inf fk N ; kSk k > s + tg ( +1 if no su
h k exists). Then, as usual, f = kg only
N
P
depends on X1 ; : : : ; Xk and
IPf = kg = IPf max kSk k > s + tg . When = k and kSN Sk k s ,
k N
k=1
then kSN k > t . Hen
e, by independen
e,
N
X
IPfkSN k > tg =
k=1
N
X
k=1
Sk k sg
kinf
IPfkSN Sk k sg
N
N
X
k=1
IPf = kg
Lemma 6.3. Let F : IR+ ! IR+ be
onvex. Then for any nite sequen
e (Xi ) of independent mean
zero random variables in B su
h that IEF (kXi k) < 1 for all i ,
1
X
IEF
"i Xi
2
i
IEF
!
X
Xi
IEF
!
X
2
"i Xi
:
Proof. Re
all Xei = Xi Xi0 and let ("i ) be a Radema
her sequen
e independent from (Xi ) and (Xi0 ) .
Then, by Fubini, Jensen's inequality and zero mean (
f. (2.5)), and then by
onvexity, we have
IEF
!
X
Xi
IEF
1
X
"i Xi
IEF
2
i
!
X
Xei
= IEF
!
X
"i Xei
IEF
!
X
X
IEF 12
"i Xei
= IEF 21
Xei
i
i
!
X
2
"i Xi
:
IEF
!
X
Xi
163
X
sup f (Xi )
f 2D
!
IEf (Xi )
X
sup "i (f (Xi )
f 2D
IEF
!
IEf (Xi ))
IEF
!
X
2
"i Xi
!
X
2
Xi
Symmetrization thus indi
ates how results on symmetri
random variables
an be transferred to general
ones. In the sequel of this
hapter, we therefore mainly
on
entrate only on symmetri
al distributions for
whi
h results are usually
learer and easier to state. We leave it if ne
essary to the interested reader to
extend them to the
ase of general (or mean zero) independent random variables by the te
hniques just
presented.
Before turning to the main obje
t of this
hapter, we would like to brie
y mention in passing a
on
entration inequality often useful when for example Levy's inequalities do not readily apply. It is due to M.
Kanter [Kan.
Proposition 6.4. Let (Xi ) be a nite sequen
e of independent symmetri
random variables with values
in B . Then, for any x in B and t > 0 ,
(
X
IP
Xi
t
X
3
1 + IPfkXi k > tg
2
i
1
2
Sin
e symmetri
sequen
es of random variables
an be randomized by an independent Radema
her sequen
e, the
ontra
tion and
omparison properties des
ribed for Radema
her averages in Chapter
4
an be extended to this more general setting. The next two lemmas are easy instan
es of this pro
edure.
The se
ond one will prove extremely useful in the sequel.
Lemma 6.5. Let (Xi ) be a nite symmetri
sequen
e of random variables with values in B . Let further
(i ) and (i ) be a real random variables su
h that i = 'i (Xi ) where 'i : IR ! IR is symmetri
(even),
and similarly for i . Then, if ji j ji j almost surely for all i , for any
onvex fun
tion F : IR+ ! IR+
(and under appropriate integrability),
IEF (k
i Xi k) IEF (k
i Xi k):
164
i Xi k > tg 2IPfk
i Xi k > tg:
These inequalities in parti
ular apply when i = IfXi 2Ai g 1 i where the sets Ai are symmetri
in B
(in parti
ular Ai = fkxk ai g ).
Proof. The sequen
e (Xi ) has the same distribution as ("i Xi ) . By the symmetry assumption on the
'i 's and Fubini's theorem
X
X
IEF (k i Xi k) = IEX IE F (k "i i Xi k):
i
"i i Xi k) leIE" F (k
"i i Xi k)
from whi h the rst inequality of the lemma follows. The se ond is established similarly using (4.7).
Lemma 6.6. Let F : IR+ ! IR+ be
onvex and in
reasing. Let (Xi ) be arbitrary random variables in
B . Then, if IEF (kXi k) < 1 ,
X
1
sup "i jf (Xi )j
IEF
2 f 2D i
(6:4)
IEF (k
"i Xi k):
When the Xi 's are independent and symmetri
in L2 (B ) , we also have that
X
(6:5)
IE sup (
f 2D i
f 2 (Xi ))
sup
f 2D i
X
)
+
8IE
Xi
i
IEf 2 (X
Xi
:
k k
Proof. (6.4) is simply Theorem 4.12 applied
onditionally. In order to establish (6.5), write
IE sup
f 2D
!!
f 2 (Xi )
sup
f 2D i
X
sup f 2 (Xi )
f 2D
and, by (4.19),
IE
IEf 2 (Xi ) + IE
!
IEf 2 (Xi )
!
X
sup "i f 2 (Xi )
f 2D
X
sup f 2 (Xi )
f 2D
!
IEf 2 (Xi ) :
!
X
sup "i f 2 (Xi )
f 2D
2IE
X
4IE
"i Xi
Xi
:
k k
165
Proposition 6.7. Let (Xi )iN be independent random variables with values in B . Set Sk = Xi ,
i=1
k N . For every s; t > 0 ,
IPfmax kSk k > 3t + sg (IPfmax kSk k > tg)2 + IPfmax kXi k > sg:
iN
k N
k N
(6:6)
(6:7)
Proof. Let = inf fj N ; kSj k > tg . By denition, f = j g only depends on the random variables
N
P
X1 ; : : : ; Xj and fmax kSk k > tg = f = j g (disjoint union). On f = j g , kSk k t if k < j and when
kN
j =1
kj
kSk k t + kXj k + kSk Sj k
so that in any
ase
Sj k:
Hen
e, by independen
e,
IPf = j; max kSk k > 3t + sg
kN
IPf = j; max
kXi k > sg + IPf = j gIPfj<k
max kSk
iN
N
Sj k > 2tg:
166
so that
IPf = j; kSN k > 2t + sg IPf = j; max kXi k > sg + IPf = j gIPfkSN Sj k > tg:
iN
Making use of Levy's inequality (2.6) for symmetri
variables and summing over j yields then (6.7). The
proposition is proved.
The pre
eding inequalities are mainly used with s = t . Their main interest and usefulness stem from the
squared probability whi
h make them
lose in a sense to exponential inequalities (see below).
As a rst
onsequen
e of the pre
eding inequalities, the next proposition is still a te
hni
al step before the
integrability statements. It however already expresses in this general
ontext of sums of independent random
variables a property similar to the one presented in the pre
eding
hapters on Gaussian, Radema
her and
stable ve
tor valued random variables. Namely, if the sums are
ontrolled in probability (L0 ) they are also
ontrolled in Lp ; p > 0 , provided the same holds for the maximum of the individual summands. Applied
to Gaussian, Radema
her or stable averages, the next proposition a
tually gives rise to new proofs of the
moment equivalen
es for these parti
ular sums of independent random variables.
Proposition 6.8. Let 0 < p < 1 and let (Xi )iN be independent random variables in Lp(B ) . Set
k
P
Sk = Xi ; k N . Then, for t0 = inf ft > 0; IPfmax kSk k > tg (2 4p ) 1 g ,
k N
i=1
(6:8)
If the Xi 's are moreover symmetri
, and t0 = inf ft > 0; IPfkSN k > tg (8:3p )
(6:9)
1g ,
then
Proof. We only show (6.9), the proof of (6.8) being similar using (6.6). Let u > t0 . By integration by
parts and (6.7),
Z 1
p
p
IEkSN k = 3
IPfkSN k > 3tgdtp
0
Z u Z 1
p
=3
+
IPfkSN k > 3tgdtp
0
uZ
Z 1
1
2
p
p
p
p
IPfmax kXi k > tgdtp
(IPfkSN k > tg) dt + 3
(3u) + 4 3
iN
u
u
Z 1
(3u)p + 4 3p IPfkSN k > ug IPfkSN k > tgdtp + 3p IE max
kXi kp
i
N
0
2(3u)p + 2 3pIE max
k
Xi kp
iN
167
sin
e 4 3p IPfkSN k > ug 1=2 by the
hoi
e of u . Sin
e this holds for arbitrary u > t0 the proposition is
established.
It is a
tually possible to obtain a true equivalen
e of moments for sums of independent symmetri
random
variables. The formulation is however somewhat te
hni
al sin
e it involves trun
ation. Before introdu
ing
this result we need a simple lemma on moments of maximum of independent random variables whi
h is of
independent interest.
Lemma 6.9. Let p > 0 and let (Zi ) be a nite sequen
e of positive random variables in Lp . Given
P
> 0 , let 0 = inf ft > 0; IPfZi > tg g . Then
i
(1 + ) 1 0p + (1 + )
lim itsi
Proof. Use integration by parts. The right hand side is trivial (and a
tually holds for any 0 > 0 ).
Turning to the left side we use Lemma 2.6: the denition of 0 then indi
ates that
IPfmax Zi > tg
i
1 P IPfZ
i
i
(1 + ) 1
(1 + )
> tg if t > 0
if t 0 :
Proposition 6.10. Let 0 < p; q < 1 . Let (Xi ) be a nite sequen
e of independent and symmetri
random variables in Lp (B ) . Then, for some
onstant Kp;q depending on p; q only,
Xi kp Kg
kXi k kp + k
p;q k max
i
1g
Xi IfkXi k0 g kq
1
and where the sign aKg
p;q b means that Kp;q b a
Xi kp 2p IEk
Xi IfkXi k>0 g kp :
168
If we apply (6.9) to the se
ond term of the right side of this inequality we see that, by denition of 0 , we
an take t0 = 0 there so that
IEk
Turning to the rst term and applying again Proposition 6.8, we an take
t0 = (8 3p IEk
The rst half of the proposition follows. To prove the reverse inequality note that, by (6.9) again,
IEk
where we
an
hoose as t0 ,
Xi kp )1=p :
with = (8:3p )
1,
the proof will be
omplete sin
e we know from Levy's inequality (2.7) that
IE max kXi kp 2IEk
i
Xi kp :
We now summarize in various integrability theorems for sums of independent ve
tor valued random
variables the pre
eding powerful inequalities and arguments.
Theorem 6.11. Let (Xi )i2IN be a sequen
e of independent random variables with values in B . Set, as
n
P
usual, Sn = Xi ; n 1 . Let also 0 < p < 1 . Then, if sup kSn k < 1 almost surely, we have equivalen
e
n
i=1
between:
(i) IE sup kSnkp < 1 ;
n
Further, if (Sn )
onverges almost surely, (i) and (ii) are also equivalent to
(iii) IEk
Xi kp < 1
169
Proof. That (i) implies (ii) is obvious. Let N be xed. By Proposition 6.8, t0 being dened there,
IE max kSn kp 2 4p IE max kXikp + 2(4t0)p :
nN
iN
Sin
e IPfsup kSn k < 1g = 1 , there is M > 0 su
h that t0 M independently of N . Letting N tend
n
to innity shows (ii) ) (i). The assertion relative to (iii) follows from Levy's inequalities for symmetri
random variables, and from an easy symmetrization argument based on (6.1) in general.
Corollary 6.12. Let (an ) be an in
reasing sequen
e of positive numbers tending to innity. Let (Xi )
n
P
be independent random variables with values in B and set, as usual, Sn =
Xi ; n 1 . Then, if
i=1
sup kSnk=an < 1 almost surely, for any 0 < p < 1 , the following are equivalent:
n
k
Snk p
(i) IE sup
< 1;
a
(ii) IE sup
kXnk p < 1:
an
Proof. We dene a new sequen
e (Yi ) of independent random variables with values in the Bana
h spa
e
`1 (B ) of all bounded sequen
es x = (xn ) with sup-norm kxk = sup kxn k by setting
n
X X X
Yi = (0; : : : ; 0; i ; i ; i ; : : : )
ai ai+1 ai+2
where there are i 1 zeroes to start with. Clearly kYi k = kXik=ai for all i , and
sup k
n
n
X
i=1
Yi k = sup
n
kSn k :
an
Remark 6.13. It is amusing to note that Homann-Jrgensen's inequalities and Theorem 6.11 des
ribe
well enough independen
e to
ontain the Borel-Cantelli lemma! Indeed, if (Ai ) is a sequen
e of independent
P
P
P
sets, we get from Theorem 6.11 that if IAi
onverges almost surely, then IE( IAi ) = IP(Ai ) < 1 ;
i
i
i
this
orresponds to the independent portion of the Borel-Cantelli lemma.
P
Provided with the pre
eding material, let us now
onsider an almost surely
onvergent series S = Xi of
i
independent symmetri
or only mean zero uniformly bounded random variables with values in B and let us
170
try to investigate the integrability properties of kS k . Assume more pre
isely that the Xi 's are symmetri
N
P
and that kXi k1 a < 1 for all i . For ea
h N , set SN = Xi . By (6.7), for every t > 0 ,
i=1
n+1 2
(IP
IPfkSN k > tn g 22
If S = Xi is almost surely
onvergent, there exists t0 su
h that for every N , IPfkSN k > t0 g 1=8 .
i
Summarizing, for every N and n ,
IPfkSN k > 2n (t0 + a)g 2
2n :
It easily follows that for some > 0 , sup IE exp kSN k < 1 , and thus, by Fatou's lemma, that IE exp kS k <
N
1 . By
onvergen
e, this
an easily be improved into the same property for all > 0 . Note a
tually that
sup IE exp kSN k < 1 as soon as the sequen
e (SN ) is sto
hasti
ally bounded.
N
The pre
eding iteration pro
edure may be
ompared to the proof of (3.5) in the Gaussian
ase. To
omplement it, let us present a somewhat neater argument for the same result, whi
h, if only a small
variation,
ompletes our hability with the te
hnique. The argument is the following; applied to power
fun
tions, it yields an alternate proof of Proposition 6.8 (
f. Remark 6.15 below).
Proposition 6.14. Let (Xi )iN be independent and symmetri
random variables with values in B ,
k
P
Sk = Xi ; k N . Assume that kXi k1 a for all i N . Then, for every ; t > 0 ,
i=1
N Z
X
k=1
f =kg
171
On the set f = kg ,
f =kg
k=1
Sk k:
where we have used Levy's inequality (2.6). The proof is
omplete. (Note that there is an easy analog when
the variables are only
entered.)
Remark 6.15. As announ
ed, the proof of Proposition 6.14 applied to power fun
tions yields an alternate
proof of the inequalities of Proposition 6.8. It a
tually yields an inequality in the form of Kolmogorov's
onverse inequality. That is, under the assumption of the last proposition, for all t > 0 and every 1 p < 1 ,
2
1
IPfkSN k > tg p 41
2
Let (Xi ) be a sequen
e of independent symmetri
(or only mean zero) uniformly bounded by a su
h
P
that S = Xi
onverges almost surely. Then, as a
onsequen
e of Proposition 6.14, we re
over the fa
t
i
that IE exp kS k < 1 for some (a
tually all) > 0 . Indeed, if we
hoose t in Proposition 6.14 satisfying
IPfkSN k > tg (2e) 1 for all N and let = (t + a) 1 , we simply get that
sup IE exp kSN k 2 exp(t) < 1:
N
This exponential integrability result is not quite satisfa
tory sin
e it is known that for real random
variables, IE exp jS j log+ jS j < 1 for some > 0 . This result on the line is one instan
e of the Poisson
behavior of general sums of independent (bounded) random variables as opposed to the normal behavior
of more spe
ialized ones, like Radema
her averages. It originates in the sharp quadrati
real exponential
inequalities (see for example (6.10) below). These real results
an however be extended to the ve
tor valued
ase. We use to this aim isoperimetri
methods to obtain sharp exponential estimates for sums of independent
random variables, even improving at some pla
es the s
alar
ase.
172
(6:10)
IPf
Xi > tg exp
t
a
t b2
at
+
log 1 + 2
a a2
b
This inequality is rather typi
al of the tail behavior of sums of independent random variables. This behavior
is variable depending on the relative sizes of t and the ratio b2 =a . Sin
e log(1 + x) x 12 x2 when
0 x 1 , if t b2=a , (6.10) implies that
IPf
Xi > tg exp
t2 at3
+
;
2b2 2b4
whi
h is further less than exp( t2 =4b2) if t b2 =2a (for example). On the other hand, for all t > 0
X
IPf
Xi > tg exp
t
at
log 1 + 2
a
b
whi
h is sharp for large values of t (bigger than b2 =a ). These two inequalities a
tually des
ribe the
lassi
al
normal and Poisson types behavior of sums of independent random variables a
ording to the size of t with
respe
t to b2 =a .
Before turning to isoperimetri
argument in this study, we would like to present some results based on
martingales. Although these do not seem to be powerful enough in general for the integrability and tail
behavior questions we have in mind, they are however rather simple and quite useful in many situations.
They also present the advantage of being formulated as
on
entration inequalities, some of whi
h will be
useful in this form in Chapter 9.
The key observation in order to use (real) martingale inequalities in the study of sums of independent
ve
tor valued random variables relies on the following simple but extremely useful observation of V. Yurinskii.
173
N
P
i=1
kSN k:
N
P
(di )iN denes a real martingale dieren
e sequen
e (IEAi 1 di = 0) and
di = kSN k
i=1
then have:
IEkSN k . We
Lemma 6.16. Assume the random variables Xi are independent. Then, in the pre
eding notations,
almost surely for every i N ,
jdi j kXi k + IEkXi k:
Further, if the Xi 's are in L2(B ) we also have that
IEAi 1 )(kSN k
kSN Xi k)
and the rst inequality of the lemma already follows from the triangle inequality sin e
Sin
e
onditional expe
tation is a proje
tion in L2 the same argument leads to the se
ond inequality of the
lemma.
The philosophy of the pre
eding observation is that the deviation of the norm of a sum SN of independent
random ve
tors Xi ; i N , from its expe
tation IEkSN k
an be written as a real martingale whose dieren
es
di are nearly exa
tly
ontrolled by the norms of the
orresponding individual summands Xi of SN . In a
sense therefore, up to IEkSN k; kSN k is as good as a real martingale with dieren
es
omparable to kXi k .
Typi
al in this regard is the following quadrati
inequality, immediate
onsequen
e of Lemma 6.16 and
orthogonality of martingale dieren
es:
(6:11)
N
X
i=1
IEkXi k2 :
174
Of
ourse, on the line or even in Hilbert spa
e, if the variables are
entered, this inequality (a
tually an
equality) holds true without the
entering fa
tor IEkSN k by orthogonality.
This remark is one rather important feature of the study of sums of independent Bana
h spa
e valued
random variables (we will nd it also in the isoperimetri
approa
h developed later). It shows how, when a
ontrol in expe
tation (or only in probability by Proposition 6.8) of a sum of independent random variables
is given, then one
an expe
t, using some of the
lassi
al real arguments, an almost sure
ontrol. This
was already the line of the integrability theorems dis
ussed in Se
tion 6.2 and those of this se
tion will be
similar. In the next two
hapters on strong limit theorems for sums of independent random variables, this
will lead to various equivalen
es between almost sure and in probability limiting properties under ne
essary
(and
lassi
al) moment assumptions on the individual summands. As in the Gaussian, Radema
her and
stable
ases, there is then to know how to
ontrol in probability (or weakly) sums of independent random
variables. On the line or in nite dimensional spa
es this is easily a
omplished by orthogonality and moment
onditions. This is mu
h more di
ult in the innite dimensional setting and may be
onsidered a main
problem of the theory. It will be studied in some instan
es in the se
ond part of this work, in Chapters 9,
10 and 14 in parti
ular.
From Lemma 6.16, the various martingale inequalities of Chapter 1, Se
tion 1.3,
an be applied to kSN k
N
P
IEkSN k yielding
on
entration properties for norms of sums SN = Xi of independent random variables
i=1
around their expe
tation in terms of the size of the summands Xi . Let us re
ord some of them at this stage.
N
P
Lemma 1.6 (together thus with Lemma 6.16) shows that if a = max kXi k1 and b ( IEkXik2 )1=2 , for
iN
i=1
all t > 0 ,
(6:12)
t2
2at
2 exp 2
2
2b
b
One
an also prove a martingale version of (6.10) whi
h, applied to kSN k IEkSN k , yields
(6:13)
IPfj kSN k
t
IEkSN k j > tg exp
2a
t
b2
2at
+ 2 log 1 + 2
2a 4a
b
Lemma 1.7 indi
ates in the same way that if 1 < p < 2; q = p=p 1 and a = sup i1=p kXi k1 assumed to
i1
be nite, for all t > 0 ,
(6:14)
175
where Cq > 0 only depends on q . (6.14) is of parti
ular interest when Xi = i xi where (i ) is a
Radema
her sequen
e and (xi ) a nite sequen
e in B . We then have, for all t > 0 ,
(6:15)
IPfj k
"i xi k IEk
where k(xi )kp;1 = k(kxi k)kp;1 . This inequality may of
ourse be
ompared to the
on
entration property
of Theorem 4.7 as well as to the real inequalities des
ribed in the rst se
tion of Chapter 4. The previous
two inequalities will be helpful both in this
hapter and in Chapter 9 where in parti
ular
on
entration will
be required for the
onstru
tion of `np -subspa
es, 1 < p < 2 , of Bana
h spa
es. Note that we already used
(6.11) in the pre
eding
hapter to prove a
on
entration inequality for stable random variables (Proposition
5.7).
We now turn to the main part of this
hapter with the appli
ations to sums of independent random
variables of the isoperimetri
inequality for produ
t measures of Theorem 1.4. This isoperimetri
inequality
appears as a powerful tool whi
h will be shown to be e
ient in many situations. It will allow in parti
ular
to
omplete the study of integrability properties of sums of independent random variables started in the
pre
eding se
tion and to investigate almost sure limit theorems in the next
hapters. This isoperimetri
approa
h, a priori very dierent from the
lassi
al tools (although similarities
an and will be dete
ted),
seems to subsume in general the usual arguments.
Let us rst brie
y re
all Theorem 1.4 and (1.13). Let N be an arbitrary but xed integer and let
XX = (Xi )iN be a sample of independent random variables with values in B . (In this setting, we may
simply equip B with the -algebra generated by the linear fun
tionals f 2 D .) For A measurable in the
produ
t spa
e B N = fx 2 B ; x = (xi )iN ; xi 2 B g and for integers q; k , set
K0 k
:
q
176
probability that this is realized. In appli
ations to sums of independent random variables, the k values for
whi
h the isoperimetri
inequality does not provide any
ontrol may be thought as the largest elements (in
norm) of the sample. This observation is a
tually the
ondu
ting rod to the subsequent developments. We
will see how, up to the
ontrol of the large values, the isoperimetri
inequality provides optimal estimates
of the tail behavior of sums of independent random variables. As for ve
tor valued Gaussian variables and
Radema
her series, several parameters are used to measure tail of sums of independent random variables.
These involve some quantity in the L0 topology (median or expe
tation), information on weak moments,
and thus, as is
lear from the isoperimetri
approa
h, estimates on large values.
Let us now state and prove the tail estimate on sums of independent random variables we draw from the
isoperimetri
inequality (6.16). It may be
ompared to the real inequalities presented at the beginning of the
se
tion although we do not expli
it this
omparison sin
e the ve
tor valued
ase indu
es several
ompli
ations.
Various arguments in both this
hapter and the next one however provide the ne
essary methodology and
tools towards this goal. It deals with symmetri
variables sin
e Radema
her randomization and
onditional
use of tail estimates for Radema
her averages are an essential
omplement to the approa
h. If (Xi )iN
is a nite sequen
e of random variables, we denote by (kXi k)iN the non-in
reasing rearrangement of
(kXi k)iN .
Theorem 6.17. Let (Xi )iN be independent and symmetri
random variables with values in B . Then,
for any integers k q and real numbers s; t > 0 ,
(6:17)
(
N
X
IP
Xi
i=1
where
> 8qM + 2s + t
( k
)
X
t2
K0 k
+ IP
kXi k > s + 2 exp 128qm2
q
i=1
N
X
= IE
ui
;
i=1
N
X
m = IE sup
f 2 (ui )
f 2D i=1
!1=2 1
A
177
be
on
erned with trun
ations, for example if we deal with bounded variables, then in (6.17) the parameter
2s in the left hand side
an be improved to s . This is
ompletely
lear from the proof below and is sometimes
useful as we will see in Theorem 6.19. The reader re
ognizes in the rst two terms on the right of (6.17) the
isoperimetri
bound (6.16) and the largest values. M
orresponds to a
ontrol in probability of the sum, m
to weak moment estimates. A
tually m
an be used in several ways. These are summarized in the following
main three estimates. First, by (6.5) and the
ontra
tion prin
iple
N
X
Ms
m2 sup IEf 2 (ui ) + 8 :
k
f 2D i=1
(6:18)
Then, by (4.3) and symmetry,
m2 2M 2;
(6:19)
while, trivially,
m2
(6:20)
N
X
i=1
IEkui k2 :
(6.18)
orresponds basi
ally to the sharpest estimate and will prove e
ient in limit theorems for example.
The two others, espe
ially (6.19), are
onvenient when no weak moments assumptions need to be taken into
a
ount; both in
lude the real valued situation.
Let us now show how Theorem 6.17 is obtained from the isoperimetri
inequality.
N
X
i=1
N
X
Xi k s + k
i=1
ui k
where we re
all that ui = Xi IfkXi ks=kg ; i N . Indeed, if J denotes the set of integers i N su
h that
k
kXi k > s=k , then Card J k sin
e if not this would
ontradi
t P kXi k s . Then
i=1
N
X
Xi
i=1
X
X
Xi
+
Xi
i2J
i62J
k
X
i=1
kXik + k
N
X
i=1
ui k
178
2 nd step. Appli
ation of the isoperimetri
inequality. By symmetry and independen
e re
all that the sample
XX = (Xi )iN has the same distribution as ("i Xi )iN where ("i ) is a Radema
her sequen
e independent
of XX . Suppose that we are given A in B N su
h that IPfXX 2 Ag 1=2 . If then XX 2 H = H (A; q; k) ,
there exist by denition j k and x1 ; : : : ; xq 2 A su
h that
f1; : : : ; N g = fi1; : : : ; ij g [ I
where I =
q
S
`=1
N
X
i=1
"i Xi k s + k
s+k
N
X
i=1
j
X
`=1
2s + k
"i ui k
"i` ui` k + k
i2I
"i ui k:
i2I
"i ui k
From the isoperimetri
inequality (6.16) we then
learly get that, for k q , s; t > 0 ,
(6:21)
IPfk
N
X
i=1
Xi k > 2s + tg
Z
k
X
X
K0 k
IP" fk
"i ui k > tgdIPX :
+ IPf kXi k > sg +
q
fXX2H g
i=1
i2>I
There is here a slight abuse in notation sin
e fXX 2 H g need not be measurable and we should be somewhat
more
areful in this appli
ation of Fubini's theorem. This is however irrelevant and for simpli
ity we skip
these details.
3 rd step. Choi
e of A and
onditional estimates on Radema
her averages. On the basis of (6.21), we
P
are now interested in
onditional estimates of IP" fk "i ui k > tg with some appropriate
hoi
e for A . This
i2I
is the pla
e where randomization appears to be
ru
ial. The tail inequality on Radema
her averages we use
P
is inequality (4.11) in the following form: if (xi ) is a nite sequen
e in B and = sup ( f 2 (xi ))1=2 , for
f 2D i
any t > 0 ,
(6:22)
IPfk
179
(With some worse
onstants, we
ould also use (4.15).) Of
ourse, this kind of inequality is simpler on the
line (
f. the subgaussian inequality (4.1)) and the interested reader is perhaps invited to
onsider this simpler
ase to start with. Provided with this inequality, let us
onsider A = A1 \ A2 where
N
X
i=1
N
X
i2I
q
X X
IE"
"i ui
`=1 i2I`
X
`
IE
"i xi Ifkx`i ks=kg
`=1
i2I`
q
X
Then, by monotoni
ity of Radema
her averages, and denition of A (re
all x1 ; : : : ; xq belong to A ), it
follows that
X
IE"
i2I
q
X
`=1
"i ui
N
X
IE"
i=1
Remark 6.18. One of the key observations in the third step of the pre
eding proof is the monotoni
ity of
Radema
her averages. It might be interesting to des
ribe what the isoperimetri
inequality dire
tly produ
es
N
P
when applied to
onditional averages IE" k "i Xi k whi
h thus satisfy this basi
un
onditionality property.
i=1
N
P
Let therefore (Xi )iN be independent symmetri
variables in L1 (B ) and set M = IEk Xi k . Then, for
i=1
every k q and s > 0 ,
(6:23)
IPX fIE" k
N
X
i=1
k
X
K0 k
+ IPf kXi k > sg:
q
i=1
180
N
X
i=1
"i xi k 2M g
N
X
i=1
q
S
`=1
"i X i k
k
X
i=1
k
X
i=1
k
X
i=1
kXi k + IE" k
i2I
"i Xi k
N
X
X
kXi k + IE" k "i x` k
`=1
i=1
kXi k + 2qM
by monotoni
ity of Radema
her averages and denition of A . (6.23) then simply follows from (6.16).
Note that the same applies to sums of independent real positive random variables sin
e these share this
monotoni
ity property, and this
ase is a
tually one rst instru
tive example for the understanding of the
te
hnique.
We next turn to several appli
ations of Theorem 6.17. We rst solve the integrability question of almost
surely
onvergent series of independent
entered bounded random variables. Proposition 6.14 provided an
exponential integrability. It is however known, from (6.10) or Prokhorov's ar
sinh inequality e.g. (
f. [Sto),
that in the real
ase these series are integrable with respe
t to the fun
tion exp(x log+ x) . This order of
integrability is furthermore best possible. Take indeed (Xi )i1 to be a sequen
e of independent random
variables su
h that, for ea
h i 1; Xi = 1 with equal probability (2i2) 1 and Xi = 0 with probability
N
P
P
1 i 2 . Then IEXi2 < 1 . However, if SN = Xi and ; > 0 , for every N ,
i
i=1
N
X
k=0
N
Y
i=1
181
Theorem 6.19. Let (Xi ) be independent and symmetri
random variables with values in B su
h that
P
S = Xi
onverges almost surely and kXi k1 a for all i . Then, for every < 1=a ,
i
N
P
i=1
Xi . We show that
whi
h is enough by Fatou's lemma. We already know from Theorem 6.11 that sup IEkSN k = M < 1 (this
N
an also be dedu
ed dire
tly from the isoperimetri
inequality so that this proof is a
tually self-
ontained).
We use (6.17) together with (6.19) and the
omment after Theorem 6.17
on
erning trun
ation to see that,
for all integers k q and all real numbers s; t > 0 ,
IPkSN k > 8qM + s + tg
Sin
e, almost surely,
k
P
i=1
k
X
t2
K0 k
+ IPf kXi k > sg + 2 exp
:
q
256qM 2
i=1
kXi k ka ,
K0 k
t2
+ 2 exp
:
q
256qM 2
Let > 0 . For u > 0 large enough, set t = u , k = [(1 2)a 1u (integer part) and
q=
2 a
u
:
2
256M log u
182
Theorem 6.20. There is a universal
onstant K su
h that for all p > 1 and all nite sequen
es (Xi )
of independent mean zero random variables in Lp (B ) ,
Xi kp K
p X
(k X k + k max kXi kkp ):
i
log p i i 1
index and XN(r) = 0 if r > N ). Then, if M = k Xi k1 , Theorem 6.17 and (6.19) indi
ate that, for k q
i=1
and s; t > 0 ,
(6:24)
IPfk
N
X
i=1
Xi k > 8qM + 2s + tg
k
X
K0 k
t2
(r)
+ IPf XN > sg + 2 exp
:
q
256qM 2
r=1
To establish Theorem 6.20, we may assume by homogeneity that M 1 and kXN(1)kp 1 ( XN(1) =
max kXi k ). In parti
ular therefore IPfXN(1) > kg u p for all u > 0 . By indu
tion over r , for all u > 0 ,
iN
one easily sees that
IPfXN(r) > ug IPfmax kXi k > ugIPfXN(r
iN
1)
> ug ;
183
exp
u log
N
X
i=1
pu
K0
u3=2
:
256
Standard
omputations using the integration by parts formula give then the
onstant p= log p in the inequality of the theorem. The proof is
omplete.
The pre
eding moment inequalities
an also be investigated for exponential fun
tions. Re
all that for
0 < < 1 we let = exp(x ) 1 (linear near the origin when 0 < < 1 in order for to be
onvex)
and denote by k k the norm of the Orli
z spa
e L . We then have
Theorem 6.21. There is a
onstant K depending on only su
h that for all nite sequen
es (Xi ) of
independent mean zero random variables in L (B ) , if 0 < 1 ,
(6:25)
and if 1 < 2 ,
(6:26)
Xi k
Xi k
K (k
K ((k
Xi k1 + k max
kXi kk );
i
Xi k1 + (
kXi k )1= )
where 1= + 1= = 1 .
Proof. We only give the proof of (6.26). Similar (and even simpler when 0 < < 1 ) arguments
are used for (6.25) (
f. [Ta11). By Lemma 6.3 we redu
e to symmetri
random variables (Xi )iN .
We set di = kXi k so that IPfkXik > ug 2 exp( (u=di ) ) . By homogeneity we
an assume that
N
N
k P Xi k1 1; P di 1 , and there is no loss in generality to assume the sequen
e (di )iN de
reasing.
p
2 . We
an nd a sequen
e
i 2i d2i su
h that
i
i+1 = 2
i =2 for i 1 and
2i N
P
P
i 10 (e.g.
i = 2 jj ij=2 2j d2j ). Let
i = (2 i
i )1= so that
i+1
i 2 =2 ;
i
i+1 23=2 .
i
j 1
P
P
Then 2i
i 10 and dj
i for j 2i . We observe that
4
` (4 log 4`+1 )1= C < 1 .
i=1
Hen e
i=1
2i d2i
`2
It will be enough to show that for some
onstants a;
depending on only, if u
then
(6:27)
IPf
ru
184
Indeed, if we then take, in (6.24), q to be 2K0; k of the order of u ; s and t of the order of u , we obtain
the tail estimate
orresponding to (6.26). In order to establish (6.27), sin
e IPfXN(1) > ug 2 exp( u ) , it
is a
tually enough to nd s; a;
su
h that when u
X
IPf
2s ru
Fix u (large enough) and denote by n the largest integer su
h that 2n u . Suppose that
so that
n
`
P
2` X (2 )
N
`=0
ru
XN(r) > au
> a . Let
`
P ` (2` )
2X
`2L
2m (m
> au
2 L , we an nd a number a` of the
2 ZZ) su
h that XN(2 ) > a` and a`
` (4 log 4`+1 )1= and P 2` a` > au=4 . There exist
`2L
disjoint subsets J` ; ` 2 L , of f1; : : : ; N g su
h that CardJ` 2` 1 and kXi k > a` for i 2 J` . Set
I` = J` nf1; : : : ; 2` 2 g . We have
form
XY Y
`2L i2I`
IPfkXi k > a` g
where the summation is taken over all possible
hoi
es of (I` )`2L . Hen
e
(2` )
IPf8` 2 L; XN > a` g
We know that IPfkXik > a` g 2 exp(
X
2` 2 <iN
`2L 2` 2 <iN
(a` =di ) ) , so
IPfkXi k > a` g
j ` 2
j ` 2
IPfkXik > a` gA
=2 ;
j
12`
j ` 2
exp
2 j
1 exp
1 a`
:
4
`
1 a`
4
`
j+1 23=2 we
185
Hen e
`
IPf8` n; XN(2 )
> a` g exp
!
1 X ` a`
2
:
8 `2L
d`
By Holder's inequality,
au=4
so that
P `
2 (a
`2L
` =d` )
`2L
2`a
`2L
2`
!1=
!1= X
a`
`
2
`
d`
`2L
Remark 6.22. The pre
eding proof shows that the
onstant K in (6.26) is bounded in any interval
[1 + ; 2 . Applying (6.26) to independent
opies of a Gaussian random variable, one
an then dedu
e
from this observation (and a nite dimensional approximation) that ve
tor valued Gaussian variables are in
L 2 (B ) .
To
on
lude this
hapter, we would like to mention that the previous statements are only a few examples
of the seemingly large number of variations that one
an try with the isoperimetri
approa
h and estimates
on large values. As an illustration, let us mention a few more ideas.
The rst remark is that in the third step of the proof of Theorem 6.17, possibly other inequalities on
Radema
her averages
an be used. One may think for example of (6.15). A
tually, from the more general
(6.14) dire
tly (whi
h was obtained through martingale methods), we already get an interesting inequality
in the spirit of Theorem 6.21 whi
h deals with the
ase > 2 . Namely, in the hypotheses of Theorem 6.21,
for 2 < < 1 and 1= + 1= = 1 ,
(6:28)
Xi k
K (k
Xi k1 + k(kXi k1 )k;1):
Using estimates on large values similar to the ones put forward in the proof of Theorem 6.21, it is possible
to improve (6.28) by the isoperimetri
method into
(6:29)
Xi k
K (k
Xi k1 + k(kXi k s )k;1 )
186
1 < < 1 , = = 1 . With this
hoi
e of s , one
an show the following inequalities; as usual, (Xi )
is a nite sequen
e of independent symmetri
ve
tor valued random variables. If 2 < 1 , for some
onstant K depending only on and all t > 0 ,
IPfk
(6:30)
Xi k > t(k
Xi k1 + k(Xi )k;1 )g K exp( t =K ) ;
if 1 < < 2 ,
(6:31)
IPfk
Xi k > K k
Xi k1 + tk(Xi )k;1 g K exp( t =K) :
To illustrate these inequalities, let us prove the se
ond one; it uses (6.15) as opposed to the rst one
whi
h uses the usual quadrati
inequality (Theorem 4.7). We start with (6.21), a
tually without trun
ated
variables sin
e we need not be
on
erned with trun
ation here. We set there s to be random and equal to
P
k1= k(Xi )k;1 . Take further t = 2qM + k1= k(Xi )k;1 , also random therefore, where M = k Xi k1 .
i
It follows that, for k q ,
IPfk
Kq0
P
k
fXX2H g
IP fk
i2I
i2I
i Xi k 2qM:
i2I
187
Letting for example q = 2K0 we then
learly dedu
e (6.31). As already mentioned, the proof of (6.30) is
similar.
We
on
lude here these appli
ations although many dierent te
hniques might now be
ombined from
what we learned to yield some new useful inequalities. We hope the interested reader has now enough
informations to establish from the pre
eding ideas the tools he will need in its own study.
188
Lemma 6.16 is due to V. Yurinskii [Yu1 (see also [Yu2). Inequality (6.11) (and some others) has been
put forward in [A
6. Inequalities (6.12), (6.13) and (6.14) may be found respe
tively in [K-Z, [A
5 and
[Pi16 (see also [Pi12). A. de A
osta [A
5 used (6.13) to establish Theorem 6.19 in
otype 2 spa
es. There
is also a version of Prokhorov's ar
sinh inequality noti
ed in [J-S-Z whi
h may be applied similarly to
kSN k IEkSN k .
In the
ontribution [Led6 (see [L-T2), in the
ontext of the law of the iterated logarithm, a Gaussian
randomization argument is used to de
ompose the study of sums of independent random variables into two
parts: one for whi
h the Gaussian (or Radema
her)
on
entration properties
an be applied
onditionally,
and a se
ond one whi
h is enri
hed by an un
onditionality property (monotoni
ity of Radema
her averages).
This kind of de
omposition is one important feature of the isoperimetri
approa
h (
f. Remark 6.18) and
Theorem 1.4 was motivated by this un
onditionality property. Our exposition here follows [Ta11. Theorem
6.19 is in [Ta11 and extends the prior result of [A
5. Re
ently, an alternate proof of Theorem 6.20 has
been given by S. Kwapien and J. Szulga [K-S using very interesting hyper
ontra
tive estimates in the spirit
of what we dis
ussed in the Gaussian and Radema
her
ases (Se
tions 3.2 and 4.4). On the line, Theorem
6.20 was obtained in [J-S-Z where a thorough relation to exponential integrability is given. Theorem 6.21
is taken from [Ta11 and improves upon [Kue5, [A
5. Inequality (6.29) is also in [Ta11. Inequalities (6.30)
and (6.31) extend to the ve
tor valued
ase various ideas of [He7, [He8 (see further Lemma 14.4).
189
7.2
190
yet another instan
e in whi
h the theory is broken into two parts: under a statement in probability (weak
statement), prove almost sure properties; then try to understand the weak statement. It is one of the
main di
ulties of the ve
tor valued setting to
ontrol boundedness in probability or tightness of a sum of
independent random variables. On the line, this is usually done with orthogonality and moment
onditions.
In general spa
es, one has to either put
onditions on the Bana
h spa
e or to use empiri
al pro
ess methods.
Some of these questions will be dis
ussed in the sequel of the work, starting with Chapter 9, espe
ially in the
ontext of the
entral limit theorem whi
h forms the typi
al example of a weak statement. As announ
ed, in
this
hapter and the next one, almost sure limit properties are investigated under assumptions in probability.
In the rst part of this
hapter, we study a general statement for almost sure limit theorems for sums
of independent random variables. It is dire
tly drawn from the isoperimetri
approa
h of Se
tion 6.3 and
already presents some interest for real random variables. We introdu
e it with generalities on strong limit
theorems like symmetrization (randomization) and blo
king arguments. The se
ond paragraph is devoted
to appli
ations to
on
rete examples like the independent and identi
ally distributed (iid) KolmogorovMar
inkiewi
z-Zygmund strong laws of large numbers and the laws of Kolmogorov, Brunk, Prokhorov, et
.
for independent random variables.
Apart of one example where Radon random variables will be useful, we
an adopt the setting of the last
hapter and deal with a Bana
h spa
e B for whi
h there is a
ountable subset D of the unit ball of the
dual spa
e B 0 su
h that kxk = sup jf (x)j for all x 2 B . X is a random variable with values in B if
f 2D
f (X ) is measurable for all f in D . When (Xi )i2IN is a sequen
e of (independent) random variables in B
we set, as usual, Sn = X1 + + Xn ; n 1 .
191
Lemma 7.1. Let (Yn ); (Yn0 ) be independent sequen
es of random variables su
h that the sequen
e
(Yn Yn0 ) is almost surely bounded (resp.
onvergent to 0 ) and (Yn ) is bounded (resp.
onvergent to 0 )
in probability. Then (Yn ) is almost surely bounded (resp.
onvergent to 0 ). More quantitatively, if for
some numbers M and A ,
lim sup kYn Yn0 k M almost surely
n!1
and
lim sup IPfkYn k > Ag < 1;
n!1
then
lim sup kYn k 2M + A almost surely.
n!1
Given (Xi ) , let then (Xi0 ) denote an independent
opy of the sequen
e (Xi ) and set, for ea
h i ,
Xei = Xi Xi0 dening thus independent and symmetri
random variables. Lemma 7.1 tells us that under
n
P
appropriate assumptions in probability on (Sn =an) , it is enough to study ( Xei =an ) , redu
ing to symmeti=1
ri
random variables. From now on, we therefore only des
ribe the various results and the general theorem
we have in mind in the symmetri
al
ase. This avoids several unne
essary
ompli
ations about
enterings,
but, with some
are, it would however be possible to study the general
ase.
As we learned, properties in probability are often equivalent to properties in Lp whi
h are usually more
onvenient. For sums of independent random varibles, this is shown by Homann-Jrgensen's inequalities
(Proposition 6.8) on whi
h relies the following useful lemma.
192
Lemma 7.2. Let (Xi ) be independent and symmetri
random variables with values in B . If the
sequen
e (Sn =an ) is bounded (resp.
onvergent to 0 ) in probability, for any p > 0 and any bounded
sequen
e (
n ) of positive numbers, the sequen
e
(IEk
n
X
i=1
Proof. We only show the
onvergen
e statement. Let (
n ) be bounded by
. By inequality (6.9), for
ea
h n ,
IEk
where
n
X
i=1
n
X
i=1
1 g:
When (Sn =an )
onverges to 0 in probability, using the
ontra
tion prin
iple in the form of Lemma 6.5, for
ea
h " > 0 , t0 (n) is seen to be smaller than "an for all n large enough. Con
erning the maximum term,
by integration by parts and Levy's inequality (2.7),
IE(max kXi
in
Z an
kp I
fkXi k nan g )
where 1 <
C < 1 . This hypothesis is by no mean restri
tive sin
e it
an be shown (
f. [Wi) that for
any xed M > 1 one
an nd a stri
tly in
reasing sequen
e (mn ) of integers su
h that the pre
eding holds
with
= M; C = M 3 . We thus assume throughout this se
tion that (7.1) holds for some subsequen
e (mn )
and dene, for ea
h n , I (n) as the set of integers fmn 1 + 1; : : : ; mn g . The next lemma then des
ribes
the redu
tion to blo
ks in the study of the almost sure behavior of (Sn =an ) .
193
Lemma 7.3. Let (Xi ) be independent and symmetri
random variables. The sequen
e (Sn =an ) is
P
almost surely bounded (resp.
onvergent to 0 ) if and only if the same holds for (
Xi =amn ) .
i2I (n)
Proof. We only show the
onvergen
e statement. By the Borel-Cantelli lemma and the Levy inequality
for symmetri
random variables (2.6), the sequen
e
k
X
( sup k
k2I (n) i=mn
1 +1
Xi =amn k)
onverges almost surely to 0 . Hen
e, for almost all ! and for all " > 0 , there exists `0 su
h that for all
` `0 ,
k
X
sup k
k2I (`) i=m`
Xi (!)k "am` :
< n mj . Then
1 +1
j 1
X
1
X
`=0
Xi (!)k + k
n
X
i=mj 1 +1
Xi (!)k
where we have used (7.1). Sin
e
> 1 and C < 1 the
on
lusion follows.
As a
orollary to Lemmas 7.1 and 7.3 we
an state the following equivalen
e for general independent
variables.
Corollary 7.4. Let (Xi ) be independent random variables with values in B . Then Sn =an ! 0
almost surely if and only if Sn =an ! 0 in probability and Smn =amn ! 0 almost surely, and similarly for
boundedness.
After these preliminaries, we are in a position to des
ribe the general result about the almost sure behavior
of (Sn =an) . Re
all we assume (7.1). By symmetrization and Lemma 7.3, we have to study, thanks to the
Borel-Cantelli lemma,
onvergen
e of series of the type
X
IPfk
i2I (n)
Xi k > "ang
194
for some, or all, " > 0 . The su
ient
onditions we des
ribe for this to hold are obtained by the isoperimetri
inequality for produ
t measures in the form of Theorem 6.17. They are of various types. There is the usual
assumption in probability on the sequen
e (Sn =an ) . If the sequen
e (Sn =an) is almost surely bounded,
this is also the
ase for (max kXi k=an) . This ne
essary
ondition on the norm of the individual summands
in
Xi is unfortunately not powerful enough in general and has to be
omplemented with informations on the
su
essive maximum of the sample (kX1k; : : : kXnk) . On
e this is given, the last su
ient
ondition deals
with weak moments assumptions whi
h are kind of optimal.
The announ
ed result
an now be stated. Re
all K0 is the absolute
onstant of the isoperimetri
inequality
(6.16). If r is an integer, we set XI(r(n) ) = kXj k whenever kXj k is the r -th maximum of the sample
(kXi k)i2I (n) (breaking ties by priority of index, and setting XI(r(n) ) = 0 if r > CardI (n) ).
Theorem 7.5. Let (Xi ) be a sequen
e of independent and symmetri
random variables with values in
B . Assume there exist an integer q 2K0 and a sequen
e (kn ) of integers su
h that the following hold:
X K0 kn
(7:2)
n
X
(7:3)
kn
X
IPf
r=1
< 1;
Mn = IEk
i2I (n)
n = sup (
IE(f 2 (Xi )IfkXi k"amn =kn g ))1=2 :
f 2D i2I (n)
Then, if L = lim sup Mn=amn < 1 , and, for some > 0 ,
n!1
X
(7:4)
we have
(7:5)
IPfk
i2I (n)
where ("; ; q; L) = " + qL + ("L + 2 )1=2 (q log Kq0 )1=2 " + qL + q("L + 2 )1=2 . Conversely, if (7.5) holds
for some (resp. all) > 0 and (7.2) and (7.3) are satised, then L < 1 (resp. L = 0 ) and (7.4) holds for
some (resp. all) > 0 .
195
Proof. There is nothing to prove
on
erning the su
ien
y part of this theorem whi
h readily follows
from the inequality of Theorem 6.17 together with (6.18) applied to the sample (Xi )i2I (n) with k = kn
( q for n large enough), s = "amn and
t = 102("L + 2 )1=2
q
q log
K0
1=2
amn :
(Of
ourse, the numeri
al
onstant 102 is not the best one, just a
onvenient number.) The ne
essity part
on
erning L is
ontained in Lemma 7.2. The ne
essity of (7.4) is based on Kolmogorov's exponential
minoration inequality (Lemma 8.1 below). Assume that for all > 0 (the
ase for some > 0 is similar)
X
IPfk
i2I (n)
Set, for simpli ity, Xin = Xi IfkXi k"amn =kn g ; i 2 I (n) , and hoose, for ea h n , fn in D su h that
n2 2
i2I (n)
IEfn2 (Xin)
( 2n2 ):
By the
ontra
tion prin
iple (se
ond part of Lemma 6.5), we still have that
X
IPf
i2I (n)
Let > 0 . If > 0 is su
h that 2 log(q=K0 ) , by (7.2) it is enough to
he
k (7.4) for the integers n
satisfying a2mn kn n2 . Let us therefore assume this holds. Re
all Lemma 8.1 below and the parameter
and
onstants
; "(
); K (
) therein,
being arbitrary but xed for our purposes. Let > 0 be small
enough in order that (1 +
)2 2 and 2" "(
) so that
(amn )("amn =kn ) "n2 "(
)
i2I (n)
amn K ( )(
i2I (n)
IEfn2 (Xin ):
i2I (n)
IPf
i2I (n)
196
whi
h gives the result sin
e (1 +
)2 2 . This
ompletes the proof of Theorem 7.5.
Theorem 7.5 expresses that, under (7.2) and (7.3), some ne
essary and su
ient
onditions involving
the behavior in probability or expe
tation and weak moments
an be given to des
ribe the almost sure
behavior of (Sn =an ) . Conditions (7.2) and (7.3) look however rather te
hni
al and it would be desirable
to nd if possible simple, or at least easy to be handled, hypotheses on (Xi ) in order these
onditions be
fullled. There
ould be many ways to do this. We suggest a possible one in terms of the probabilities
P
IPf max kXi k > tg (or
IPfkXik > tg ). No ve
tor valued stru
ture is of
ourse involved here.
i2I (n)
i2I (n)
Lemma 7.6. In the notations of Theorem 7.5, assume that, for some u > 0 ,
X
(7:6)
1
IPf max kXi k > tvamn g n exp
i2I (n)
t
(7:7)
where
that
P s
< 1 for some integer s . Then, for ea
h q > K0 , there exists a sequen
e (kn ) of integers su
h
(K0 =q)kn < 1 and satisfying
Pn
IP
(k
n
X
r=1
XI(r(n) )
q
> 2s u + v log
K0
1!
amn < 1:
Proof. The idea is simply that if the largest element of the sample (Xi )i2I (n) is exa
tly estimated by
(7.6), the 2s -th largest one is already small enough so that quite a big number of values after it are under
ontrol. If IPf max kXi k > tvamn g 1=2 , and sin
e XI(2(ns)) > tvamn if and only if Cardfi 2 I (n) ; kXi k >
i2I (n)
tvamn g 2s , we have by Lemmas 2.5 and 2.6
IPfXI(2(ns)) > tvamn g (
i2I (n)
(2IPfimax
kX k > tvamn g)2s
2I (n) i
2s
2n exp 1t
where we have used hypothesis (7.7) in the last inequality (one
an also use the small tri
k on large values
p
shown in the proof of Theorem 6.20). The
hoi
e of t = t(n) = (log 1= n ) 1 bounds the previous
197
probability by (2n )s whi
h, by hypothesis, is the term of a summable series. Dene then kn , for ea
h n ,
to be the integer part of
1
q
1
log p :
2s log
K0
n
P
It is plain that (K0 =q)kn < 1 . Now, we have that
n
kn
X
r=1
(2s)
XI(r(n) ) 2sXI(1)
(n) + kn XI (n)
(k
n
X
r=1
XI(r(n) )
q
> 2s u + v log
K0
1!
amn
2ps
n kn
(or even
<1
0
kn p s < 1 for p0 > p ). This observation is sometimes useful.
When the independent random variables Xi are identi
ally distributed, and the normalizing sequen
e
(an ) is regular enough, the rst
ondition in Lemma 7.6 a
tually implies the se
ond. This is the purpose of
the next lemma. The subsequen
e (mn ) is
hosen to be mn = 2n for all n . The regularity
ondition on
(an )
ontains the
ases of an = n1=p , 0 < p < 1 , an = (2nLLn)1=2 , et
, whi
h are the basi
examples we
have in mind for appli
ations.
Lemma 7.8. Let (an ) be su
h that for some p > 0 and all k n , ap2n 2n k ap2k . Assume (Xi ) is a
sequen
e of independent and identi
ally distributed (like X ) random variables. Then, if for some u > 0 ,
X
198
n < 1 .
Proof. For ea
h n set
n = 2nIPfkX k > ua2n g . There exists a sequen
e (n ) su
h that n
n
P
and n 2n+1 for every n and satisfying
n < 1 . Let 0 < t 1 , and k 1 be su
h that
n
2 k tp 2 k+1 . If k < n ,
2n IPfkX k > tua2n g 2k
n k 2k n k 22k n 4t 2p n :
If k n ,
199
based on Lemma 6.16 and the martingale representation of kSn k IEkSn k . In order however to demonstrate
the universal
hara
ter of the isoperimetri
approa
h, we present the two proofs.
Theorem 7.9. Let 0 < p < 2 . Let (Xi ) be a sequen
e of iid random variables distributed like X with
values in B . Then
Sn
! 0 almost surely
n1=p
if and only if
S
IEkX kp < 1 and 1n=p ! 0 in probability:
n
Proof. Ne
essity is obvious; indeed, if Sn =n1=p ! 0 almost surely, then Xn =n1=p
from whi
h it follows by the Borel-Cantelli lemma and identi
al distribution that
X
! 0 almost surely
whi
h is equivalent to IEkX kp < 1 . Turning to su
ien
y, it is enough, by Lemma 7.1, to prove the
on
lusion for the symmetri
variable X X 0 where X 0 denotes an independent
opy of X . Sin
e X X 0
satises the same
onditions as X , we
an assume without loss of generality X itself to be symmetri
. By
Lemma 7.3, or dire
tly by Levy's inequality (2.6), it su
es to show that for every " > 0
X
st
IPfk
i2I (n)
1 + 1; : : : ; 2n g .
IPf9i 2 I (n) : ui 6= Xi g
whi
h is nite under IEkX kp < 1 . It therefore su
es to show that for every " > 0
X
IPfk
i2I (n)
1
lim
IEk
n!1 2n=p
i2I (n)
ui k = 0:
200
IPfk
i2I (n)
ui k IEk
i2I (n)
By the quadrati
inequality (6.11) and identi
al distribution, the pre
eding sum is less than
X
1
1X 1 X
2 1
IE
k
u
k
IE(kX k2IfkX k2n=p g )
i
2
2
" n 22n=p i2I (n)
" n 2n(2=p 1)
X
"12 IE(kX k2 2n(21=p 1) If2n kX kp g )
n
st
proof.
2 nd proof. We apply the general Theorem 7.5 with Lemmas 7.6 and 7.8 for the
ontrol of the large values.
IEkX kp < 1 is equivalent to say that for every " > 0
X
P
Let " > 0 be xed. By Lemmas 7.6 and 7.8, there is a sequen
e (kn ) of integers su
h that 2 kn < 1
n
and
X
kn
X
IPf
r=1
Apply then Theorem 7.5, with q = 2K0 . As before, we
an take L = 0 by Lemma 7.2. To
he
k
ondition
(7.4) note that
n2 2nIE(kX k2IfkX k2n=pg )
P
(at least for all n large enough). The same
omputation as in the rst proof shows that 2 2n=p n2 < 1
n
under IEkX kp < 1 so that (7.4) will hold for every > 0 . The
on
lusion of Theorem 7.5 then tells us
that, for all > 0 ,
8
9
X
IP
<
X
X
i
:
i2I (n)
201
known and very easy to show that in nite dimensional spa
es, when IEkX kp < 1; 0 < p < 2 (and IEX = 0
for 1 p < 2 ), then
Sn
! 0 in probability:
n1=p
Let us brie
y sket
h the proof for real random variables. For all "; > 0
IPfjSn
( n
X
1
=p
1
=p
j > 2"n g nIPfjX j > n g + IP X
If 0 < p < 1 ,
n
X
IE(Xi IfjXi jn1=pg )
i=1
i IfjXi jn1=p g
> 2"n1=p
nIEjX jp (n1=p )1 p ;
i=1
i=1
whi
h
an be made smaller than "n1=p for all n large enough. Hen
e, in any
ase, we
an
enter and write
that, for n large,
(
)
IP
n
X
Xi IfjXi jn1=p g > 2"n1=p
i=1
( n
X
IP Xi IfjXi jn1=p g IE(Xi IfjXi jn1=p g )
i=1
"2 n12=p
n
X
i=1
> "n1=p
dt2
ntp IPfjX j > tn1=p g p
t
p
p
so that the
on
lusion follows by dominated
onvergen
e sin
e ulim
!1 u IPfjX j > ug = 0 under IEjX j < 1 .
Note indeed that if X is real symmetri
(for example), then Sn =n1=p ! 0 in probability as soon as
lim tp IPfjX j > tg = 0 (whi
h is a
tually ne
essary and su
ient). We shall
ome ba
k to this and
t!1
extensions to the ve
tor valued setting in Chapter 9.
From the pre
eding observation, a nite dimensional approximation argument shows that in arbitrary
separable Bana
h spa
es, when 0 < p 1 , the integrability
ondition IEkX kp < 1 (and X has mean zero
202
for p = 1 ) also implies that Sn =n1=p ! 0 in probability. Indeed, sin
e X is Radon and IEkX kp < 1 , we
an
hoose for every " > 0 a nite valued random variable Y (with mean zero when p = 1 and IEX = 0 )
su
h that IEkX Y kp < " . Letting Tn denote the partial sums asso
iated to independent
opies of Y , we
have, by the triangle inequality and sin
e p 1 ,
IEkSn
Tn kp nIEkX
Y kp "n:
Y being a nite dimensional random variable, Tn=n1=p ! 0 in probability and the
laim follows immediately. Theorem 7.9 therefore states in this
ase (i.e. 0 < p 1) that
Sn
n1=p
(and IEX = 0 for p = 1 ). In parti
ular, we re
over the extension to separable Bana
h spa
e of the
lassi
al
iid SLLN of Kolmogorov.
Corollary 7.10. Let X be a Borel random variable with values in a separable Bana
h spa
e B . Then
Sn
n
! 0 almost surely
C
IEkYi kp
for every nite sequen
e (Yi ) of independent
entered random variables with values in B; C depending on
B and p . Su
h an inequality does not hold in general Bana
h spa
e and a
tually denes the spa
es of
type p dis
ussed later in Chapter 9. Mimi
king the pre
eding argument we
an however already announ
e
that in (separable) spa
es of type p; 1 < p < 2 , Sn =n1=p ! 0 almost surely if and only if IEkX kp < 1
and IEX = 0 . We shall see how this property is a
tually
hara
teristi
of type p spa
es (see Theorem 9.21
below).
203
The following example
ompletes this dis
ussion, showing in parti
ular that Sn =n1=p ; 1 < p < 2 ,
annot
in general tend to 0 even if X has very strong integrability properties. The example is adapted for further
purposes (the
onstru
ted random variable is moreover pregaussian in the sense of Se
tion 9.3).
Example 7.11. In
0 , the separable Bana
h spa
e of all real sequen
es tending to 0 equipped with the
sup-norm, there exists, for all de
reasing sequen
es (n ) of positive numbers tending to 0 , an almost surely
bounded and symmetri
random variable X su
h that (Sn =nn ) does not tend to 0 in probability.
Proof. Let (k )k1 be independent with distribution
1
1
:
IPfk = +1g = IPfk = 1g = (1 IPfk = 0g) =
2
log(k + 1)
En;k =
n
\
fk;i = 1g; An =
i=1
k2n
En;k :
k2n
Y
)=1
IP(En;k
k2n
1
:
(log(k + 1))n
p
n
kSnk max 1 X
1
n
=p :
k
k;i
k2n n
n
i=1
liminf
IP(An ) = 1
n!1
204
like the SLLN of Kolmogorov. This SLLN states that if (Xi ) is a sequen
e of independent mean zero real
random variables su
h that
X IEX 2
i
2 < 1;
i
i
then the SLLN holds, i.e. Sn =n ! 0 almost surely. From this result, together with a trun
ation argument,
Kolmogorov dedu
ed his idd statement. The next theorem points toward a general extension of this result
already of interest on the line. It is
hara
terized by a
areful balan
e between
onditions on the norm of
the Xi 's and assumptions on their weak moments. The subsequent
orollary is perhaps a more pra
ti
al
result. We take again our framework of non ne
essarily Radon random variables.
Theorem 7.12. Let (Xi ) be a sequen
e of independent random variables with values in B . Assume
that
(7:8)
Xi
i
! 0 almost surely
Sn
n
! 0 in probability:
and
(7:9)
1
IPf max kXi k > tv2n g n exp
i2I (n)
t
(7:10)
where
(7:11)
P s
1 + 1; : : : ; 2n g ).
Sn
n
! 0 almost surely:
Proof. We simply apply Theorem 7.5 and Lemma 7.6. If we dene Yi = Xi IfkXi kig , by (7.8), almost
surely Yi = Xi for every i large enough so that it
learly su
es to prove the result for the sequen
e (Yi )
instead of (Xi ) . We therefore assume that kXi k i almost surely. If (Xi0 ) is an independent
opy of
the sequen
e (Xi ) , the sequen
e of symmetri
variables (Xi Xi0) will satisfy the same kind of hypotheses
205
as (Xi ) . By (7.9) and Lemma 7.1, we
an therefore redu
e to the
ase of a symmetri
sequen
e (Xi ) . In
Theorem 7.5, whatever the
hoi
e of (kn ) will be, we
an take L = 0 thanks to (7.9) (Lemma 7.2). Sin
e
Xi =i ! 0 almost surely, for every u > 0 ,
X
Summarizing the
on
lusions of Lemma 7.6 and Theorem 7.5, for all u; > 0 and all q 2K0 , and for s
assumed to be an integer,
8
<
X
IP
Xi
:
n
i2I (n)
"
q
> 102 2s u + v log
K0
8
<
X
IP
Xi
:
n
i2I (n)
1!
9
=
+ q 2n < 1:
;
9
=
Corollary 7.13. Under the hypotheses of Theorem 7.10 but with (7.10) repla
ed by
X
(7:100)
0
1s
1
IEkXi kp A < 1
2np i2I (n)
X
i2I (n)
1 1 X
IEkXi kp
(tv)p 2np i2I (n)
X
C (p) exp 1t v1p 21np
IEkXi kp
i2I (n)
from whi
h (7.10) of Theorem 7.12 follows. Note that the sums
repla
ed, if one wishes it, by expressions of the type
sup tp
t>0
i2I (n)
i2I (n)
In Theorem 7.12 (and Corollary 7.13),
onditions (7.8) and (7.9) are of
ourse ne
essary, (7.9) des
ribing
the usual assumption in probability on the sequen
e (Sn ) . For real
entered random variables, this
ondition
206
(7.9) is automati
ally satised under (7.11) and the real statement su
h obtained is sharp. Note also that,
under (7.8), it is legitimate (and we used it in the proof of Theorem 7.12) to assume that kXi k1 i for
all i . This is sometimes
onvenient when various statements have to be
ompared; for example, (7.10) (via
(7.10 0 )) holds then under the stronger
ondition
IEkXi kp
<1
ip
i
whi
h is in this
ase seen to be weaker and weaker as p in
reases. Then this
ondition implies (7.8) and
(7.11) provided p 2 and we have therefore the following
orollary. (Sin
e no weak moments are involved,
it might be obtained simpler from Lemma 6.16, see [K-Z.)
Corollary 7.14. Let (Xi ) be a sequen
e of independent random variables with values in B . If for some
1p2
X IEkXi kp
< 1;
ip
i
the SLLN holds, i.e. Sn =n
Sn =n ! 0 in probability.
! 0 almost surely, if and only if the weak law of large numbers holds, i.e.
Along the same line of ideas, Theorem 7.12 also
ontains extensions of Brunk's SLLN. Brunk's theorem
in the real
ase states that if (Xi ) are independent with mean zero satisfying
IEjXi jp
p=2+1 < 1 for some p 2;
i i
then the SLLN holds. To in
lude this result, simply note that for p 2
0
12=p
X
1 X
1
IEf 2 (Xi ) n(p=2+1)
IEjf (Xi )jp A
2
n
2 i2I (n)
2
i2I (n)
207
where LLt = L(Lt) and Lt = max(1; log t); t 0 . This boundedness assumption provides the exa
t bound
on large values and a
tually ts (7.10) of Theorem 7.12. Indeed, for ea
h n and t , 0 < t 1 ,
IPf max kXi
i2I (n)
k > 2t2ng
n exp
1
t
with n = exp( 2LL2n) whi
h is summable. We thus obtain as a last
orollary the following version of
Prokhorov's SLLN. Note that under the pre
eding boundedness assumption on the Xi 's,
ondition (7.11)
be
omes ne
essary; the proof follows the ne
essity portion in Theorem 7.5 and we therefore do not detail it.
Corollary 7.15. Let (Xi ) be a sequen
e of independent random variables with values in B . Assume
that, for every i ,
kXi k1 i=LLi:
Then the SLLN is satised if and only if
Sn
n
and
! 0 in probability
1 + 1; : : : ; 2n g ).
208
example [HJ5, [Ta3, and, in the
ontext of empiri
al pro
esses, [V-C1, [V-C2, [G-Z2. Example 7.11 is
taken from [C-T1.
Theorem 7.12
omes from [L-T5. For further developments,
f. [Al2. The real valued statement, at least
in the form of Corollary 7.13,
an be obtained as a
onsequen
e of the Fuk-Nagaev inequality (
f. [F-N,
[Yu2). Let us mention that a suitable ve
tor valued version of the SLLN of S. V. Nagaev [Na1, [Na2
seems still to be found;
f. [Al3 in this regard. Corollary 7.14 is due to J. Kuelbs and J. Zinn [K-Z whi
h
extended results of A. Be
k [Be and J. Homann-Jrgensen and G. Pisier [HJ-P in spe
ial
lasses of spa
es
(
f. Chapter 9). The work of J. Kuelbs and J. Zinn was important in realizing that under an assumption in
probability no
onditions have to be imposed on the spa
es. In a spe
ial
lass of Bana
h spa
es however, see
also [He5. Brunk's SLLN appeared in [Br and was rst investigated in Bana
h spa
es in [Wo3. Extensions
of Prokhorov's SLLN [Pro2 was undertaken in [K-Z, [He6, [Al1 (where in parti
ular ne
essity was shown)
and the nal result obtained in [L-T4 (see also [L-T5). Appli
ations of the isoperimetri
method to strong
limit theorems for trimmed sums of iid random variables are further des
ribed in [L-T5.
209
210
n 1 . Re
all also that LL denotes the iterated logarithm fun
tion, that is, LLt = L(Lt) and Lt =
max(1; log t) , t 0 .
8.1. The law of the iterated logarithm of Kolmogorov
Let (Xi )i2IN be a sequen
e of independent real mean zero random variables su
h that IEXi2 < 1 for all
n
P
i . Set, for ea
h n , sn = ( IEXi2 )1=2 .
i=1
Assume the sequen
e (sn ) in
reases to innity. Assume further that for some sequen
e (i ) of positive
number tending to 0 ,
for every i :
S
lim sup 2 n 2 1=2 = 1 :
(2
s
LLs
n!1
n
n)
211
The proof of the upper bound in (8.1) is based on the exponential inequality of Lemma 1.6 applied to the
sums Sn of independent mean zero random variables. The lower bound, somewhat more
ompli
ated, relies
on Kolmogorov's
onverse exponential inequality des
ribed in the following lemma. Its proof (
f. [Sto) is a
pre
ise ampli
ation of the argument leading to (4.2).
Lemma 8.1. Let (Xi ) be a nite sequen
e of independent mean zero real random variables su
h that
kXi k1 a for all i . Then, for every
> 0 , there exist positive numbers K (
) (large enough) and "(
)
(small enough) depending on
only su
h that for every t satisfying t K (
)b and ta "(
)b2 where
P
b = ( IEXi2 )1=2 ,
i
IP
Xi > t
The next theorem presents the extension to Bana
h spa
e valued random variables of the LIL of Kolmogorov. This extension involves a
areful balan
e between
onditions on the norms of the random variables
and weak moment assumptions. Sin
e tightness properties are unessential in this rst se
tion, we des
ribe
the result in our setting of a Bana
h spa
e B for whi
h there exists a
ountable subset D of the unit ball
of the dual spa
e su
h that kxk = sup jf (x)j for all x in B . X is a random variable with values in B if
f 2D
f (X ) is measurable for every f in D .
Theorem 8.2. Let B be as before and let (Xi )i2IN be a sequen
e of independent random variables
with values in B su
h that IEf (Xi ) = 0 and IEf 2 (Xi ) < 1 for ea
h i and f in D . Set, for ea
h n ,
n
P
sn = sup ( IEf 2 (Xi ))1=2 , assumed to in
rease to innity. Assume further that for some sequen
e (i ) of
f 2D i=1
positive numbers tending to 0 and all i
(8:2)
Then, if the sequen
e (Sn =(2s2nLLs2n )1=2 )
onverges to 0 in probability, with probability one,
kS k
(8:3)
lim sup 2 n 2 1=2 = 1 :
n!1 (2sn LLsn )
This type of statement
learly shows in what dire
tion the extension of the real result has to be understood.
The proof of Theorem 8.2
ould seem to be somewhat involved. Let us mention however, and this will be
a
omplished in a rst step, that the proof that the lim sup in (8.3) is nite (less than some numeri
al
onstant) is rather easy on the basis of the isoperimetri
approa
h of Se
tion 6.3. The fa
t that it is a
tually
less than 1 requires then some te
hni
alities. The lower bound reprodu
es the real
ase.
212
Proof. To simplify the notations, let us set, for ea
h n , un = (2LLs2n)1=2 . As announ
ed, we rst
show that
kS k
lim sup n
n!1 sn un
(8:4)
M
almost surely for some numeri
al
onstant M . To this aim, repla
ing (Xi ) by (Xi
an independent
opy of the sequen
e (Xi ) , and sin
e (by
entering,
f. (2.5))
n
X
sn sup
IEf 2 (Xi
f 2D i=1
Xi0 )
!1=2
2sn ;
we
an assume by Lemma 7.1 that we deal with symmetri
variables. For ea
h n , dene mn as the smallest
integer m su
h that sm > 2n . It is easily seen that
sn+1
sn
1;
smn 2n ;
smn+1
smn
2:
IPf
Using the pre
eding and Levy's inequality (2.6) (in
reasing M ), it su
es to prove that
X
We make use of the isoperimetri
inequality of Theorem 6.17 together with (6.18) whi
h we apply to the
sample of independent and symmetri
random variables (Xi )imn for ea
h n . Assuming for simpli
ity the
sequen
e (i ) be bounded by 1 , we take there q = 2K0 , k = [u2mn + 1 , s = t = 20pq smn umn . For these
hoi
es, by (8.2),
k
X
kXi k (u2mn + 1) usmn s :
mn
i=1
Sin
e (sn =snun )
onverges to 0 in probability, by Lemma 7.2, IEkSnk=sn un ! 0 . Hen
e, at least for n
large enough, m2 in Theorem 6.17
an be bounded, using (6.18), by 2s2mn . It thus follows from (6.17) that,
for large n ,
p
2
IPfkSmn k > (60 2K0 + 1)smn umn g 2 umn + 2 exp( u2mn )
213
n
X
1
IE
k
S
k
=
lim
IE
"
X
lim
=0
n
i
i
n!1
n!1 sn un
i=1
(8:5)
smn+1
smn
smn n ;
:
To establish the
laim it will be su
ient to show that for every " > 0 and > 1 ,
X
(8:6)
Indeed, in order that lim sup kSnk=snun 1 almost surely, it su
es, by the Borel-Cantelli lemma, that for
n!1
every > 0 there is an in
reasing sequen
e (mn ) of integers su
h that
X
IPf
kSmk
max
mn 1 <mmn sm um
A simple use of Ottaviani's inequality (Lemma 6.2) together with (8.5) shows that, for all n large enough,
kSm k
max
mn 1 <mmn sm um
IPf
Now, for > 0 , there exist " > 0 and > 1 su
h that if mn is dened from as before, for all large n ,
(1 + )smn 1 umn
(1 + ")smn umn :
214
dn2 (f; g) =
mn
1 X
s2mn i=1
!1=2
g)2 (Xi )
IE(f
Re
all N (D; dn2 ; ") denote the minimal number of elements g in D su
h that for every f in D there exists
su
h a g with dn2 (f; g) < " . For every n , dene
mn
X
1
n =
IE
"i Xi
smn umn
i=1
D su h that for
IP
mn
1 X
s2mn i=1
"2
i) <
2
h2 (X
g, f =
6 g in Dn , and n large,
(
mn
1 X
IP s2
(
mn i=1
h2 (X
"2
i )) >
2
) + IEh2 (X
1
CardDn exp( u2mn ) < :
4
mn
1 X
IP 8f 6= g in Dn ; 2
(f
smn i=1
i)
g)2 (X
"2
2
34 :
exp( u2mn ) :
215
We would like to apply,
onditionally on the Xi 's, the Sudakov type minoration inequality put forward in
Proposition 4.13. To this aim, note rst that by (8.5), with high probability, for example bigger than 3=4 ,
mn
X
IE"
"i Xi
smn
i=1
2 u
mn
"K max
imn i
! 1
mn
kXik1 jmax
mn j "2 K IE
X
"i Xi
"
s
u
s
mn
mn
mn
i=1
where K is the numeri
al
onstant of Proposition 4.13. This proposition then shows that, with probability
bigger than 1=2 ,
p
mn
X
" u
1
1 "
IE"
"i Xi
p (log CardDn )1=2 p n mn :
smn
i=1
K 2
2K
Therefore, integrating, innitely often in n , n
n ! 0 . The proof of Lemma 8.3 is
omplete.
p
"pn =2 2K whi
h leads to a
ontradi
tion sin
e
We an now establish (8.6). A ording to Lemma 8.3, we denote, for ea h n (large enough) and f in
D , by gn (f ) an element of D su
h that dn2 (f; gn (f )) < " in su
h a way that the set Dn of all gn (f ) has
a
ardinality less than exp(n u2mn ) . We write that
mn
X
X
i
i=1
where Dn0 = ff
mn
mn
X
X
sup g(Xi ) + sup h(Xi )
h2Dn0
g2Dn
i=1
i=1
h2Dn0
mn
X
i=1
!1=2
IEh2 (X
i)
"s2mn :
It is then an easy exer
ise to see how the proof of the rst part
an be reprodu
ed (and adapted to the
ase
of a norm of the type sup jh()j , thus depending on n ) to yield that for some numeri
al
onstant M ,
h2Dn0
X
mn
X
sup h(Xi )
h2Dn0
IP
i=1
216
mn
X
sup g(Xi )
g2Dn
IP
i=1
But now, as in the real
ase, we have by Lemma 1.6 that for all n large enough (in order to e
iently use
(8.2) and i ! 0 , rst negle
t the rst terms of the summation),
mn
X
sup g(Xi )
g2Dn
IP
i=1
hen
e the result sin
e CardDn exp(2n LLs2mn ) , n ! 0 and smn n ( > 1 ).
In the last part of this proof, we show that
kS k
lim sup n
n!1 sn un
1
almost surely, repordu
ing simply (more or less) the real
ase based on the exponential minoration inequality
of Lemma 8.1. Re
all that for > 1 we let mn = inf fm; sm > n g . By the zero-one law (
f. [Sto), the
lim sup we study is almost surely non-random; by the upper bound we just established, we have that (for
example)
IPfkSmn k 2smn umn for all n large enoughg = 1 :
Suppose it
an be proved that for all " > 0 and all > 1 large enough
8
<
X
IP
Xi
:
i2I (n)
0
(8:7)
LL sup
f 2D i2I (n)
11=2
IEf 2 (Xi )A
kSmn k
X
Xi
i2I (n)
0
1+1
9
>
=
i.o. in n = 1
>
;
kSmn k
(1 ")2 sup
f 2D i2I (n)
11=2
IEf 2 (Xi )A
IEf 2 (Xi )A LL sup
f 2D i2I (n)
2smn 1 umn
1
217
")2
(1
1
2
1=2
2
s u :
mn mn
For large enough and " > 0 arbitrarily small, this will therefore show that the lim sup is
surely, hen
e the
on
lusion. Let us prove (8.7) then. For ea
h n , let fn in D be su
h that
X
1 almost
8
>
< X
>
:i2I (n)
i2I (n)
111=2
i2I (n)
9
>
=
i.o. in n :
>
;
We
an now apply Lemma 8.1 to the independent
entered real random variables fn(Xi ) , i 2 I (n) . Taking
there
= "=1 " , for all n large enough,
8
>
< X
111=2 9
>
=
X
X
2
2
A
A
IP
fn (Xi ) > (1 ") 2
IEfn (Xi )LL
IEfn (Xi )
>
>
:i2I (n)
;
i2I (n)
i2I (n)
2
0
13
X
IEfn2 (Xi )A5
exp 4 (1 ")LL
0
i2I (n)
11=2
smn sup
IEf 2 (Xi )A
f 2D i2I (n)
0
1 1 "
i2I (n)
+ smn
11=2
IEfn2 (Xi )A
+ smn
and that the ratio smn 1 =smn is small for large > 1 . This observation yields then also the
on
lusion
with the Borel-Cantelli lemma (independent
ase). Theorem 8.2 has been established.
218
Having des
ribed the fundamental LIL of Kolmogorov for sums of independent random variables and its
extension to the ve
tor value
ase, we now turn to the independent and identi
ally distributed (iid) LIL and
the results of Hartman-Wintner and Strassen. Let X be a random variable, and in the rest of the
hapter
(Xi )i2IN will always denote a sequen
e of independent
opies of X . The basi
normalization sequen
e is
here
an = (2nLLn)1=2
whi
h is seen to
orrespond to the sequen
e in (8.1) when IEX 2 = 1 . The LIL of Hartman and Wintner
states that, if X is a real random variable su
h that IEX = 0 and IEX 2 = 2 < 1 , the sequen
e (an )
stabilizes the partial sums Sn in su
h a way that, with probability one,
Sn
S
inf
=:
lim sup n = lim
n!1 an
n!1 an
(8:8)
Conversely, if the sequen
e (Sn =an ) is almost surely bounded, then IEX 2 < 1 (and IEX = 0 , trivially
by the SLLN). P. Hartman and W. Wintner dedu
ed their result from Kolmogorov's LIL using a (
lever)
trun
ation argument. When IEX 2 < 1 , one
an nd a sequen
e (i ) of positive numbers tending to 0
su
h that
1
IPfjX j > i (i=LLi)1=2g < 1 :
LLi
i
(8:9)
Set then, for ea
h i ,
and Zi = Xi Yi . Sin
e the Yi 's are bounded at a level
orresponding to the appli
ation of Kolmogorov's
LIL, (8.1) already gives that
n
1 X
lim sup
Yi =
n!1 an i=1
almost surely. The proof then
onsists in showing that the
ontribution of the Zi 's is negligible. To this
aim, simply observe that by Cau
hy-S
hwarz's inequality,
n
n
1 X
1X
Xi IfjXi j>i (i=LLi)1=2 g
X2
an i=1
n i=1 i
!1=2
n
1 X
I
1=2
2LLn i=1 fjXi j>i (i=LLi) g
!1=2
219
The rst root on the right of this inequality denes an almost surely bounded (
onvergent!) sequen
e by
the SLLN and IEX 2 < 1 ; the se
ond one
onverges to 0 by Krone
ker's lemma (
f. e.g. [Sto) and (8.9).
Sin
e the
enterings in (Zi ) are taken into a
ount similarly, it follows that
n
1 X
Zi = 0 almost surely
lim
n!1 an
i=1
n
1 X
2 lim sup Xi IfjXi j
g 2M
n!1 an i=1
almost surely. By the LIL of Hartman-Wintner (8.8), sin
e IE(X 2 IfjX j
g ) < 1 and X is symmetri
, it
follows that
IE(X 2 IfjX j
g ) M 2 :
Letting
tend to innity implies indeed that IEX 2 < 1 .
While P. Hartman and A. Wintner used the rather deep result of A. N. Kolmogorov, the
ase of iid random
variables should a priori appear as easier. Sin
e then, simpler proofs of (8.8), whi
h even produ
e more, have
been obtained. As an illustration, we would like to intuitively des
ribe in a dire
t way why the lim sup in
(8.8) should be nite when IEX = 0 and IEX 2 < 1 . The idea is based on randomization by Radema
her
random variables, a tool extensively used throughout this book. It explains rather easily the
ommon steps
and features of LIL's results like for example the fundamental use of exponential bounds of Gaussian type
(Lemma 1.6 in Kolmogorov's LIL) and the study of (Sn ) through blo
ks of exponential size. It su
es for
this (modest) purpose to treat the
ase of a symmetri
random variable so that we may assume as usual that
220
(Xi ) has the same distribution as ("i Xi ) where ("i ) is a Radema
her sequen
e independent of (Xi ) . By
Levy's inequality (2.6) for sums of independent symmetri
random variables and the Borel-Cantelli lemma,
it is enough to nd a nite number M su
h that
X
( n
2
X
IP "i Xi
i=1
Sin
e IEX 2 < 1 , X 2 satises the law of large numbers and hen
e, by the Borel-Cantelli lemma again
(independent
ase),
(
)
X
IP
2n
X
i=1
i=1
> Ma2n
IP
( n
2
X
i=1
Xi2
> 2n+1IEX 2
( 2n
X
+ IP "i Xi >
i=1
Ma2n ;
2n
X
i=1
The
lassi
al subgaussian estimate (4.1) applies
onditionally on the sequen
e (Xi ) to show that the se
ond
probability on the right of the pre
eding inequality is less than
Z
P
n
i=1
Xi 2n+1 IEX 2
2
M 2 2nLL2n=
2 exp
2n
X
i=1
Xi2
n
1 X
lim sup Xi
n!1 an i=1
and
n
1 X
lim sup gi Xi
n!1 an i=1
are equivalent. Independen e and the stability properties of (gi ) expressed for example by
jgnj = 1
lim sup
(2
log
n)1=2
n!1
almost surely
221
Sn
; [ ; = 0
lim
d
n!1
an
and
(8:11)
S
C n = [ ;
an
almost surely, where d(x; A) = inf fjx yj ; y 2 Ag is the distan
e of the point x to the set A and where
C (xn ) denotes the set of limit points of the sequen
e (xn ) , i.e. C (xn ) = fx 2 IR ; lim
inf jx xj = 0g .
n!1 n
(8.10) and C (Sn =an ) [ ; follow rather easily from the LIL of Hartman-Wintner. The full property
(8.11) is more deli
ate and various arguments
an be used in order to establish it; we will obtain (8.10) and
(8.11) in the more general
ontext of Bana
h spa
e valued random variables below. Strassen's approa
h used
Brownian motion and the Skorohod embedding of a sequen
e of iid random variables in Brownian paths.
Our obje
tive in the sequel of this
hapter will now be to investigate the iid LIL for ve
tor valued random
variables. We deal until the end of the
hapter with Radon variables and even, for more
onvenien
e, with
separable Bana
h spa
es, although various
on
lusions still hold in our usual more general setting; these
will be indi
ated in remarks. For Radon random variables, the pi
ture is probably the most
omplete and
satisfa
tory and we adopt this framework in order not to obs
ure the main s
heme.
Let therefore B denote a separable Bana
h spa
e. We start by des
ribing what
an be understood by a LIL
for independent and identi
ally distributed Bana
h spa
e valued random variables. Let X be a Borel random
variable with values in B , (Xi ) a sequen
e of independent
opies of X . As usual, Sn = X1 + + Xn ,
222
n 1 . A
ording to the LIL of Hartman-Wintner, we
an say that X satises the LIL with respe
t to the
lassi
al normalizing sequen
e an = (2nLLn)1=2 if the non-random limit (zero-one law)
(8:12)
kS k
(X ) = lim sup n
n!1 an
is nite. (If X is degenerate, (X ) > 0 by the s
alar
ase.) We will a
tually dene this property as the
bounded LIL. Indeed, we might as well say that X satises the LIL whenever the sequen
e (Sn =an ) is
almost surely relatively
ompa
t in B sin
e this means the same in nite dimensional spa
es. We will say
then that X satises the
ompa
t LIL and it will turn out that in innite dimension, bounded and
ompa
t
LIL are not equivalent. A
tually, Strassen's formulation (8.10) and (8.11) even suggests a third denition:
X satises the LIL if there is a
ompa
t
onvex symmetri
set K in B su
h that, almost surely,
(8:13)
S
lim d n ; K = 0
n!1
an
and
(8:14)
Sn
=K
an
where d(x; K ) = inf fkx yk ; y 2 K g and C (Sn =an) denotes the set of
luster points of the sequen
e
(Sn =an ) . It is a nontrivial result that the
ompa
t LIL and this denition a
tually
oin
ide. Before des
ribing
pre
isely this result, we would like to study what the limit set K should be. It will turn out to be the unit
ball of the so-
alled reprodu
ing kernel Hilbert spa
e asso
iated to the
ovarian
e stru
ture of X . We sket
h
its
onstru
tion and properties, some of whi
h go ba
k to the Gaussian setting as des
ribed in Chapter 3.
223
A . Note rst that sin
e X denes a Radon random variable, A a
tually maps L2 into B B 00 (
f.
Se
tion 2.1). Indeed, there exists a sequen
e (Kn ) of
ompa
t sets in B su
h that IP[X 62 Kn g ! 0 . If
is in L2 , A (IfX 2Kn g ) belongs to B sin
e it
an be identied with the expe
tation (in the strong sense)
IE(XI[X 2Kn g ) . But IE(XIfX 2Kn g )
onverges to IE(X ) (weak integral) in B 00 sin
e
sup f (IE(XIfX 62Kn g )) (X )(IE( 2 IfX 62Kng ))1=2 ! 0 :
kf k1
Hen
e A = IE(X ) belongs to B .
On the image A (L2 ) B of L2 by A ,
onsider the s
alar produ
t
; 2 L2 ,
Z
hA ; A iX = h; iL2 = dIP :
Denote by H = HX the (separable) Hilbert spa
e A (L2 ) equipped with h; iX . H is
alled the reprodu
ing kernel Hilbert spa
e asso
iated to the
ovarian
e stru
ture of X . The word "reprodu
ing" stems from
the fa
t that H reprodu
es the
ovarian
e of X in the sense that for f; g in B 0 , if x = A (g(X )) 2 H ,
f (x) = IEf (X )g(X ) . In parti
ular, if X and Y are random variables with the same
ovarian
e stru
ture,
i.e. IEf (X )g(X ) = IEf (Y )g(Y ) for all f; g in B 0 , this reprodu
ing property implies that HX = HY . Note
that sin
e A(B 0 )? = KerA , we also have that H is the
ompletion, with respe
t to the s
alar produ
t
h; iX , of the image of B 0 by the
omposition S = A A : B ! B 0 . Observe further that for any x in H ,
(8:16)
While K is weakly
ompa
t, it is not always
ompa
t. The next easy lemma des
ribes for further
referen
es equivalent instan
es for K to be
ompa
t.
224
2 B 0 ; kf k 1g is uniformly integrable.
Proof. (i) and (ii) are
learly equivalent and imply (iii). To see that (iv) holds under (iii), it su
es
to show that kfn(X )k2 ! 0 when fn ! 0 weakly in B 0 . By the uniform boundedness prin
iple, we may
assume that kfnk 1 for all n . The
ompa
tness of S ensures that we
an extra
t from the sequen
e
(xn ) dened by xn = IE(Xfn(X )) a subsequen
e, still denoted with n ,
onvergent to some x . But then
IEfn2 (X ) = fn (xn ) kxn
xk + jfn (x)j ! 0 :
Assume (v) is not satised. Then, there exist " > 0 and a sequen
e (
n ) of positive numbers in
reasing to
innity su
h that for every n
Z
sup
f 2 (X ) dIP sup
f 2 (X )dIP > " :
kf k1 fkX k>
ng
kf k1 fjf (X )j>
ng
Hen
e, for every n , one
an nd fn , kfnk 1 , su
h that
Z
fkX k> ng
Extra
t then from the sequen
e (fn ) in the unit ball of B 0 a weakly
onvergent subsequen
e, still denoted
(fn ) ,
onvergent to some f . By (iv), fn (X ) ! f (X ) in L2 and this
learly rea
hes a
ontradi
tion sin
e
Z
lim
f 2(X )dIP = 0 :
n!1 fkX k>
n g
Finally, (v) easily implies (ii); indeed, if (fn ) is a sequen
e in the unit ball of B 0 , for some subsequen
e and
some f , fn ! f weakly, so fn (X ) ! f (X ) almost surely and hen
e in L2 by uniform integrability; A is
therefore
ompa
t. The proof of Lemma 8.4 is
omplete.
Note that when IEkX k2 < 1 (in
ase of Gaussian variables for example), K is
ompa
t.
225
As simple examples, if B = IRN and the
ovarian
e matrix of X is the identity matrix, K is simply
the Eu
lidean unit ball of IRN . When X follows the Wiener distribution on C [0; 1 , H
an be identied
with the so-
alled Cameron-Martin Hilbert spa
e of the absolutely
ontinuous elements x in C [0; 1 su
h
R
that x(0) = 0 and 01 x0 (t)2 dt < 1 , and K is known in this
ase as Strassen's limit set.
Having des
ribed the natural limit set in (8.13) and (8.14), we now present the theorem, due to J. Kuelbs,
onne
ting the denition of the
ompa
t LIL with (8.13) and (8.14).
Theorem 8.5. Let X be a Borel random variable with values in a separable Bana
h spa
e B . If the
sequen
e (Sn =an ) is almost surely relatively
ompa
t in B , then, with probability one,
Sn
; K =0
lim
d
n!1
an
(and)
Sn
=K
an
where K = KX is the unit ball of the reprodu
ing kernel Hilbert spa
e asso
iated to the
ovarian
e stru
ture
of X and K is
ompa
t. Conversely, if the pre
eding holds for some
ompa
t set K , then X satises the
ompa
t LIL and K = KX .
A
ording to this theorem, when we speak of
ompa
t LIL we mean one of the equivalent properties of
this statement.
Proof. As we have seen, when X satises the bounded LIL, whi
h is always the
ase under one of
the properties of Theorem 8.5, K = KX is well dened. Let us rst show that, with probability one,
C (Sn =an) K . As was observed in the denition of K , there is a sequen
e (fk ) in B 0 su
h that a point
x belongs to K as soon as
fk (x) kfk (X )k2
(8:17)
jf (S (!))j
lim sup k n
an
n!1
kfk (X )k2 :
S
lim d n ; K = 0
n!1
an
226
with probability one. Indeed, if this is not the
ase, one
an nd, by relative
ompa
tness of (Sn =an ) , a
subsequen
e of (Sn =an )
onverging to some point exterior to K and this is impossible as we have just seen.
We are thus left with the proof that C (Sn =an) = K . To this aim, it su
es, by density, to show that
any x in K belongs almost surely to C (Sn =an) .
Let us assume rst that B is nite dimensional. Sin
e the
ovarian
e matrix of X is symmetri
positive
denite, it may be diagonalized in some orthonormal basis. We are therefore redu
ed to the
ase where B
is Hilbertian and K is its unit ball. Let then x be in B with jxj = 1 and let " > 0 . By (8.18), for n
large enough, jSn =an j2 1 + " . By Hartman-Wintner's LIL (8.8), along a subsequen
e,
2
S 2
x = n + jxj2
an
S
2h n ; xi
an
with probability one. By (8.8), it follows that kfk (X )k2 ! 0 whi
h gives (iv). By Lemma 8.4, K is therefore
ompa
t, or equivalently, ff 2 (X ) ; f 2 B 0 ; kf k 1g is uniformly integrable. There exists therefore (Lemma
of La Valle-Poussin,
f. e.g. [Me) a positive
onvex fun
tion on IR+ with tlim
!1 (t)=t = 1 su
h that
227
Sn
lim
inf
n!1
an
SnN
x
lim
inf
n!1
an
N
S
lim
inf
n
n!1
an
xN
+ (X
xN
+ 2(X
X N ) +
x xN
XN)
where SnN are the partial sums asso
iated to X N . By the previous step in nite dimension, for ea
h N ,
SnN
lim
inf
n!1
an
xN = 0
The pre
eding dis
ussion and Theorem 8.5 present the denitions of the LIL of Hartman-Wintner-Strassen
for Bana
h spa
e valued random variables. We now would like to turn to the
ru
ial question of knowning
when a random variable X with values in a Bana
h spa
e B satises the bounded or
ompa
t LIL in terms
of minimal
onditions, depending if possible only on the distribution of X .
If B is the line or, more generally, a nite dimensional spa
e, X satises the bounded or
ompa
t LIL
if and only if IEX = 0 and IEkX k2 < 1 . However, already in Hilbert spa
e, while these
onditions are
su
ient, the integrability IEkX k2 < 1 is no longer ne
essary. It happens
onversely that in some spa
es,
bounded mean zero random variables do not satisfy the LIL. Further, examples disprove the equivalen
e
between bounded and
ompa
t LIL in the innite dimensional setting. All these examples will a
tually
be
ome
lear on the nal
hara
terization. They however pointed out histori
ally the di
ulty in nding
what this
hara
terization should be. The issue is based in parti
ular on a
areful examination of the
ne
essary
onditions for a Bana
h spa
e valued random variable to satisfy the LIL whi
h we now would like
to des
ribe.
Assume rst that X satises the bounded LIL in B . Then
learly, for ea
h f in B 0 , f (X ) satises the
s
alar LIL and thus IEf (X ) = 0 and IEf 2 (X ) < 1 . These weak integrability
onditions are
omplemented
228
by a ne
essary integrability property on the norm; indeed, it is ne
essary that the sequen
e (Xn =an) is
bounded almost surely and thus, by independen
e, the Borel-Cantelli lemma and identi
al distribution, for
some nite M ,
X
IPfkX k > Man g < 1 :
n
229
Theorem 8.6. Let X be a Borel random variable with values in a separable Bana
h spa
e B . In order
that X satisfy the bounded LIL, it is ne
essary and su
ient that the following
onditions are fullled:
(i) IE(kX k2=LLkX k) < 1 ;
(ii) for ea
h f in B 0 , IEf (X ) = 0 and IEf 2 (X ) < 1 ;
(iii) the sequen
e (Sn =an ) is bounded in probability.
In order that X satisfy the
ompa
t LIL, it is ne
essary and su
ient that (i) holds and that (ii) and (iii)
are repla
ed by
2 B 0 ; kf k 1g is uniformly integrable;
(ii')
(iii')
Sn =an ! 0 in probability.
Proof. Ne
essity has been dis
ussed above. The proof of the su
ien
y for the bounded LIL is the main
point of the whole theorem. We will show indeed that for some numeri
al
onstant M , for all symmetri
random variables X satisfying (i), we have
(8:19)
kS k
(X ) = lim sup n
n!1 an
M ((X ) + L(X ))
n
1
X
L(X ) = lim sup IE
Xi IfkXi kan g
:
n!1 an
i=1
Sin
e (X ) < 1 under (ii) ((8.15)) and sin
e (iii) implies that L(X ) < 1 by Lemma 7.2, this inequality
(8.19)
ontains the bounded LIL, at least for symmetri
random variables but a
tually also in general by
symmetrization and Lemma 7.1. From (8.19) also follows the
ompa
t version. Indeed, by Lemma 7.2,
L(X )
an be
hosen to be 0 by (iii') and, by symmetrization and Lemma 7.1, the inequality also holds in
this form (with thus L(X ) = 0 ) for non-ne
essarily symmetri
random variables satisfying (i) and (iii') .
This estimate applied to quotient norms by nite dimensional subspa
es then yields the
on
lusion. More
pre
isely, if F denotes a nite dimensional subspa
e of B and T = TF the quotient map B ! B=F , we get
from (8.19) that (T (X )) M(T (X )) . Under (ii') , (T (X ))
an be made arbitrarily small with large
enough F (show for example, as in the proof of Theorem 8.5, that (X X N ) ! 0 where X N = IEAN X ).
The sequen
e (Sn =an) then appears as being arbitrarily
lose to some bounded set in the nite dimensional
230
subspa
e F , and is therefore relatively
ompa
t (Lemma 2.2). Hen
e X satises the
ompa
t LIL under
(i), (ii') and (iii') .
We are thus left with the proof of (8.19). To this aim, we use the isoperimetri
approa
h as developed
for example in the pre
eding
hapter on the SLLN. We intend more pre
isely to apply Theorem 7.5. In
order to verify the rst set of
onditions there, we employ Lemmas 7.6 and 7.8. The integrability
ondition
IE(kX k2=LLkX k) < 1 is equivalent to say that for every " > 0
X
Let " > 0 be xed. Setting together the
on
lusions of Lemmas 7.6 and 7.8 we see that (taking q = 2K0 )
P
there exists a sequen
e of integers (kn ) su
h that 2 kn < 1 for whi
h
n
IP
(k
n
X
r=1
<1
where X2(rn) 1 is the r -th largest element of the sample (kXi k)i2n 1 . L in Theorem 7.5 is less than L(X )
(
ontra
tion prin
iple) and, for ea
h n , n2 2n (X )2 so that (7.4) is satised with for example = (X ) .
The
on
lusion of Theorem 7.5, with q = 2K0 , is then that
X
IPfkS2n
Sin
e " > 0 is arbitrary and a2n 2a2n 1 , inequality (8.19) follows from the Borel-Cantelli lemma and
the maximal inequality of Levy (2.6). Theorem 8.6 is thus established.
While Theorem 8.6 provides a rather
omplete
hara
terization of random variables satisfying the LIL,
hypotheses on the distribution of the partial sums rather than only on the variable have to be used. It is
worthwhile to point out at this stage that in a spe
ial
lass of Bana
h spa
es, it is possible to get rid of these
assumptions and state the
hara
terization in terms only of the moment
onditions (i) and (ii) (or (ii') ).
Anti
ipating on the next
hapter as we did for the law of large numbers, say a Bana
h spa
e B is of type 2
if there is a
onstant C su
h that for any nite sequen
e (Yi ) of independent mean zero random variables
with values in B , we have
X
2
IE
Yi
C
IEkYi k2 :
231
Hilbert spa
es are
learly of type 2 ; further examples are dis
ussed in Chapter 9. In type 2 spa
es the
integrability
onditi on IE(kX k2=LLkX k) < 1 implies, if IEX = 0 , that Sn =an ! 0 in probability and
hen
e the ni
er form of Theorem 8.6 in this
ase. Let us prove this impli
ation.
Lemma 8.7. Let X be a mean zero random variable su
h that IE(kX k2=LLkX k) < 1 with values in
a type 2 Bana
h spa
e B . Then Sn =an ! 0 is probability.
Proof. We show that if X is symmetri
and IE(kX k2=LLkX k) < 1 , then IEkSn k=an ! 0 whi
h, by
Lemma 6.3, implies the lemma. For ea
h n ,
IEkSn k
n
X
IE
Xi IfkXi kang
+ nIE(
i=1
kX kIfkX k>ang ) :
n
IE(kX kIfkX k>ang ) = 0 :
lim
n!1 an
By the type 2 inequality (and symmetry),
1=2
n
1
X
C
2
IE
X I
IE(kX k IfkX kan g )
:
an
i=1 i fkXi kan g
2LLn
For ea
h t > 0 , the right hand side squared of this inequality is seen to be smaller than
Ct2
C
Ct2
kX k2 I
+
IE(kX k2Ift<kX kan g )
+ C IE
:
2LLn 2LLn
2LLn
LLkX k fkX k>tg
Letting n and then t go to innity
on
ludes the proof.
As announ
ed, Lemma 8.7 implies the next
orollary.
Corollary 8.8. Let X be a Borel random variable with values in a separable type 2 Bana
h spa
e B .
Then X satises the bounded (resp.
ompa
t) LIL if and only if IE(kX k2=LLkX k) < 1 and IEf (X ) = 0 ,
IEf 2 (X ) < 1 for all f in B 0 (resp. ff 2 (X ) ; f 2 B 0 ; kf k 1g is uniformly integrable).
Remark 8.9. Theorem 8.6 has been presented in the
ontext of Radon random variables. Its proof
however
learly indi
ates some possible extensions to more general settings of random variables as the one
we usually adopt in this text. This is in parti
ular
ompletely obvious for the bounded version whi
h, as
in the
ase of Kolmogorov's LIL, does not require any approximation argument. With some pre
autions,
extensions of the
ompa
t LIL to this setting
an also be imagined. We leave this to the interested reader.
232
S
lim d n ; K = 0
n!1
an
and
(8:21)
S
C n =K
an
where K = KX is the unit ball of the reprodu
ing kernel Hilbert spa
e asso
iated to the
ovarian
e stru
ture
of X and K is
ompa
t in this
ase. In parti
ular also,
(8:22)
kS k
(X ) = lim sup n = (X ) = sup (IEf 2 (X ))1=2
n!1 an
kf k1
(re
all (X ) = sup kxk ). One might now be interested in knowning if these properties still hold, or what
x2K
they be
ome, when for example X only satises the bounded LIL and not the
ompa
t one, or even, for
(8.21), if X is just su
h that IEf (X ) = 0 and IEf 2(X ) < 1 for all f in B 0 (in order for K to be
well dened). To put the question in
learer perspe
tive, let us mention the example (
f. [Kue6) of a
bounded random variable satisfying the bounded LIL but for whi
h the
luser set C (Sn =an ) is empty.
Further examples of pathologi
al situations have been observed in the literature. We would like here to
brie
y des
ribe some positive results as well as some problems left open.
We start with the remarkable results of K. Alexander [Ale3 on the
luster set. Let X be a Borel random
variable with values in a separable Bana
h spa
e B su
h that IEf (X ) = 0 and IEf 2 (X ) < 1 for all f
in B 0 . As we have seen in the rst part of the proof of Theorem 8.5, almost surely C (Sn =an) K where
K = KX . From an easy zero-one law, it
an be shown that the
luster set C (Sn =an ) is almost surely
non-random. It
an be K , and
an also be empty as alluded to above. As a main result, it is shown in
[Ale3 that C (Sn =an )
an a
tually only be empty or K for some in [0; 1 , and examples are given in
[Ale4 showing that every value of
an indeed o
ur. Moreover, a series
ondition involving the laws of
the partial sums Sn determines the value of . More pre
isely we have the following theorem whi
h we
state without proof refering to [Ale3.
233
Theorem 8.10. Let X be a Borel random variable with values in a separable Bana
h spa
e B su
h
that IEf (X ) = 0 and IEf 2 (X ) < 1 for every f in B 0 . Let
2 = supf 0 ;
These results settle the nature of the
luster set C (Sn =an ) . Similar questions
an of
ourse be asked
on
erning (8.20) and (8.22). Although the results are less
omplete here, one positive fa
t is available. We have of
ouse to assume here that X satises the bounded LIL, that is, by Theorem 8.6, that
IE(kX k2=LLkX k) < 1 , (X ) < 1 and (Sn =an) is bounded in probability. It turns out that when this last
ondition is strengthened into Sn =an ! 0 in probability, one
an prove (8.20) and (8.22) with K = KX ,
ompa
t or not. This is the obje
t of the following theorem, whose proof amplies some of the te
hniques
of the proof of Theorem 8.2 and whi
h provides a rather
omplete des
ription of the limits in this
ase. As
we will see, the situation may be quite dierent in general.
Theorem 8.11. Let X be a Borel random variable with values in a separable Bana
h spa
e B .
Assume that IEX = 0 , IE(kX k2=LLkX k) < 1 , (X ) = sup (IEf 2 (X ))1=2 < 1 and that Sn =an ! 0 in
kf k1
probability. Then we have
(8:23)
kS k
(X ) = lim sup n = (X ) almost surely :
n!1 an
Moreover,
(8:24)
S
lim d n ; K = 0
n!1
an
and
S
C n =K
an
with probability one where K = KX is the unit ball of the reprodu
ing kernel Hilbert spa
e asso
iated to
the
ovarian
e stru
ture of X .
Proof. It is enough to prove (8.23); indeed, repla
ing the norm of B by the gauge of K + "B1 where
B1 is the unit ball of B , it is easily seen that d(Sn =an; K ) ! 0 . Identi
ation of the
luster set follows
from Theorem 8.10 sin
e Sn =an ! 0 in probability. To establish (8.23), by homogeneity and the real LIL,
we need only show that (X ) 1 when (X ) = 1 . As in the proof of Theorem 8.2 (see (8.6)), by the
234
Borel-Cantelli lemma and Ottaviani's inequality (Lemma 6.2), it su
es to prove that for all " > 0 and
>1
(
)
X
IP
mn
X
Xi
i=1
Let further N (U; dn2 ; ") be the minimal number of elements h in U su
h that for every f in U there
exists su
h a h with dn2 (f; h) < " . As in the proof of Theorem 8.2, we rst need an estimate of the size of
these entropy numbers when n varies. However, with respe
t to Lemma 8.3, it does not seem possible to
use the Sudakov minoration for Radema
her pro
esses sin
e the trun
ations do not appear to t the right
levels. Instead rather, we will use the Gaussian minoration through an improved randomization property
whi
h is made possible by the fa
t that we are working with identi
ally distributed random variables. Let
respe
tively ("i ) and (gi ) be Radema
her and standard Gaussian sequen
es independent of (Xi ) . Under
the assumptions of the theorem, we have that
(8:25)
n
n
1
X
1
X
lim
IE
"
X
=
lim
IE
g
X
= 0:
i i
n!1
i i
n!1 an
a
n
i=1
i=1
If X is symmetri
, the limit on the left of (8.25) is seen to be 0 using Lemma 7.2 (sin
e Sn =an ! 0 in
1
probability) and the elementary fa
t that nlim
!1 nan IE(kX kIfkX k>ang ) = 0 under
IE(kX k2=LLkX k) < 1 . By symmetrization, the left of (8.25) also holds in general sin
e X is
entered
(Lemma 6.3). One
an also use for this result Corollary 10.2 for an . Con
erning Gaussian randomization,
we refer to Proposition 10.4 below and the
omments thereafter. Using the latter property and the Gaussian
Sudakov minoration, the proof of Lemma 8.3 is trivially modied to this setting to yield the existen
e of a
sequen
e (n ) of positive numbers tending to 0 su
h that for all n large enough
(8:26)
235
IP
mn
X
sup h(Xi )
h2Vn
i=1
(8:27)
IP
mn
X
sup f (Xi )
f 2Un
i=1
Let = (") > 0 to be spe
ied in a moment and set, for ea
h n ,
n = mn =amn . Dene, for ea
h n ,
i mn and f in U ,
IP
i=1
> (1 + ")amn
mn
X
sup Yi (f; n)
f 2Un
IP
i=1
1.
By (8.26), it thus
n =
mn
IPfkX k >
n g
(LLmn )2
n < 1 where
236
regularity property
n+1 1=3
n for every n (re
all that > 1 ). It is then easily seen that for all n ,
IE(kX kIfkX k>
ng )
`n
X `+1 (LLm` )2
m`
`n
(LL`)3=2 (` n)=3
`=2
`n
X
C1 (; ) n
3=2
C2 (; )
n (LLm1=n2)
mn
for some C1 (; ) , C2 (; ) > 0 . Consider the set of integers L = fn ; 2C2 (; )
n LLmn
pre
eding estimate indi
ates that for all n 2 L , f 2 U and i mn ,
"g . The
mn
X
(8:29)
2"amn :
lim
n!1 amn
n!1 amn
IE
IE
mn
X
sup "i
f 2U
i=1
mn
X
sup
f 2U
i=1
!
=
0;
!
mn
X
A = ! 2
; sup jZi (f; n)(!)j 4"amn :
f 2U i=1
237
Then IP(A) 1=2 by (8.29) (at least for n large). Now, if, for ! 2
, there exist !1 ; : : : ; !q in A su
h
that Xi (!) 2 fXi (!1 ); : : : ; Xi (!q )g ex
ept perhaps for at most k values of i mn , then
mn
X
k
X
mn
X
X
sup jZi (f; n)(!)j
kZi (!)k + sup jZi (f; n)(!` )j
f 2U i=1
i=1
`=1 f 2U i=1
k
X
i=1
where (kZi k ) denotes the non-in
reasing rearrangement of (kXi k +IEkXi k)imn . Hen
e, the isoperimetri
inequality (6.16) ensures that for k q
(
mn
X
( k
)
X
K0 k
+ IP
kZik > "amn :
q
i=1
If we now
hoose q = 2K0 and k = kn as in the proof of Theorem 8.6 using the integrability
ondition
IE(kX k2=LLkX k) < 1 , we get that
X
(8:30)
n2L
mn
X
Combining (8.28) and (8.30), we see that in order to establish (8.27) and
on
lude the proof of the theorem,
we have to show that for some numeri
al C > 0 ,
X
(8:31)
n62L
mn
X
sup f (Xi )
f 2Un
IP
i=1
We follow very mu
h the pattern of the
ase n 2 L . Let now
0n = mn =4"amn , and dene Yi0 (f; n) , Zi0 (f; n)
as Yi (f; n) , Zi (f; n) before but with
0n instead of
n . We observe, now be
ause (X ) 1 , that
IEjZi0 (f; n)j 8"amn =mn ;
i mn . Exa
tly as what we des
ribed before for Zi (f; n) , we
an get from the isoperimetri
approa
h that
X
(8:32)
mn
X
IP sup
i
f 2U i=1
< 1:
Con
erning Yi0 (f; n) , the exponential inequality of Lemma 1.6 shows that
mn
X
sup Yi0 (f; n)
f 2Un
IP
i=1
> "amn
2
"
n LLmn
238
where we have used (8.26). Now, if n 62 L , LLmn > "(2C2 (; )
n ) 1 where
n < 1 . Sin
e n ! 0 ,
n
we
learly get that
(
)
mn
X
X
IP sup Yi0 (f; n) > "amn < 1
f 2Un i=1
n62L
from whi
h, together with (8.32), (8.31) follows. This
ompletes the proof of Theorem 8.11.
Theorem 8.11 settles the question of the identi
ation of the limits when Sn =an ! 0 in probability. Very
few however is known at the present time about the limit (8.20), or just only (8.22), in
ase of the bounded
LIL, that is, in the setting of Theorem 8.11, when (Sn =an ) is only bounded in probability (
f. Theorem 8.6).
The limsup (X ) need not be equal to (X ) and has to take into a
ount the sto
hasti
boundedness of
(Sn =an ) , for example through (X ) = lim sup IEkSn =ank (
f. [A-K-L). One might wonder what fun
tion
n!1
of (X ) and (X ) (or some other quantity equivalent to (X ) ) (X )
ould be. We believe that this
study
ould lead to some rather intri
ated situations as suggested by the following example with whi
h we
lose this
hapter. We
onstru
t here an example showing that the
ondition Sn =an ! 0 in probability in
Theorem 8.11 is not ne
essary for the limit nlim
!1 d(Sn =an ; K ) to be almost surely 0 . Let us note that K.
Alexander [Ale4 showed that when nlim
!1 d(Sn =an ; K ) = 0 , then ne
essarily C (Sn =an ) = K .
Example 8.12. There exists a random variable X satisfying the bounded LIL in the Bana
h spa
e
0
su
h that
Sn
;
K
=0
lim
d
n!1
an
with probability one, where K = KX the unit ball of the reprodu
ing kernel Hilbert spa
e asso
iated to
the
ovarian
e stru
ture of X , but for whi
h Sn =an does not
onverge in probability to 0 .
The
onstru
tion of this example is based on the following preliminary study whi
h appears to be kind of
anoni
al and
ould possibly be useful for related
onstru
tions. It will be
onvenient for this study, as well
as for the example itself, to use the language and notations of empiri
al pro
esses (
f. Chapter 14).
Let I be a subinterval of [0; 1 of length b divided into p equal subintervals. Consider the
lass G of
fun
tions on [0; 1 dened by G = fIA ; A is the union of h subintervals (of I ) g . It is impli
it that p
and h are large enough for all the
omputations we will develop. With some abuse, we denote by (Xi ) a
sequen
e of independent variables uniformly distributed on [0; 1 . We study here, for every n ,
n
X
IE
"i f (Xi )
i=1
239
n
P
"
f
(
X
)
i
i
n
P
= sup "i f (Xi ) and, as usual, ("i ) is a Radema
her sequen
e independent of
i=1
G f 2G i=1
n
P
(Xi ) . Note rst that, obviously,
"i f (Xi )
Cardfi n ; Xi 2 I g so that
i=1
G
where
n
X
IE
"i f (Xi )
(8:33)
i=1
bn :
Let us now try to improve this general estimate for relative values of n . To this aim, we use Bennett's
inequality (6.10) from whi
h we easily dedu
e that, for all f in G and all t > 0 ,
( n
X
IP "i f (Xi )
i=1
t
t
C1 n2
where 2 = hb=p , (u) = u when 0 < u e , (u) = e log u when u e and where C1 is some (large)
numeri
al
onstant. Consider now t0 su
h that t0 (t0 =n2 )=C1 h log p ( 1) . Sin
e CardG ph =
exp(h log p) and is in
reasing, for all t t0 ,
(
n
X
IP
"i f (Xi )
i=1
>t
2 exp h log p
t
t
0
C1 n2
n
P
IE
"i f (Xi )
C1 eh log p
:
log C1 epbnlog p
t0 =
(8:34)
(8:35)
n
1
X
pn IE
"i f (Xi )
i=1
(8:36)
n
X
p1n IE
"i f (Xi )
i=1
n
X
p1n IE
"i f (Xi )
i=1
bpn
if n
h
;
b
p
C p log p
p 3C1ehC log
if n 21
;
ep
log
p
e
b
n log
G
bn
1
b log p 1=2
3 C1 h p
G
p
if n
C1 p log p
:
e2 b
240
Sin
e the right hand side of (8.35) is de
reasing in n (for the values of n
onsidered), we obtain a rst
onsequen
e of this investigation. C denotes below some numeri
al
onstant possibly varying from line to
line.
h log p
C max B
q
p
LL hb m log C1 epmlog p
h
b log p
p
h
LL b
1=2
1
C
A
n
1
X
sup IE
"i f (Xi )
nm an
i=1
C max q hh p ;
LL b m
G
h
b log p 1=2 A
q
:
p
LL hb
To obtain a
ontrol whi
h is uniform in n ,
onsider the bound (8.34) for r = h=b and the previous
orollary.
n
1
X
hb
sup IE
"i f (Xi )
C q
:
n an
i=1
LL hb
G
Provided with this preliminary study and the pre
eding statements, we now start the
onstru
tion of
Example 8.12. Consider in
reasing sequen
es of integers (n(q)) , (p(q)) , (s(q)) to be spe
ied later on. Let
Iq , Jq , q 2 IN , be disjoint intervals in [0; 1 where, for ea
h q , Iq has length b(q) = LLn(q)=n(q) and
Jq , b(q)=s(q) . We divide Iq in p(q) equal subintervals and denote by Iq the family of these subintervals.
We set
1 a(q)
a(q) = an(q) = (2n(q)LLn(q))1=2
and
(q) =
:
10 LLn(q)
We set further, always for all q ,
b(q)
p(q)
241
whi
h is equivalent, for q large, to 2LLn(q)=102p(q) . Let Tq be the ane map from Jq into Iq . For f
with support in Iq and
onstant on the intervals of Jq , set
1 d(q)2
Uq (f ) = f +
d(q)2
1=2
s(q)f Tq
n(q)
X
"i f (Xi )
an(q)
i=1
(8:37)
6! 0 in probability
(8:38)
where Fu = ff
study.)
n
1
X
lim sup
"i f (Xi )
n!1 an
i=1
Fu
1 almost surely
Before turning to the somewhat te
hni
al details of the
onstru
tion, let us show why (8.37) and (8.38)
give raise to Example 8.12. Observe that F is
ountable. Let X be the map from [0; 1 f 1; +1g in
0 (F ) dened by X (x; ") = ("f (x))f 2F . Sin
e the intervals Iq , Jq are disjoint, X a
tually takes its
values in the spa
e of nite sequen
es. That Sn =an 6! 0 in probability follows from (8.37). To establish
that nlim
!1 d(Sn =an; K ) = 0 almost surely where K = KX , it su
es to show (as in Theorem 8.11) that for
every " > 0 , lim sup jkSn =an kj 1 with probability one where jk kj is the gauge of K + "B1 , B1 the
n!1
unit ball of
0 (F ) . But the unit ball of the dual norm is V = fg 2 `1 (F ) ; kgk 1=" , IEg(X )2 1g so
that it thus su
es to have that
n
1 X
lim sup sup "i g(Xi ) 1 almost surely :
n!1 g2V an i=1
Let V0 be the elements of V with nite support. Then (8.38) exa
tly means that
n
1 X
lim sup sup "i g(Xi ) 1 almost surely ;
n!1 g2V0 an i=1
242
LLn(q) 24q ;
LL (q) 2q ;
b(q) 2q p(q 1)
r(q 1) a(q)
ar(q 1) n(q)
(8:40)
2 q:
p(q) n(q)4 :
(8:41)
Set m(q) = [(2 q p(q))1=2 and
hoose then s(q) large enough so that
(8:42)
s(q) 2q m(q)b(q) ;
s(q)d(q)2 1
LL s(q) p(q) :
(8:43)
We are left with the
hoi
e of r(q) . To this aim, set Hq = fg 2 2q Conv( F` ) ; kgk2 1g . Hq is a
onvex
`q
set of nite dimension. There exists a nite set Hq0 su
h that Hq ConvHq0 and kgk2 (1 2 q 1 ) 1=2
for g 2 Hq0 . The exponential inequality of Kolmogorov (Lemma 1.6), applied to ea
h g in Hq0 , easily
implies that one
an nd r(q) su
h that, for all n r(q) and all t with an =2 t 2an ,
(8:44)
8
n
<
X
IP
"i f (Xi )
:
i=1
Hq
9
=
2 exp
;
>t
t2
(1 2 q )
2n
243
and
n
X
IE
"i f (Xi )
(8:45)
Hq
i=1
C pn
where C is numeri
al. This
ompletes the
onstru
tion (by indu
tion) of the various sequen
es of integers
we will work with. We
an now turn to the proofs of (8.37) and (8.38).
Let Tq1 be the event
1
b(q)
IP(Tq1;
) m(q)(m(q) 1)p(q)
2
p(q)
2
and thus, by denition of m(q) and the fa t that b(q) 1 , IP(Tq1; ) 2 q . Similarly, let
nP
(q)
"i IA (Xi )
i=1
12 [n(q)b(q) . Sin e
9
>
=
a(q)=40> 13
;
Fq
lim sup
n!1
(n)
X
" f (X )
a(n)
i=1 i i
Fu
almost surely
244
1); m(q) and IN2 = [m(q); r(q) (as subsets of integers) and
q
study separately lim sup and lim sup . Let us rst
onsider the limsup when (n) 2 IN2 . We make use
(n)2IN1
(n)2IN2
for it of the proof of Theorem 8.11 from whi
h we know that we will get a limsup less than 1 under the
onditions IE(g2 =LLg) < 1 where g = kf kF = sup jf j and
f 2F
n
1
X
lim
IE
"i f (Xi )
= 0 :
n2IN2 an
i=1
F
(8:47)
To
he
k the integrability
ondition, let gq = sup jf j whi
h have disjoint supports. Moreover
f 2Fq
1 d(q)2
gq =
(q)IIq +
(q)
d(q)2
p
(q)IIq + d
((qq)) s(q)IJq :
1=2
s(q)IJq
(q)2 b(q)
(q)2 bp
(q)
+
LL
(q) d(q)2 LL s(q)
1
p(q)
p
+
LL
(q) LLn(q)LL s(q)
whi
h gives raise to a summable series by (8.39) and (8.43). Turning to (8.47), let n 2 [m(q); r(q) . Note
S
that F Hq [ Fq [ F` so that
`>q
n
1
X
IE
"i f (Xi )
an
i=1
`>q
By (8.45), (I) has a limit zero. Con
erning (III), for ` > q we have that (
f. (8.33))
n
X
IE
"i f (Xi )
i=1
n
n
1
X
1
X
IE
"i f (Xi )
+ IE
"i f (Xi )
an
i=1
a
Hq
n i=1
Fq
n
X
1
+ IE
"i f (Xi )
S
an
i=1
F
G`
n (`)b(`) n na((``))
245
n
1
X
n a(`)
IE
"i f (Xi )
an
i=1
an n(`)
G`
ar(q) na((``)) 2
r(q)
n
X
IE
"i f (Xi )
0
i=1
G`
n
P
IE
"i f (Xi )
i=1
G`0
an 2
n
P
IE
"i f (Xi )
`.
It follows that
i=1
We evaluate (IV) and (V) by the preliminary study. For (IV), we let there b = b(q) , h = [n(q)b(q) ,
p = p(q) and m = m(q) . For q large enough, the denition of m(q) (m(q) = [(2 q p(q))1=2 ) shows that
we are in a position to apply Corollary 8.14. Sin
e b(q) 1 and
(q)n(q)b(q) = a(q)=10 , it follows that, for
some numeri
al
onstant C and all q large enough,
(IV) C max
n(q) 1=2
;
m(q)
1=2 !
n(q)
log p(q)
:
p(q)
By the
hoi
e of p(q) n(q)4 , we have that m(q) 2 q 1 n(q)2 , from whi
h, together with (8.39), we
dedu
e that (IV) tends to 0 . Using Corollary 8.15 with b = b(q)=s(q) , h = [n(q)b(q) and p = p(q) , the
ontrol of (V) is similar by (8.43). We have therefore established in this way that (8.47) holds and thus
(8.46) along (n) 2 IN2 .
5
T
In the last part of this proof, we establish (8.46) when (n) 2 IN1 . For ea
h q ,
onsider Tq = Tqi
i=1
where
Tq1 = f8i m(q) ; ea
h interval of Iq
ontains at most one Xi g ;
`>q
(I` [ J` g ;
246
IP(Tqi; ) < 1 , i = 1; : : : ; 5 ,
where Tqi;
is the
omplement of Tqi . We have already seen that IP(Tq1;
) 2 q . For i = 2 , note that,
when ` q ,
b(`)
b(`)
m(`)
2 `
IPf9i m(q) ; Xi 2 J` g m(q)
s(`)
s(`)
by (8.42). When ` > q , by (8.39),
IPf9i m(q) ; Xi 2 I` g m(q)b(`) p(q)b(`) p(` 1)b(`) 2 ` :
Hen
e IP(Tq2;
) 3 2 q . Con
erning Tq5 , one need simply note that jIq j = b(q) = LLn(q)=n(q) . For
i = 3; 4 , we use the binomial bound (1.16) whi
h implies in parti
ular that
(8:48)
tn
1 log
i
exp( tn)
t
when t e2 (for example), where B (n; ) is the number of su
esses in a run of n Bernoulli trials with
probability of su
ess and 0 < t < 1 . We have that
Tq3
f Cardfi 2
`0
2q+` n(q ) ;
Xi 2 Iq g e2 2 2q+` b(q)g :
`0
Tq4
IP(Tq3) <
where the interse
tion is over all ` 0 su
h that v(`) 2 2q n(q) , i.e. 2` 2 q LLn(q) . Take then in
(8.48), t = e2 2 q av(`) =v(`)
(q) , = b(q) and n = v(`) . Sin
e 2` 2 q LLn(q) , one veries that, at least
for q large enough (by (8.39)), t e2 . Hen
e
IP(Tq4;
)
`0
247
IP(Tq ) < 1 .
> a(n) ; Tq
9
=
;
On Tq , none of the Xi 's, i (n) m(q) , is in J` for ` q or I` for ` > q (denition of Tq2 ). On the
other hand, the restri
tion of a fun
tion of Fu to Iq \ Jq belongs to Fq;u = ff 2 u ConvFq ; kf k2 1g
S
and its restri
tion to
I` [ J` is in Hq 1 . We thus have that
`<q
(n)
X
"i f (Xi )
i=1
(8:49)
Fu
(n)
X
"i f (Xi )
i=1
Hq
(n)
X
+
"i f (Xi )
i=1
Fq;u
Lemma 8.16. For every " > 0 , there exists q0 = q0 (") su
h that for all q q0 and r(q 1) (n)
m(q) , one
an nd numbers (n; q) with the following properties:
(8:50)
on Tq ;
(n)
X
"i f (Xi )
i=1
Fu;q
(n; q) ;
(8:51)
(8:52)
2
(n; q) a(n) :
3
Before proving this lemma, let us show how to
on
lude from it. By (8.49) and (8.50)
8
(n)
<
X
IP
"i f (Xi )
:
i=1
Fu
> a(n) ; Tq
9
=
;
8
>
(n)
<
X
IP
"i f (Xi )
>
:
i=1
Hq
> a(n)
(n; q) :
1
(a
2(n) (n)
(n; q))2 (1
q+1 )
9
>
=
>
;
248
In (8.51), take " > 0 to be su
h that " > 1 . If (n; q) "a(n) , a(n) (n; q) ( ")a(n) and the
pre
eding gives raise to a summable series. For ea
h q ( q0 ), the number of (n; q) > "a(n) is
ontrolled
by M and thus, using (8.52), there is a
ontribution of at most
M exp
1
LLn(q 1)
18
Proof of Lemma 8.16. The
ru
ial point is the following. If g 2 Fq;u , let f be the restri
tion of
g to Iq . Then g = Uq f . Therefore, 1 kUq f k2 = kf k2=d(q) so that kf k2 d(q) . (The rst reader
that will have
omprehensively rea
hed this point of this
onstru
tion is invited, rst to
ourageously pursue
his eort until the end, and then to
onta
t the authors (the se
ond one!) for a reward as a token of his
perseveran
e.) Let n be xed, n m(q) , and assume we are on Tq . Let N = Cardfi n ; Xi 2 Iq g
n
P
n
P
f (Xi )2
When n 2 2q n(q) , N
I 2Iq
)2
1=2
(value of f on I )2 = kf k22
p(q)
b(q)
2 LLn(q)
d(q)2 pb((qq)) 100
b(q) :
1=2
jf (Xi )j 25 nLLn(q)
n
1
X
"i f (Xi )
an
i=1
Fu;q
1 LLn(q)
5 LLn
1=2
Therefore, when n 2 2q n(q) and n(q) is so large that LL(2 2q n(q)) 12 LLn(q) , we have that
n
1
X
"i f (Xi )
an
i=1
(8:53)
Fu;q
i=1
Fu;q
n
X
u
"i f (Xi )
i=1
23 :
u
u
(q)n(q)b(q) 10
a(q)
249
(8:54)
Finally, again
n
1
X
"i f (Xi )
an
i=1
n
X
"i f (Xi )
i=1
Fu;q
n
X
u
"i f (Xi )
i=1
n
X
"i f (Xi )
Fu;q
i=1
and therefore
Fu;q
u (q) Cardfi n ; Xi 2 Iq g :
n
1
X
"i f (Xi )
an
i=1
Fu;q
(8:55)
u n(q) 1=2
:
10 n
2u n(nq)
1=2
(where it is assumed as before that q is large enough so that LL(2 q n(q)) 12 LLn(q)) . When n
2 2q n(q) , by Tq3 , Tq4 , Cardfi N ; Xi 2 Iq g 20 2 q an =
(q) and therefore
n
1
X
"i f (Xi )
an
i=1
Fu;q
(8:56)
20u2 q :
(n; q) =
8
>
>
>
>
>
<
>
>
>
>
>
:
20u2 q a(n)
min
min
(n)
2a
3 (n) ; 2u n(q)
2
u
3 a(n) ; 10
1=2
a(n)
n(q) 1=2 a
(n)
(n)
if (n) 2 2q n(q) ;
if 2 2q n(q) (n) n(q) ;
if (n) n(q) :
By (8.53)-(8.56), the numbers (n; q) satisfy all the required properties. This
ompletes the proof of Lemma
8.16 and therefore of Example 8.12.
250
understanding. We do not try here to give a detailed a
ount of the
ontributions of all the authors but
rather
on
entrate only on the main steps of the history of these results. The exposition of this
hapter
is basi
ally taken from the papers [L-T2 and [L-T5. Let us mention that the LIL is a vast subje
t of
Probability theory from whi
h only one parti
ular aspe
t is developed here. For a survey of various LIL
topi
s, we refer to [Bin.
The LIL of Kolmogorov appeared in 1929 [Ko and is extraordinary of a
ura
y for the time. A. N.
Kolmogorov used sharp both upper and lower exponential inequalities (
arefully des
ribed in [Sto) presented
here as Lemma 1.6 and Lemma 8.1. The extension to the ve
tor valued setting in the form of Theorem 8.2
rst appeared in [L-T4 with a limsup only nite. The best result presented here is new. A rst form of the
ve
tor valued extension is due to J. Kuelbs [Kue4.
The independent and identi
ally distributed s
alar LIL is due to P. Hartman and A. Wintner [H-W (with
the proof sket
hed in the text) who extended previous early results in parti
ular by Hardy and Littlewood
and by Khint
hine. Ne
essity was established by V. Strassen [St2; the simple argument presented here
is taken from [Fe2. The simple qualitative proof by randomization seems to be part of the folklore. For
the
onverse using Gaussian randomization, we refer to [L-T2. Strassen's paper [St1 is a milestone in the
study of the LIL and strongly in
uen
ed the innite dimensional developments. Various simple proofs of the
Hartman-Wintner-Strassen s
alar LIL are now available,
f. e.g. [A
7 and the referen
es therein.
The setting up of the framework of the study of the LIL for Bana
h spa
e valued random variables
was undertaken in the early seventies by J. Kuelbs (
f. e.g. [Kue2). Theorem 8.5 belongs to him [Kue3
(with however a somewhat too strong hypothesis removed in [Pi3). The denition of the reprodu
ing
kernel Hilbert spa
e of a weak- L2 random variable and Lemma 8.4 on
ompa
tness of its unit ball
ombine
observations of [Kue3, [Pi3 and [G-K-Z. The progresses leading to the nal
hara
terization of Theorem
8.6 were numerous. To mention some, R. LePage rst showed the result for Gaussian random variables
and G. Pisier [Pi3 established the LIL for square integrable random variables satisfying the
entral limit
theorem, a
ondition weakened later into the boundedness or
onvergen
e to 0 in probability of (Sn =an )
by J. Kuelbs [Kue4. The rst real
hara
terization of the LIL in some innite dimensional spa
es is due to
V. Goodman, J. Kuelbs and J. Zinn [G-K-Z in Hilbert spa
e after a preliminary investigation by G. Pisier
and J. Zinn [P-Z. Then, su
esively, several authors extended the
on
lusion to various
lasses of smooth
normed spa
es [A-K, [Led2, [Led5. The nal
hara
terization was obtained in [L-T2 using a Gaussian
randomization te
hnique already suggested in [Pi2 and put forward in the unpublished manus
ript [Led6
251
where the
ase of type 2 spa
es (Corollary 8.8) was settled. Lemma 8.7 is taken from [G-K-Z. The short
proof given here based on the isoperimetri
approa
h of Se
tion 6.3 is taken from [L-T5. Its
onsequen
e to
the relation between LIL and CLT is dis
ussed in Chapter 10, with in parti
ular results of [Pi3, [G-K-Z,
[He2.
The remarkable results on the
luster set C (Sn =an ) presented here as Theorem 8.10 are due to K. Alexander [Ale3, [Ale4. Among other results, he further showed that, when IEkX k2 < 1 , C (Sn =an) is almost
surely empty if it does not
ontain 0 or, equivalently, if (and only if) lim
inf IEkSnk=an > 0 . Preliminary
n!1
observations appeared in [Kue6, [G-K-Z and in [A-K where it was rst shown that C (Sn =an ) = K when
Sn =an ! 0 in probability (a result to whi
h the rst author of this monograph had some
ontribution).
Theorem 8.11 is taken from [L-T5. Some observations on possible values of (X ) in
ase of the bounded
LIL may be found in [A-K-L. Example 8.12, in the spirit of [Ale4, is new and due to the se
ond author.
252
9.2
9.3
253
IEjXi j2
where (Xi ) is a nite sequen
e of independent mean zero real random variables (in L2 ). This property
extends to Hilbert spa
e with norm instead of absolute values but does not extend to general Bana
h spa
es.
This observation already indi
ates the di
ulties in showing tightness or boundedness in probability of
sums of independent ve
tor valued random variables. This will be in parti
ular illustrated in the next
hapter
on the
entral limit theorem, whi
h is indeed one typi
al example of this tightness question.
In some
lasses of Bana
h spa
es, this general question has however reasonable answers. This
lassi
ation
of Bana
h spa
es is based on the
on
ept of type and
otype. These notions have their origin in the pre
eding
orthogonality property whi
h they extend in various ways. They are
losely related to geometri
properties
of Bana
h spa
es of
ontaining or not subspa
es isomorphi
to `np . Starting with Dvoretzky's theorem on
spheri
al se
tions of
onvex bodies, we des
ribe these relations in the rst paragraph of this
hapter as
a geometri
al ba
kground. A short exposition of some general properties on type and
otype is given in
Se
tion 9.2. In the last se
tion, we
ome ba
k to our starting question and investigate some results on sums
of independent random variables in spa
es with some type or
otype. In parti
ular, we
omplete some results
on the law of large numbers as announ
ed in Chapter 7. Pregaussian random variables and stable random
variables in spa
es of stable type are also dis
ussed. We also brie
y dis
uss spa
es whi
h do not
ontain
0 .
n
P
1=p
Given 1 p 1 , re
all that `np denotes IRn equipped with the norm
ji jp ( max lim itsin ji j
i
=1
if p = 1 ), = (1 ; : : : ; n ) 2 IRn . When 1 p 1 , n an integer and " > 0 , a Bana
h spa
e B
254
is said to
ontain a subspa
e (1 + ") -isomorphi
to `np if there exist x1 ; : : : ; xn in B su
h that for all
= (1 ; : : : ; n ) in IRn
n
X
i=1
ji jp
!1=p
n
X
i xi
i=1
(1 + ")
n
X
i=1
ji jp
!1=p
( max ji j if p = 1 ). B
ontains `np 's uniformly if it
ontains subspa
es (1 + ") -isomorphi
to `np for all
in
n and " > 0 .
The purpose of this paragraph is to present some results whi
h relate the set of p 's for whi
h a Bana
h
spa
e
ontains `np 's to some probabilisti
inequalities satised by the norm of B . The fundamental result
at the basis of this theory is the following theorem of A. Dvoretzky [Dv.
Theorem 9.1. Any innite dimensional Bana
h spa
e B
ontains `n2 's uniformly.
It should be mentioned that the various subspa
es isomorphi
to `n2 do not form a net and therefore
annot in general be pat
hed together to form an innite dimensional Hilbertian subspa
e of B . We shall
give two dierent proofs of Theorem 9.1, both of them based on Gaussian variables and their properties
des
ribed in Chapter 3. The rst one uses isoperimetri
and
on
entration inequalities (Se
tion 3.1), the
se
ond
omparison theorems (Se
tion 3.3). They a
tually yield a stronger nite dimensional version of
Theorem 9.1 whi
h may be interpreted geometri
ally as a result on almost spheri
al se
tions of
onvex
bodies (
f. [F-L-M, [Mi-S, [Pi18). This nite dimensional statement is the following.
Theorem 9.2. For ea
h " > 0 there exists (") > 0 su
h that every Bana
h spa
e B of dimension N
ontains a subspa
e (1 + ") -isomorphi
to `n2 where n = [(") log N .
Theorem 9.1
learly follows from this result. In the two proofs of Theorem 9.2 we will give, we use a
ru
ial
intermediate result known as the Dvoretzky-Rogers lemma. It will be
onvenient to immediately interpret
this result in terms of Gaussian variables. Re
all from Chapter 3 that if X is a Gaussian Radon random
variable with values in a Bana
h spa
e B , we set (X ) = sup (IEf 2 (X ))1=2 , and X has strong moments
kf k1
of all orders (Corollary 3.2). We may then
onsider the \dimension" (or \
on
entration dimension") of a
Gaussian variable X as the ratio
IEkX k2
:
d(X ) =
(X )2
Note that d(X ) depends on both X and the norm of B . Sin
e all moments of X are equivalent and
equivalent to the median M (X ) of X , the repla
ement of IEkX k2 by (IEkX k)2 or M (X )2 in d(X ) gives
255
rise to a dimension equivalent, up to numeri
al
onstants, to d(X ) . We use freely this observation below.
We already mentioned in Chapter 3 that the strong moment of a Gaussian ve
tor valued variable is usually
mu
h bigger than the weak moments (X ) . Re
all for example that if X follows the
anoni
al distribution
2
N
in IRN and if B = `N
2 , then (X ) = 1 and IEkX k = N so that d(X ) = N . Note that if B = `1 , then
(X ) is still 1 but IEkX k2 is of the order of log N (
f. (3.14)). One of the
on
lusions of Dvoretzky-Rogers'
lemma is that the
ase of `N
1 is extremal. Let us state without proof the result (
f. [D-R, [F-L-M, [Mi-S,
[Pi16, [TJ).
Lemma 9.3. Let B be a Bana
h spa
e of dimension N and let N = [N=2 (integer part). There exist
points (xi )iN in B su
h that kxi k 1=2 for all i N and satisfying
(9:1)
N
X
i xi
i=1
N
X
i=1
ji j2
!1=2
for all = (1 ; : : : ; N ) in IRN . In parti
ular, there exists a Gaussian random ve
tor X with values in B
whose dimension d(X ) is larger than
log N where
> 0 is some numeri
al
onstant.
N
P
It is easily seen how the se
ond assertion of the lemma follows from the rst one. Let indeed X = gi xi
i=1
where (gi ) is orthogaussian. By (9.1),
0
N
X
11=2
N
X
sup
i xi
jj1
i=1
1:
On the other hand, sin
e kxi k 1=2 for all i N , by Levy's inequality (2.7) and (3.14),
1
IEkX k2 IE max jgi j2
log N:
8 iN
Provided with this tool, we
an now atta
k the proofs of Theorem 9.2.
1st proof of Theorem 9.2. It is based on the
on
entration properties of the norm of a Gaussian
random ve
tor around its median or mean and stability properties of Gaussian distributions. We use Lemma
3.1 but the simpler inequality (3.2)
an be used
ompletely similarly. In a rst step, we need two te
hni
al
lemmas to dis
retize the problem of nding `n2 -subspa
es. We state them in a somewhat more general
setting for further purposes. A -net ( > 0) of a set A in (B; k k) is a set S su
h that for every x in
A one
an nd y in S with kx yk .
256
Lemma 9.4. For ea
h " > 0 there is = (") > 0 with the following property. Let n be an integer
and let kj jk be a norm on IRn . Let further S be a -net of the unit sphere of (IRn ; kj jk ). Then, if for
n
P
some x1 ; : : : ; xn in a Bana
h spa
e B , we have 1 > k i xi k 1 + for all in S , then
i=1
(1 + ")
n
X
1=2 kjjk
i=1
i xi
(1 + ")1=2 kjjk
n
X
i xi
i=1
1
X
j =0
n
X
i=1
ji xi
1+
1
n
P
Lemma 9.5. Let kj jk be any norm on IRn . There is a -net S of the unit sphere of (IRn ; kj jk) of
ardinality less than (1 + 2=)n exp(2n=) .
Proof. Let U denote the unit ball of (IRn ; kj jk) and let (xi )im be maximal in the unit sphere of U
under the relations kjxi xj jk > for i 6= j . Then the balls xi + (=2)U are disjoint and are all
ontained
in (1+2=)U . By
omparing the volumes, we get that m(=2)n (1+2=)n from whi
h the lemma follows.
We are now in a position to perform the rst proof of Theorem 9.2. The main argument is the
on
entration
property of Gausian ve
tors. Let B of dimension N . By Lemma 9.3 there exists a Gaussian variable X
with values in B whose dimension is larger than
log N . Let M = M (X ) denote the median of X .
Sin
e (Corollary 3.2) M is equivalent to kX k2 , we also have that M
(log N )1=2 (X ) where
> 0 is
numeri
al (possibly dierent from the pre
eding). Let n to be spe
ied and
onsider independent
opies
X1 ; : : : ; Xn of X . With positive probability, the sample (X1 ; : : : ; Xn ) will be shown to span a subspa
e
almost isometri
to `n2 . More pre
isely, the basi
rotational invarian
e property of Gaussian distributions
257
n
P
i=1
n
P
2i = 1 , then
i=1
n
P
i=1
(
n
X
i=1
2i = 1 ,
i Xi
)
M > t
exp( t2 =2(X )2 ):
Let now " > 0 be xed and
hoose = (") > 0 a
ording to Lemma 9.4. Let furthermore S be a -net
of the unit sphere of `n2 whi
h
an be
hosen of
ardinality less than exp(2n=) (Lemma 9.5). Let t = M ;
the pre
eding inequality implies that
(
IP
9 2 S :
n
X
Xi
i
M
)
1 >
i=1
(Card S ) exp
exp 2n
2 M 2
2(X )2
2
2
log N
2
sin
e M
(log N )1=2 (X ) . Assuming N is large enough (otherwise there is nothing to prove),
hoose
n = [ log N for = () = (") small enough in order the pre
eding probability is stri
tly less than 1 . It
follows that there exists an ! su
h that for all in S
1
n
X
Xi (!)
i
M
i=1
1 + :
Hen
e, for xi = Xi (!)=M; i n , we are in the hypotheses of Lemma 9.4 so that the
on
lusion readily
follows.
The se
ond proof is shorter and neater but relies on the somewhat more involved tool of Theorem 3.16
and Corollary 3.21. Indeed, while isoperimetri
arguments were used in the rst proof, this was only through
on
entration inequalities whi
h we know, following e.g. (3.2),
an a
tually be established rather easily. The
dis
retization lemmas are not ne
essary in this se
ond approa
h.
2nd proof of Theorem 9.2. If X is a Gaussian random variable with values in B , denote by
n
n
P
P
X1 ; : : : ; Xn independent
opies of X . We apply Corollary 3.21. Set ' = inf k i Xi k; = sup k i Xi k .
jj=1 i=1
jj=1 i=1
Clearly, 0 ' and, by Corollary 3.21,
IEkX k
IEkX k + n(X )
pn(X ) :
IEkX k
258
Choose now X in B a
ording to Lemma 9.3 so that IEkX k >
(log N )1=2 (X ) for some numeri
al
> 0 .
Then, if " > 0 and n = [(") log N where (") > 0
an be
hosen depending on " > 0 only,
IEkX k + n(X )
pn(X )
IEkX k
(log N )1=2 + n
pn
(log N )1=2
1 + ";
so that (!) (1 + ")'(!) . But now, by denition of ' and , for every in IRn with jj = 1 ,
'(!)
n
X
i Xi (!)
i=1
(!):
1
i=1
1+"
whi
h means, by homogeneity, that B
ontains a subspa
e (1+ ") -isomorphi
to `n2 . The proof is
omplete.
Let us note that this se
ond proof provides a dependen
e of (") in fun
tion of " in Theorem 9.2 of the
order of
"2 where
is numeri
al. This is best possible. Re
ently, G. S
he
htman [S
h5 has shown how
the more
lassi
al isoperimetri
approa
h of the rst proof
an be modied so to yield also this dependen
e.
A
ording thus to Theorem 9.1, every innite dimensional Bana
h
ontains `n2 's uniformly. Clearly, this
does not extend to `np 's for p 6= 2 as
an be seen from the example of Hilbert spa
e. Related to this
question, note that if, for 0 < p 2 , (i ) denotes a sequen
e of independent standard p -stable random
variables dened on some probability spa
e (
; A; IP) , then, when p = 2 , (i ) (whi
h is then simply an
orthogaussian sequen
e) spans `2 in Lq = Lq (
; A; IP) for all q , whereas for p < 2 , (i ) spans `p in Lq
only for q < p .
It is remarkable that, at least in the
ase 1 p < 2 , the set of p 's for whi
h a Bana
h spa
e B
ontains
uniformly
an be
hara
terized through a probabilisti
inequality satised by the norm of B . This is
what we would like to des
ribe now in the rest of this se
tion. The
ase p > 2 will be shortly presented
on
e the notion of
otype has been introdu
ed in the next paragraph.
`np 's
Let (i ) denote as usual a sequen
e of independent standard p -stable random variables. For 1 p 2 ,
a Bana
h spa
e B is said to be of stable type p if there is a
onstant C su
h that for every nite sequen
e
(xi ) in B
(9:2)
X
i xi
p;1
C
kxi
kp
!1=p
259
The integrability properties and moment equivalen
es of stable random ve
tors (Chapter 5) tell us that an
equivalent denition of the stable type property is obtained when k kp;1 is repla
ed by any k kr ; r < p .
Further, in terms of innite sequen
es and using a
losed graph argument, B is of stable type p if and only
P
P
if i xi
onverges almost surely whenever kxi kp < 1 . In other words, the existen
e of the spe
tral
i
i
P
measure of the stable variable i xi determines its
onvergen
e. (As we know,
f. (5.13), this is automati
i
when 0 < p < 1 and this is why the range of the stable type is 1 p 2 .) A Bana
h spa
e B of stable
type p is also of stable type p0 for every p0 < p . This is
ontained in Proposition 9.12 below but we may
brie
y anti
ipate one argument in this regard here. We may assume that p > 1 . Then, as a
onsequen
e of
the
ontra
tion prin
iple (Lemma 4.5), for some C , r > 0 and all nite sequen
es (xi ) in B ,
(9:3)
In parti
ular, sin
e p0 < p ,
X
"i xi
C
r
X
IE
"i xi
kxi
kp
!1=p
C 0 k(xi )krp0 ;1
where C 0 = C 0 (r; p; p0 ) . Let now (i ) be a standard p0 -stable sequen
e. Sin
e (i ) has the same distribution
as ("i i ) , this inequality applied
onditionally yields
r
X
IE
i xi
C 0 IEk(i xi )krp0 ;1
hoose (r < p0 ) . Using now Lemma 5.8 and the basi
fa
t that k1 kp0 ;1 < 1 , B is seen to be of stable
type p0 .
As a
onsequen
e of the pre
eding, there is some interest to
onsider the number
(9:4)
Examples of spa
es of stable type p will be given in the next se
tion on
e the general theory of type and
otype has been developed. Let us however mention an important example at this stage. Let 1 q < 2 and
let Lq = Lq (S; ; ) on some measure spa
e (S; ; ) . Then Lq is of stable type p for all p < q . This
an
be seen for example from the pre
eding; indeed, a simple use of Fubini's theorem together with Khint
hine's
inequalities shows that (9.3) holds with r = p = q . It then follows that Lq is of stable type p . Unless
nite dimensional, Lq is however not of stable type q . Indeed, a
ording to (5.19), the
anoni
al basis of
260
`q
annot satisfy the q -stable type inequality (9.2). Sin
e the stable type property
learly only depends on
the
olle
tion of the nite dimensional subspa
es of a given Bana
h spa
e, we have similarly that a Bana
h
spa
e
ontaining `np 's uniformly (1 p < 2) is not of stable type p . The following theorem expresses the
striking fa
t that the
onverse also holds.
Theorem 9.6. Let 1 p < 2 . A Bana
h spa
e B
ontains `np 's uniformly if and only if B is not of
stable type p .
Before turning to its proof, let us rst state some important and useful
onsequen
es of Theorem 9.6.
The rst one expresses that the set of p 's for whi
h a Bana
h spa
e is of stable type p is open. The se
ond
answers the question addressed at the light of Dvoretzky's theorem for the p 's su
h that 1 p 2 . Re
all
p(B ) of (9.4).
Corollary 9.7. Let 1 p < 2 . If a Bana
h spa
e is of stable type p , it is also of stable type p1 for
some p1 > p .
Proof. It is rather elementary to
he
k that the set of p 's in [1; 2 for whi
h a Bana
h spa
e
ontains
`np 's uniformly is a
losed subset of [1; 2 . Therefore its
omplement is open and Theorem 9.6 allows to
on
lude.
Corollary 9.8. The set of p 's of [1; 2 for whi
h an innite dimensional Bana
h spa
e B
ontains `np 's
uniformly is equal to [p(B ); 2 .
Proof. If p(B ) = 2; B
ontains `n2 's uniformly by Theorem 9.1 and if p < 2 , B is of stable type p and
Theorem 9.6
an be applied. By denition of p(B ) and Corollary 9.7, if p(B ) p < 2 , B is not of stable
type p and therefore
ontains `np 's uniformly whereas for p < p(B ) , B is of stable type p and Theorem
9.6 applies again.
We next turn the proof of Theorem 9.6 and, as for Theorem 9.1, will dedu
e this result from some stronger
nite dimensional version. If B is a Bana
h spa
e and 1 < p < 2 , denote by STp(B ) the smallest
onstant
C for whi
h (9.2) with the L1 norm on the left (yielding as we know an equivalent
ondition) holds.
Theorem 9.9. Let 1 < p < 2 and q = p=p 1 be the
onjugate of p . For ea
h " > 0 there exists
p (") > 0 su
h that every Bana
h spa
e B of stable type p
ontains a subspa
e (1 + ") -isomorphi
to `np
where n = [p (")STp (B )q .
261
This statement
learly
ontains Theorem 9.6. Indeed, if 1 < p < 2 and B is not of stable type p , then
STp (B ) = 1 and one
an nd nite dimensional subspa
es of B with
orresponding stable type
onstant
arbitrarily large and hen
e, by Theorem 9.9, B
ontains `np 's uniformly. Sin
e the set of p 's of [1; 2 for
whi
h B
ontains `np 's uniformly is
losed, we rea
h the
ase p = 1 as well. That Bana
h spa
es
ontaining
`np 's uniformly are not of stable type p has been dis
ussed prior to Theorem 9.6.
Proof of Theorem 9.9. It will follow the pattern of the rst proof of Theorem 9.2 and will rely,
through the series representation of stable random ve
tors, on the
on
entration inequality (6.14) for sums of
independent random variables. Let S = 21 STp(B ) ; by denition of STp (B ) , there exist non-zero x1 ; : : : ; xN
in B su
h that
N
X
i=1
N
X
kxi kp = 1 and IE
i=1
i xi
> S
(re
all (i ) is a standard p -stable sequen
e). (This is in a sense the step
orresponding to Lemma 9.3 in
Theorem 9.2 but whereas Lemma 9.3 holds true in any Bana
h spa
e, the stable type
onstant enters the
question here.) Let Y with values on the unit sphere of B be dened as Y = xi =kxi k with probability
kxi kp=2; i N . Let (Yj ) be independent
opies of Y . Then, as a
onsequen
e of Corollary 5.5, X =
N
1 1=p
P
P
p 1=p i xi has the same distribution as
Yj . Consider now
j
i=1
j =1
Z=
1
X
j =1
j 1=p Yj
and let (Xi ) (resp. (Zi ) ) denote independent
opies of X (resp. Z ). Let furthermore = (1 ; : : : ; n )
n
P
in IRn be su
h that
ji jp = 1 . We rst
laim that inequality (6.14) implies that for every t > 0 ,
i=1
(9:5)
(
n
X
IP
i Zi
i=1
n
X
IE
i Zi
i=1
>t
2 exp( tq =Cq ):
i Zi =
1X
n
X
j =1 i=1
i j 1=p Yj;i
whi
h, sin
e the Yj;i are iid and symmetri
, has the same distribution as
1
X
k=1
k Yk
262
where (k )k1 is the non-in
reasing rearrangement of the doubly-indexed
olle
tion fji jj 1=p ; j 1 ,
n
P
1 i ng . It is easily seen, sin
e
ji jp = 1 , that k k 1=p , so that (6.14) applied to the pre
eding
i=1
sum of independent random variables indeed yields (9.5).
From (9.5), the idea of the proof is exa
tly the same as in the proof of Theorem 9.2 and the subspa
e
isomorphi
to `np will be found at random. However, while the Xi 's are stable random variables and
n
P
therefore, by the fundamental stability property, for
ji jp = 1 ,
i=1
n
X
IE
i Xi
(9:6)
i=1
there is no more exa
tly the
ase for the Zi 's. This would however be needed in view of (9.5). But Z is
a
tually
lose enough to X so that this stability property
an almost be safed for the Zi 's. Indeed, we
know from (5.8) that
1
X
IE
Yj ( j 1=p
j =1
1=p )
1
X
j =1
IEj j 1=p
j 1=p j = Dp
where Dp is a nite
onstant depending only on p . Hen
e, by the triangle inequality and Holder's inequality,
n
P
for
ji jp = 1 ,
i=1
n
X
i Xi
IE
i=1
n
X
IE
i Zi
i=1
Dp
n
X
i=1
ji j Dp n1=q :
(9:7)
By (9.6), setting M = IEkX k , we see that
n
X
i Zi
IE
i=1
:
M
2
i=1
M >
2 exp( q M q =2q Cq )
2 exp( q S q =2q
q=p
p Cq ):
263
The proof is almost
omplete. Let R be a -net of the unit sphere of `np whi
h
an be
hosen, a
ording
to Lemma 9.5, with a
ardinality less than exp(2n=) . Then
(
)
!
n
X
2n
q S q
:
IP 8 2 R;
i Zi
M M 1 2 exp
2q
q=p
p Cq
i=1
Given " > 0
hoose = (") > 0 small enough a
ording to Lemma 9.4. Take then = () = (") > 0
su
h that if n = [STp (B )q (STp (B ) being assumed large enough otherwise there is nothing to prove),
(9.7) holds and the pre
eding probability is stri
tly positive. It follows then that one
an nd an ! su
h
that for every in IRn
(1 + ") 1=2
n
X
i=1
ji jp
!1=p
n
X
Zi (!)
i
M
i=1
(1 + ")1=2
n
X
i=1
ji jp
!1=p
(9:8)
C
kxi
kp
!1=p
From the triangle inequality, every Bana
h spa
e is of type 1 . On the other hand, Khint
hine's inequalities
indi
ate that the denition makes sense only for p 2 . Note moreover that the Khint
hine-Kahane
inequalities in the form of moment equivalen
es of Radema
her series (Theorem 4.7) show that repla
ing the
P
p -th moment of "i xi by any other moment leads to an equivalent denition. Furthermore, by a
losed
i
P
P
graph argument, B is of type p if and only if "i xi
onverges almost surely when kxi kp < 1 .
i
k k
sup k
i
X
xi q
C
"i xi
i
q
X
xi C
"i xi
when
!1=q
k
i
q=1 :
264
By Levy's inequalities (Proposition 2.7, (2.7)), or a
tually some easy dire
t argument based on the triangle
inequality, every Bana
h spa
e is of innite
otype whereas, by Khint
hine's inequalities, the denition of
otype q redu
es a
tually to q 2 . The same
omments as for the type apply: any moment of the
Radema
her average in (9.9) leads to an equivalent denition and B is of
otype q if and only if the almost
P
P
sure
onvergen
e of the series "i xi implies kxi kq < 1 .
i
It is
lear from the pre
eding
omments that a Bana
h spa
e of type p (resp.
otype q ) is also of type
p0 for every p0 p (resp. of
otype q0 for every q0 q ). Thus the \best" possible spa
es in terms of the
type and
otype
onditions are the spa
es of type 2 and
otype 2 . Hilbert spa
es have this property sin
e
by orthogonality
X
2
IE
"i xi
kxi k2 :
It is a basi result of the theory due to S. Kwapien [Kw1 that the onverse (up to isomorphism) also holds.
Theorem 9.10. A Bana
h spa
e is of type 2 and
otype 2 if only if it is isomorphi
to a Hilbert spa
e.
If a Bana
h spa
e is of type p and
otype q so are all its subspa
es. A
tually, the type and
otype
properties are seen to depend only on the
olle
tion of the nite dimensional subspa
es. It is not di
ult
to verify that quotients of a Bana
h spa
e of type p are also of type p , with the same
onstant. This is
no more true however for the
otype as is
lear for example from the fa
t that every Bana
h spa
e
an be
realized as a quotient of L1 and that (see below) L1 is of best possible
otype,
otype 2.
To mention examples, let (S; ; ) be a measure spa
e and let Lp = Lp (S; ; ); 1 p 1 . Fubini's
theorem and Khint
hine's inequalities
an easily be used to determine the type and
otype of the Lp -spa
es.
Assume that 1 p < 1 . Then Lp is of type p when p 2 and of type 2 for p 2 . Let us brie
y
he
k
these assertions. Let (xi ) be a nite sequen
e in Lp . Using Lemma 4.1, we
an write that
p
X
IE
"i xi
If p 2 ,
p
X
IE "i xi (s) d(s)
S
jxi
(s)j2
!p=2
d(s)
jxi (s)j2
!p=2
12=p
d(s)A
Bpp
Z X
S i
jxi
X Z
(s)j2
2=p
!p=2
d(s):
kxi kp ;
kxi k2:
265
By
onsidering the
anoni
al basis of `p one
an easily show that the pre
eding result
annot be improved,
i.e., if Lp is innite dimensional, it is of no type p0 > p . It
an be shown similary that Lp is of
otype p for
p 2 and
otype 2 for p 2 (and nothing better). Note that L1 is of
otype 2 as mentioned previously.
We are left with the
ase p = 1 . It is obvious on the
anon
ial basis that `1 is of no type p > 1 and
0
(or `1 ) of no
otype q < 1 . Sin
e L1
ontains isometri
ally any separable Bana
h spa
e, in parti
ular
`1 and
0 , L1 is of type 1 and
otype 1 and nothing more, and similarly
0 . In the same way, C (S )
the spa
e of
ontinuous fun
tions on a
ompa
t metri
spa
e S with the sup norm has no non-trivial type
or
otype.
Using the moment equivalen
es of ve
tor valued Radema
her averages (Theorem 4.7) instead of Khint
hine's inequalities, the pre
eding examples
an easily be generalized. Let B be a Bana
h spa
e of type p
and
otype q . Then, for 1 r 1; Lr (S; ; ; B ) is of type min(r; p) and of
otype max(r; q) .
Let us mention further that the type and
otype properties appear as dual notions. Indeed, if a Bana
h
spa
e B is of type p , its dual spa
e B 0 is of
otype q = p=p 1 . To
he
k this, let (x0i ) be a nite sequen
e
in B 0 . For ea
h " > 0 and ea
h i , let xi in B , kxi k = 1 , su
h that x0i (xi ) = hx0i ; xi i (1 ")kx0i k where
h:; :i is duality. We then have:
X
X
(1 ") kx0 kq hx0 ; xi ikx0 kq 1
i
= IE
i;j
DX
= IE
"i xi kx0i kq 1 ;
1A
1
E
"j x0j A :
kx0i kq
X
"i xi
C
x0i q 1
k k
X
"i x0i
!1=p
X
X
0
p
(
q
1)
0
xi
"i xi
k k
It follows that B 0 is of
otype q (with
onstant C ). The
onverse assertion is not true in general sin
e
`1 is of
otype 2 but `1 is of no type p > 1 . A deep result of G. Pisier [Pi11 implies that the
otype is
dual to the type if the Bana
h spa
e does not
ontain `n1 's uniformly (i.e., by Theorem 9.6, if it is of some
non-trivial type).
266
After these preliminaries and examples on the notions of type and
otype, we now examine several
questions
on
erning the repla
ement in the denitions (9.8) and (9.9) of the Radema
her sequen
e by
some other sequen
es of random variables. We start with a general elementary result. For reasons that will
be
ome
learer in the next se
tion, we only deal with Radon random variables.
Proposition 9.11. Let B be a Bana
h spa
e of type p and
otype q with type
onstant C1 and
otype
onstant C2 . Then, for every nite sequen
e (Xi ) of independent mean zero Radon random variables in
Lp (B ) (resp. Lq (B ) ),
X
p
IE
Xi
and
X
q
IE
Xi
(2C1 )p
(2C2 )
IEkXi kp
IEkXikq
2p IE
p
"i Xi
where ("i ) is a Radema
her sequen
e independent of (Xi ) . Applying (9.8)
onditionally on the Xi 's then
immediately yields the result.
We now investigate the
ase where the Radema
her sequen
e ("i ) is repla
ed by a p -stable standard
sequen
e (i ) (1 p 2) . This will in parti
ular
larify the
lose relationship between the Radema
her
type (9.8) and the stable type dis
ussed in the pre
eding se
tion. Let 1 p 2 . Re
all a Bana
h spa
e B
is said to be of stable type p if there is a
onstant C su
h that for all nite sequen
es (xi ) in B ,
X
i xi
p;1
C
kxi
kp
!1=p
Proposition 9.12. Let 1 p < 2 and let B be a Bana
h spa
e. Then, we have:
(i)
(ii)
267
(iii)
B is of stable type p if and only if there is a
onstant C su
h that for all nite sequen
es (xi ) in
B,
X
IE
Proof. Both (i) and (ii) follow from the more di
ult
laim (iii) but however
an be given simple proofs.
Indeed,
on
erning (i), we may assume p > 1 so that IEji j < 1 and (i) follows from Lemma 4.5. For (ii),
let 1 < p0 < p and (i ) denote a standard p0 -stable sequen
e. Re
all that sin
e p > p0 ,
X
ji
jp
!1=p
p p0
1=p
k(i )kp0 ;1:
Applying
onditionally the type p inequality and the pre
eding, for (xi ) a nite sequen
e in B and some
onstant C not ne
essarily the same at ea
h line,
X
IE
i xi
X
= IE
"i i xi
C IE
ji jp kxi kp
!1=p 1
A
Proposition 9.13. Let 1 p < 2 . A Bana
h spa
e B is of stable type p if and only if there is a
onstant C su
h that for every nite sequen
e (Xi ) of independent symmetri
Radon random variable in
Lp;1 (B ) ,
X
p
Xi
p;1
C sup tp
t>0
268
X
p
Xi
p;1
C
kXi kpp;1:
Proof. The \if" part follows by simply letting Xi = i xi in the se
ond inequality. We establish the
rst inequality (whi
h
learly implies the se
ond) in spa
es of stable type p . Assume by homogeneity that
P
sup tp IPfkXik > tg 1 . Let t > 0 . Sin
e tp IPfmax kXi k > tg 1 ,
i
t>0
X
tp IP
Xi
> t
i
X
1 + tp IP
Xi IfkXi ktg
> t
i
Sin
e B is of stable type p , it is also of type p0 for some p0 > p . Hen
e by Proposition 9.11, for some C ,
(
X
tp IP
Xi
Now
p0
X
0
> t 1 + tp p IE
Xi IfkXi ktg
i
X
1 + Ctp p0 IE(kXi kp0 IfkXi ktg ):
i
)
Z tX
Z t
0
p0 p0 p
dsp
= 0
t
p
s
p p
C
kxi kp
for some
onstant C . Conversely, sin
e Gaussian averages always dominate Radema
her averages ((4.8)),
su
h an inequality implies that B must be of type p . In parti
ular, stable type 2 and Radema
her type 2
are equivalent notions.
We have seen however in a dis
ussion after Lemma 4.5 that
onversely, Radema
her averages do not
always dominate the
orresponding Gaussian ones, in parti
ular in `1 . That is, if in a Bana
h spa
e B ,
269
(9:10)
kq
kxi
q
X
IE
gi xi
;
this inequality does not readily imply that B is of
otype q . This is however true and we now would like
to des
ribe some of the deep steps leading to this
on
lusion, mainly without proofs. The next proposition
already
overs various appli
ations. Re
all that for a (real) random variable , we set
Z 1
k kq;1 = (IPfj j > tg)1=q dt :
0
Proposition 9.14. Let r 1 and let (i ) be a sequen
e of independent symmetri
real random variables
distributed like . If B is a Bana
h spa
e of
otype q0 < 1 and if q = max(r; q0 ) , there is a
onstant C
su
h that for all nite sequen
es (xi ) in B ,
X
i xi
X
"i xi
q;1
C k k
Proof. On some (ri
h enough) probability spa
e, let A be measurable and su
h that IP(A) > 0 .
Set ' = IA ;
onsider independent
opies ('i ) of ' and assume rst that i = "i 'i where ("i ) is an
independent Radema
her sequen
e. We show that in this
ase, for some
onstant C ,
X
x
i
i
(9:11)
C (IP(A))1=q
"i xi
By an easy approximation and the
ontra
tion prin
iple, we may and do assume that IP(A) = 1=N for some
integer N . Let then fA1 ; : : : ; AN g be a partition of the probability spa
e into sets of probability 1=N with
A1 = A . Let further ('ji )i be independent
opies of IAj for all j N . Using that Lr (B ) is of
otype q ,
with
onstant C say, we see that
0
q 11=q
N
X
X
"i 'ji xi
A
j =1
N
X
C
"0j
j =1
!
"i 'ji xi
i
r
where ("0j ) is another independent Radema
her sequen
e. The left hand side of this inequality is just
N
P
P
P
N 1=q k i xi kr . Sin
e j "0j 'ji j = 1 for every i , by symmetry the right side is C k "i xi kr . Thus
i
j =1
270
X
"i Ifji j>tg xi
X
)1=q
"i xi
C (IPfj j > tg
X
"i i xi
j j
C
Z
X
(IPfj j > tg)1=q dt
"i xi
0
i
r
from whi
h the
on
lusion follows sin
e ("i ji j) has the same distribution as (i ) .
Before turning ba
k to the dis
ussion leading to Proposition 9.14, let us note that this result has a dual
version for the type. Namely
Proposition 9.15. Let r 1 and let (i ) be a sequen
e of independent symmetri
real random variables
distributed like . If B is a Bana
h spa
e of type p0 and if p = min(r; p0 ) , there is a
onstant C su
h
that for all nite sequen
es (xi ) in B ,
X
"i xi
p;1
k k
X
C
i xi
This result thus appears as an improvement, in spa
es of some type, of the usual
ontra
tion prin
iple in
whi
h we get k k1 on the left (Lemma 4.5). The proof is entirely similar to the proof of Proposition 9.14;
in the last step, simply use the
ontra
tion prin
iple to see that for every t > 0 ,
X
"i Ifji j>tg xi
1
X
"i ji jxi
:
t
i
It should be noti
ed that Propositions 9.14 and 9.15 are optimal in the sense that they
hara
terize
otype
q0 and type p0 whenever r = q0 , resp. r = p0 . Indeed, if x1 ; : : : ; xN are points in a Bana
h spa
e and if
A is su
h that IP(A) = 1=N , let ('i ) be independent
opies of IA and i = "i 'i . Then
learly
r
N
X
IE
i xi
i=1
r
N
X
IE
"i 'i xi
i=1
=
=
r
N
X
"i 'i xi
dP
i=1 f'j =1 ; 8i6=j ; 'i =0g i=1
"
#
N
X
1
1 N 1
n Z
X
kxj kr N 1 N
j =1
271
N
P
Theorem 9.16. A Bana
h spa
e B is of
otype q for some q < 1 if and only if B does not
ontain
`n1 's uniformly. More pre
isely, if
q(B ) = inf fq; B is of
otype qg
and B is innite dimensional, then B
ontains `nq 's uniformly for q = q(B ) .
Summarizing in parti
ular some of the (dual)
on
lusions of Corollary 9.8 and Theorem 9.16, we retain
that an (innite dimensional) Bana
h spa
e has some non-trivial type (resp.
otype) if and only if it does not
ontain `n1 's (resp. `n1 's) uniformly. Further,
ombining Theorem 9.16 with Proposition 9.14, if a Bana
h
spa
e B does not
ontain `n1 's uniformly, there is a
onstant C su
h that for all nite sequen
es (xi ) in
B,
(9:12)
X
IE
gi xi
X
C IE
"i xi
:
This is thus an improvement in those spa
es over the, in general, best possible inequality (4.9). Conversely
thus, if (9.12) holds in a Bana
h spa
e B , B does not
ontain `n1 's uniformly. By Proposition 9.14,
this
hara
terization easily extends to more general sequen
es of independent random variables than the
orthogaussian sequen
e.
To
on
lude this se
tion, we would like to brie
y indi
ate the (easy) extension of the notions of type and
otype to operators between Bana
h spa
es. A linear operator u : E
272
and F is said to be of (Radema
her) type p; 1 p 2 , if there is a
onstant C su
h that for all nite
sequen
es (xi ) in E ,
X
"i u(xi )
C
kxi
kp
!1=p
kxi
kq
!1=q
X
C
"i u(xi )
Some of the easy properties of type and
otype
learly extend without modi
ations to operators. This
is in parti
ular trivially the
ase for Proposition 9.11 whi
h we use freely below. One
an also
onsider
operators of stable type but, on the basis for example of Proposition 9.12, one may
onsider (possibly)
dierent denitions. We
an say that u : E ! F is of stable type p , 1 p < 2 if for some
onstant C
and all nite sequen
es (xi ) in E ,
(9:13)
X
i u(xi )
p;1
C
kxi
kp
!1=p
X
"i u(xi )
C k(xi )kp;1 :
(9.13) and (9.14) are thus equivalent for the identity operator of a given Bana
h spa
e but, from the la
k
of a geometri
al
hara
terization analogous to Theorem 9.6, these two denitions are a
tually dierent in
general. We refer to [P-R1 for a dis
ussion on this dieren
e as well as on related denitions.
273
random variables, as well as spe
tral measures of stable distributions in spa
es of stable type. Finally, but
however not dire
tly related to type and
otype, we present some results on almost sure boundedness and
onvergen
e of sums of independent random variables in spa
es whi
h do not
ontain isomorphi
opies of
0 .
As announ
ed, sin
e we will be dealing with tightness and weak
onvergen
e properties, we only
onsider
in this
hapter Radon random variables. Equivalently, we may assume we are given a separable Bana
h
spa
e.
We start with the SLLN of Kolmogorov for independent random variables. We have seen in Corollary
7.14 that if (Xi ) is a sequen
e of independent random variables with values in a Bana
h spa
e su
h that for
some 1 p 2 ,
IEkXi kp
< 1;
ip
i
(9:15)
then the SLLN holds, i.e. Sn =n ! 0 almost surely, if and only if the weak law of large numbers holds, i.e.
Sn =n ! 0 in probability. In type p spa
es, and a
tually only in them, the series
ondition (9.15) implies
the weak law Sn =n ! 0 in probability (provided the variables are
entered). This is the
on
lusion of the
next theorem.
Theorem 9.17. Let 1 p 2 . A Bana
h spa
e B is of type p if and only if for every sequen
e (Xi )
of independent mean zero (or only symmetri
) Radon random variables with values in B , the
ondition
P
Proof. Assume rst that B is of type p . As we have seen, by Corollary 7.14 we need only show that
Sn =n ! 0 in probability when
IEkXi kp =ip < 1 and the Xi 's have mean zero. But this is rather trivial
under the type p
ondition. Indeed, by Proposition 9.11, for some
onstant C and all n ,
n
S
p
1 X
IE
n
C p
IEkXi kp :
n
n i=1
The result follows from the
lassi
al Krone
ker's lemma (
f. [Sto). To prove the
onverse, we assume the
SLLN property for random variables of the type Xi = "i xi where xi
sequen
e. Then, if
n
P
i=1
274
Lr (B ) for any r < 1 ) by Theorem 4.7 together with Lemma 4.2. Hen
e, by the
losed graph theorem, for
some
onstant C ,
!1=p
n
X kxi kp
1
X
sup IE
"i xi
C
ip
n n
i=1
i
for every sequen
e (xi ) in B . Given y1 ; : : : ; ym in B , apply this inequality to the sequen
e (xi ) dened
by xi = 0 if i m or i > 2m; xm+1 = y1; xm+2 = y2 ; : : : ; x2m = ym . We get that
m
X
IE
"i yi
i=1
2C
m
X
i=1
kyi
kp
!1=p
Corollary 9.18. A Bana
h spa
e B is of type p for some p > 1 if and only if every sequen
e (Xi ) of
independent symmetri
uniformly bounded Radon random variables with values in B satises the SLLN.
Proof. Ne
essity follows from Theorem 9.17. Conversely, it su
es to prove that if B is of no type
n
P
p > 1 there exists a bounded sequen
e (xi ) su
h that ( "i xi =n) does not
onverge almost surely or in
i=1
L1 (B ) . By Corollary 9.8, together with Proposition 9.12, if B has no non-trivial type, then B
ontains
`n1 's uniformly. Hen
e, for every n , there exist y1n ; : : : ; y2nn in B su
h that kyink 1 , i = 1; : : : ; 2n , and
n
2
X
IE
"i yin
i=1
2n 1:
Dene now (xi ) by letting xi = yjn ; j = i + 1 2n; 2n i < 2n+1 . It follows by Jensen's inequality that
if 2n m < 2n+1 ,
n
m
2
X
1
X
1
1
IE
"i xi
n+1 IE
"i yin
:
m i=1
2
4
i=1
This proves Corollary 9.18.
Further results in Chapter 7
an be interpreted similarly under type
onditions. We do not detail everything but would like to des
ribe the independent and identi
ally distributed (iid)
ase following the dis
ussion
next to Theorem 7.9. To this aim, it is
onvenient to re
ord that Proposition 9.11 is still an equivalen
e
when the random variables Xi have the same distribution. This is, for the type, the
ontent of the following
statement.
275
Proposition 9.19. Let 1 p 2 and let B be a Bana
h spa
e. Assume there is a
onstant C su
h
that for every nite sequen
e (X1 ; : : : ; XN ) of iid symmetri
Radon random variables in Lp (B ) ,
N
X
IE
Xi
i=1
Then B is of type p .
Proof. Let ('j )jN be real symmetri
random variables with disjoint supports su
h that for every
j = 1; : : : ; N ,
1
1
IPf'j = 1g = IPf'j = 1g = (1 IPf'j = 0g) =
:
2
2N
N
P
N
P
Let (xj )jN be points in B . Then X = 'j xj is su
h that IEkX kp = kxj kp =N so that it is enough
j =1
j =1
to show that if X1 ; : : : ; XN are independent
opies of X ,
N
X
IE
Xi
i=1
N
X
IE
"j xj
j =1
for some
> 0 . To this aim, denote by ('ij ); i N , independent
opies of ('j ) , assumed to be independent
from a Radema
her sequen
e ("i ) . By symmetry
N
X
IE
Xi
i=1
N
X
= IE
"j
j =1
N
X
i=1
'ij
xj
i=1
!
N
N
X
X
i
IE '1 IE
"j xj
:
i=1
j =1
i=1
n
X
IE "i 'i1
i=1
Sin
e
IP
we get that
!1=2
!1=2
N
N
X
1
1 X
p IE
j'i1 j2 A = p IE
j'i1 j A :
2
2
i=1
i=1
(
N
X
i=1
j'i1 j = 0
N
X
IE 'i1
i=1
= 1
p1 1
2
1 N
N
1
e
1e ;
13 ;
276
hen
e the announ
ed
laim with
= 1=3 . The proof of Proposition 9.19 is
omplete.
There is an analogous statement for the
otype but the proof involves the deeper tool of Theorem 9.16.
The main idea of the proof is the so-
alled \Poissonization" te
hnique.
Proposition 9.20. Let 2 q < 1 and let B be a Bana
h spa
e. Assume there is a
onstant C su
h
that for every nite sequen
e (X1 ; : : : ; XN ) of iid symmetri
Radon random variables in Lq (B ) ,
N IEkX1 kq
q
N
X
C IE
Xi
:
i=1
Then B is of otype q .
N
X
i=1
N
1 P (
xi
i=1
+ xi ) . Then
kxi kq :
N
P
N
X
i=1
Nei xi
where Nei = Ni (1=2) Ni0 (1=2) and Ni (1=2); Ni0(1=2); i N , are independent Poisson random variables
with parameter 1=2 . Now, by Jensen's inequality
onditionally on (Ni ) (
f. (2.5)),
q
N Ni
X X
IE
Xi;j
i=1 j =0
q
N Ni ^1
X X
IE
Xi;j
:
i=1 j =0
1.
q
N Ni ^1
X X
IE
Xi;j
i=1 j =0
q
N
X
IE
i Xi
i=1
where i ; i N , are independent, and independent from (Xi ) , variables with IPfi = 0g = 1
1g = e 1 . Again by Jensen's inequality (
onditionally on the Xi 's),
q
N
X
IE
i Xi
i=1
e
q
N
X
q IE
Xi
:
i=1
IPfi =
277
kq
kxi
q
N
X
C IE
Xi
i=1
N
X
Ceq IE
i=1
e
Ni xi
Now this inequality
learly
annot hold for all nite sequen
es (xi ) in a Bana
h spa
e B whi
h
ontains
`n1 's uniformly sin
e it does not hold for the
anoni
al basis of `1 . Therefore, by Theorem 9.16, B is of
nite
otype and we are then in a position to appy Proposition 9.14 sin
e IENeip < 1 for all p . The proof
is
omplete.
We now
ome ba
k after this digression to the main appli
ation of Proposition 9.19. We namely investigate
the relationship between the type
ondition and the iid SLLN of Mar
inkiewi
z-Zygmund. If X is a Radon
random variable with values in a Bana
h spa
e B , (Xi ) denotes below a sequen
e of independent
opies
of X and, as usual, Sn = X1 + + Xn , n 1 . Let 1 p < 2 . In Theorem 7.9, we have seen
that Sn =n1=p ! 0 almost surely if and only if IEkX kp < 1 and Sn =n1=p ! 0 in probability. Moreover,
as already dis
ussed thereafter, in type p spa
es, Sn =n1=p ! 0 in probability when IEkX kp < 1 and
IEX = 0 . We now show that this result is
hara
teristi
of the type p property.
Theorem 9.21. Let 1 p < 2 and let B be a Bana
h spa
e. The following are equivalent:
(i)
B is of type p ;
(ii)
Note of ourse that sin e every Bana h spa e is of type 1 we re over Corollary 7.10.
Proof. Let us brie
y re
all the argument leading to (i) ) (ii) already dis
ussed after Theorem 7.9.
Under the type assumption and moment
onditions IEkX kp < 1 and IEX = 0 , the sequen
e (Sn =n1=p )
was shown to be arbitrarily
lose to a nite dimensional sequen
e, and thus tight. Sin
e for every linear
fun
tional f , f (Sn =n1=p ) ! 0 in probability, it follows that Sn =n1=p ! 0 in probability and we
an
on
lude the proof of (i) ) (ii) by Theorem 7.9. Conversely, let us rst show that when IEkX kp < 1 ,
IEX = 0 and Sn =n1=p ! 0 almost surely (or only in probability), then the sequen
e (Sn =n1=p ) is bounded
in L1 (B ) . Sin
e X is
entered, by a symmetrization argument it is enough to treat the
ase of a symmetri
variable X . Then, by Lemma 7.2, we already know that
n
X
sup 1=p IE
Xi IfkXi kn1=p g
n n
i=1
< 1:
278
i=1
n1
1=p IE(kX kI
fkX k>n1=pg )
is uniformly bounded in n . The
laim follows. (One
an also invoke for this result the version of Corollary
10.2 below for n1=p .) By the
losed graph theorem, there exists therefore a
onstant C su
h that for all
entered random variables X with values in B
1
IEkSnk C (IEkX kp)1=p :
1
n n =p
sup
Theorem 9.22. Let 1 p < 2 and let B be a Bana
h spa
e. The following are equivalent:
(i)
B is of stable type p ;
(ii)
for every symmetri
Radon random variable X with values in B; Sn =n1=p ! 0 in probability if and
p
only if tlim
!1 t IPfkX k > tg = 0 .
Proof. We have noti
ed next to Theorem 7.9 that (ii) holds true in nite dimensional spa
es. The
impli
ation (i) ) (ii) is then simply based on Proposition 9.13 and a nite dimensional argument as in
p
1=p
Theorem 9.21. That tlim
!1 t IPfkX k > tg = 0 when Sn =n ! 0 in probability is a simple
onsequen
e of
Levy's inequality (2.7) and Lemma 2.6; indeed, for ea
h " > 0 and all n large enough,
1
4
The impli
ation (ii) ) (i) is obtained as in the last theorem via (iii) of Proposition 9.12 and some
are in
the
losed graph argument.
Some more appli
ations of the type
ondition in
ase of the law of the iterated logarithm have been
des
ribed in Chapter 8 (Corollary 8.8) and we need not re
all them here. We now would like to investigate
some
onsequen
es related to the next
hapter on the
entral limit theorem. They deal with pregaussian
variables.
A Radon random variable X with values in a Bana
h spa
e B su
h that for every f in B 0 ; IEf (X ) = 0
and IEf 2 (X ) < 1 , is said to be pregaussian if there exists a Gaussian Radon variable X in B with the same
279
ovarian
e stru
ture as X , i.e. for all f; g in B 0 , IEf (X )g(X ) = IEf (G)g(G) (or just IEf 2(X ) = IEf 2 (G) ).
Sin
e the distribution of a Gaussian variable is entirely determined by the
ovarian
e stru
ture, we denote
with some abuse by G(X ) a Gaussian variable with the same
ovarian
e stru
ture as the pregaussian variable
X . The
on
ept of pregaussian variables and their integrability properties are
losely related to type 2 and
otype 2 . The following easy lemma is useful in this study.
Lemma 9.23. Let X be a pregaussian Radon random variable with values in a Bana
h spa
e B and with
asso
iated Gaussian G(X ) . Let Y be a Radon random variable in B su
h that for all f in B 0 , IEf 2 (Y )
IEf 2 (X ) (and IEf (Y ) = 0 ). Then Y is pregaussian and, for all p > 0 , IEkG(Y )kp 2IEkG(X )kp .
Proof. Sin
e Y is Radon, we may assume that it is
onstru
ted on some probability spa
e (
; A; IP) with
A
ountably generated. In parti
ular, L2 (
; A; IP) is separable and we
an nd a
ountable orthonormal
basis (hi )i1 of L2(
; A; IP) . Sin
e Y is Radon (
f. Se
tion 2.1), IE(hi Y ) denes an element of B for
n
P
every i . For every n , let now Gn = gi IE(hi Y ) where (gi ) is an orthogaussian sequen
e. By Bessel's
i=1
inequality, for every n and f in B 0 ,
IEf 2(Gn ) IEf 2 (Y ) IEf 2 (X ) = IEf 2 (G(X )):
Using (3.11), the Gaussian sequen
e (Gn ) is seen to be tight in B . Sin
e IEf 2(Gn ) ! IEf 2 (Y ) , the limit is
unique and (Gn )
onverges almost surely (It^o-Nisio) and in L2(B ) to a Gaussian Radon random variable
G(Y ) in B with the same
ovarian
e as Y . Sin
e IPfkG(Y )k > tg 2IPfkG(X )k > tg for all t > 0 also
follows from (3.11), the proof is
omplete.
Note that the fa
tor 2 in Lemma 9.23 and its proof is a
tually not needed as follows from the deeper
result des
ribed after (3.11). As a
onsequen
e of Lemma 9.23, note also that the sum of two pregaussian
variables is also pregaussian. Further, if X is pregaussian and if A is a Borel set su
h that XIfX 2Ag has
still mean zero, then XIfX 2Ag is also pregaussian.
To introdu
e to what follows, let us brie
y
hara
terize pregaussian variables in the sequen
e spa
es
`p ; 1 p < 1 . Let X = (Xk )k1 be weakly
entered and square integrable with values in `p . Let G =
(Gk )k1 be a Gaussian sequen
e of real variables with
ovarian
e stru
ture determined by IEGk G` = IEXk X`
for all k; ` . G is the natural
andidate for G(X ) . Note that IEjGk jp =
p (IEjGk j2 )p=2 =
p (IEjXk j2 )p=2
where
p = IEjgjp , g standard normal. It follows that if
1
X
(9:16)
(IEjXk j2 )p=2 < 1;
k=1
280
by a simple approximation, G is seen to dene a Gaussian random variable with values in `p with the same
ovarian
e stru
ture as X and su
h that
1
X
IEkGkp =
k=1
IEjGk jp =
1
X
k=1
Therefore X = (Xk )k1 in `p; 1 p < 1 , is pregaussian if and only if (9.16) holds. More generally, it
an
be shown that X with values in Lp = Lp (S; ; ); 1 p < 1 , where is -nite, is pregaussian if and
only if (it has weak mean zero and)
Z
The next two propositions are the main observations on pregaussian random variables and their relations
to type 2 and
otype 2 .
Proposition 9.24. Let B be a Bana
h spa
e. Then B is of type 2 if and only if every mean zero Radon
random variable X with values in B su
h that IEkX k2 < 1 is pregaussian and we have the inequality
IEkG(X )k2 C IEkX k2
for some
onstant C depending only on the type 2
onstant of B . The equivalen
e is still true when
IEkX k2 < 1 is repla
ed by X bounded.
Proposition 9.25. Let B be a Bana
h spa
e. Then B is of
otype 2 if and only if ea
h pregaussian
(Radon) random variable X with values in B satises IEkX k2 < 1 and we have the inequality
IEkX k2 C IEkG(X )k2
for some
onstant C depending only on the
otype 2
onstant of B . The equivalen
e is still true when
IEkX k2 < 1 is repla
ed by IEkX kp < 1 for some 0 < p 2 .
Proof of Proposition 9.24. We know from Proposition 9.11 that if B is of type 2 , for some C > 0
and all nite sequen
es (xi ) in B ,
2
X
IE
gi xi
C
kxi k2 :
281
Let now X with IEX = 0 and IEkX k2 < 1 . There exists an in
reasing sequen
e (AN ) of nite algebras su
h that if X N = IEAN X , X N ! X almost surely and in L2(B ) . Sin
e AN is nite, X N
an
P
be written as a nite sum xi IAi with the Ai disjoint. Then
i
G(X N ) =
kxi k2 IP(Ai )
so that IEkG(X N )k2 C IEkX N k2 C IEkX k2 whi
h thus holds for every N . Sin
e the type 2 inequality
also holds for quotient norms (with the same
onstant), the sequen
e (G(X N )) of Gaussian random variables
is seen to be tight. Sin
e further IEf 2 (G(X N )) = IEf 2 (X N ) ! IEf 2 (X ) for every f in B 0 ; (G(X N ))
ne
essarily
onverges weakly to some Gaussian variable G(X ) with the same
ovarian
e stru
ture as X .
By Skorokhod's theorem,
f. Se
tion 2.1, one obtains that IEkG(X )k2 C IEkX k2 . This establishes the
rst part of Proposition 9.24.
Conversely, it is su
ient to show that if every
entered variable X su
h that kX k1 1 is pregaussian,
P
then B is type 2 . Let (xi ) be a sequen
e in B su
h that kxi k2 = 1 . Consider X with distribution
i
X = xi =kxi k with probability kxi k2=2 . By hypothesis X is pregaussian and G(X ) must be gi xi
i
P
whi
h therefore denes a
onvergent series. So is then "i xi and the proof is
omplete.
i
Proof of Proposition 9.25. Assume rst B is of
otype 2 . Then for some
onstant C and all nite
sequen
es (xi ) in B
(9:17)
kxi k2 C IEk
gi xi k2:
(This is a priori weaker than the
otype 2 inequality with Radema
hers { see (9.10) and Remark 9.26
below). Given X pregaussian with values in B , let Y = "XIfkX ktg where t > 0 and " is a Radema
her
random variable independent of X . By Lemma 9.23, Y is again pregaussian and IEkG(Y )k2 2IEkG(X )k2 .
Arguing then exa
tly as in the rst part of the proof of Proposition 9.24 by nite dimensional approximation,
one obtains that
IEkY k2 C IEkG(Y )k2 2C IEkG(X )k2 :
Sin
e t > 0 is arbitrary, it follows that IEkX k2 < 1 and the inequality of the proposition holds.
Turning to the
onverse, let us rst show that, given 0 < p 2 , if every pregaussian variable X in B
P
satises IEkX kp < 1 , then (9.17) holds. We a
tually show that if gi xi
onverges almost surely, then
i
282
kxi k2 < 1 . We assume p < 2 , whi h is the most di ult ase, and set r = 2=2 p . Let i be positive
numbers su h that
P r
= 1 and dene X by:
r)=p
X = (1
xi with probability ri =2:
i
P
IEkX kp =
i kxi kp < 1:
P
laim.
To
on
lude the proof, let us show how (9.17) implies that B is of
otype 2 . Re
all rst we proved
before that (9.17) implies
IEkX k2 2C IEkG(X )k2
(9:18)
for every pregaussian variable X in B . Let (xi ) be a nite sequen
e in B . For every t > 0 ,
X
gi xi
X
X
gi Ifjgi jtg xi
+
gi Ifjgi j>tg xi
i
i
2
2
X
X
t
"i xi
+
gi Ifjgi j>tg xi
where we have used the
ontra
tion prin
iple. If we now apply (9.18) to X =
2
X
IE
gi Ifjgi j>tg xi
2
X
fjgj>tg )IE
gi xi
:
2C IE(jgj2 I
Choose now t > 0 be small enough in order for IE(jgj2 Ifjgj>tg ) to be less than (8C)
(9.17), we then obtain that
X
kxi k2
2
X
C IE
gi xi
2
X
4t2 C IE
"i xi
:
1.
Together with
283
Remark 9.26. The pre
eding proof indi
ates in parti
ular that a Bana
h spa
e B is of
otype 2 if and
only if for all nite sequen
es (xi ) in B
X
2
X
C IE
gi xi
:
kxi k2
This
an also be obtained by the
onjun
tion of Proposition 9.14 and Theorem 9.16. The pre
eding dire
t
proof in this
ase is however simpler sin
e it does not use the deep Theorem 9.16.
After pregaussian random variables, we dis
uss some results on spe
tral measures of stable distributions
in spa
es of stable type. If B is a Bana
h spa
e of stable type p , 1 p < 2 , and if (xi ) is a sequen
e in
P
P
B su
h that kxi kp < 1 , then the series i xi
onverges almost surely and denes a p -stable Radon
i
i
random variable in B . In other words, if m is the nite dis
rete measure
m=
kxi kp (
2
kX kp;1
C jmj1=p
=C
Z
1=p
kxkpdm(x)
for some
onstant C depending only on the stable type p property of B . Re
all from Chapter 5 that m
symmetri
ally distributed on the unit sphere of B is unique. Re
all further (
f. Corollary 5.5) that if X
is a p -stable Radon random variable with values in a Bana
h spa
e B , there exists a spe
tral measure m
R
R
of X su
h that kxkp dm(x) < 1 . The parameter p (X ) of X is dened as p (X ) = ( kxkp dm(x))1=p
(whi
h is unique among all possible spe
tral measures) and we always have (
f. (5.13))
Kp 1 p (X ) kX kp;1:
This inequality is two-sided when 0 < p < 1 and what we have just seen is that when 1 p < 2 and
P
kxi kp < 1 in a Bana
h spa
e of stable type p; X = P i xi
onverges almost surely and kX kp;1
i
i
Cp (X ) . This property a
tually extends to general measures on type p -stable Bana
h spa
es.
Theorem 9.27. Let 1 p < 2 . A Bana
h spa
e B is of stable type p if and only if every positive
R
nite Radon measure m on B su
h that kxkp dm(x) < 1 is the spe
tral measure of a p -stable Radon
random ve
tor X in B . Furthermore, if this is the
ase, there exists a
onstant C su
h that
kX kp;1 C
Z
kxkp dm(x)
1=p
284
Proof. The
hoi
e of a dis
rete measure m as above proves the \if" part of the statement. Suppose now
that B is of stable type p . Let m1 denote the image of the measure kxkp dm(x) by the map x ! x=kxk .
Let further Yj be independent random variables distributed like m1 =jm1j . The natural
andidate for X
is given by the series representation
1
X
1=p
1
=p
p jm1 j
"j Yj
j
j =1
(
f. Corollary 5.5). In order to show that this series
onverges, note the following: sin
e B is of stable
type p , by Corollary 9.7 together with Proposition 9.12 (i), B is of Radema
her type p1 for some p1 > p .
Therefore
0
11=p1
1
1
X
X 1=p
IE
j
"j Yj
C j p1 =p A
<1
j =1
j =1
from whi
h the required
onvergen
e easily follows. X thus denes a p -stable random variable with spe
tral
measure m1 and therefore also m . The inequality of the theorem follows from the same argument (and
from some of the elementary material in Chapter 5).
As yet another appli
ation, let us brie
y mention an alternate approa
h to p -stable random variables
in Bana
h spa
es of stable type p . This approa
h goes through sto
hasti
integrals and follows a
lassi
al
onstru
tion of S. Kakutani. Let (S; ; m) be any measure spa
e. Dene a p -stable random measure M
based on (S; ; m) in the following way: (M (A))A2 is a
olle
tion of real random variables su
h that
for every A , M (A) is p -stable with parameter m(A)1=p and whenever (Ai ) are disjoint, the sequen
e
P
(M (Ai )) is independent. For a step fun
tion ' of the form ' = i IAi ; i 2 IR; Ai 2 disjoint, the
i
R
sto
hasti
integral 'dM is well-dened as
Z
'dM =
i M (Ai ):
R
It is a p -stable random variable with parameter k'kp = ( j'jp dm)1=p . Therefore, by a density argument,
R
it is easy to dene the sto
hasti
integral 'dM for any ' in Lp (S; ; m) .
The question now raises of the possibility of this
onstru
tion for fun
tions ' taking their values in a
Bana
h spa
e B . As suspe
ted, the
lass of Bana
h spa
es B of type p -stable is the one in whi
h the
R
R
pre
eding sto
hasti
integral 'dM
an be dened when k'kp dm < 1 . In
ase ' is the identity map on
R
B , 'dM is a p -stable random variable in B with spe
tral measure m so that we re
over the
on
lusion
of Theorem 9.27.
285
Proposition 9.28. Let 1 p < 2 . A Bana
h spa
e B is of stable type p if and only if for any measure
R
spa
e (S; ; m) and any p -stable random measure M based on (S; ; m) the sto
hasti
integral 'dM
R
with k'kp dm < 1 denes a p -stable Radon random variable with values in B and
Z
'dM
p;1
C
Z
1=p
k'kp dm
Proof. Su
ien
y is embedded in Theorem 9.27 with the
hoi
e for ' of the identity on (B; m) .
P
Conversely, if ' is a step fun
tion xi IAi with xi in B and Ai mutually disjoint,
i
'dM
p;1
'dM =
xi M (Ai )
C
m(Ai )kxi
kp
!1=p
=C
Z
1=p
k'kpdm
Hen
e the map ' ! 'dM
an be extended to a bounded operator from Lp (m; B ) into Lp;1 (B ) , and a
fortiori into L0 (B ) . This
on
ludes the proof of Proposition 9.28.
We
on
lude this
hapter with a result on almost sure boundedness and
onvergen
e of sums of independent
random variables in spa
es whi
h do not
ontain subspa
es isomorphi
to the spa
e
0 of all s
alar sequen
es
onvergent to 0 . This result is not dire
tly related to type and
otype sin
e these are lo
al properties in
the sense that they only depend on the
olle
tion of nite dimensional subspa
es of the given spa
e whereas
the property dis
ussed here involves innite dimensional subspa
es. It is however natural and
onvenient for
further purposes to re
ord this result at this stage.
Let (Xi ) be a sequen
e of independent real symmetri
random variables su
h that the sequen
e (Sn ) of
the partial sums is almost surely bounded, i.e. IPfsup jSn j < 1g = 1 . Then, it is well-known that (Sn ) is
n
almost surely
onvergent. This is a
tually
ontained in one of the steps of the proof of Theorem 2.4 but let
us emphasize here the argument. Let ("i ) be a Radema
her sequen
e independent of (Xi ) and re
all the
partial integration notations IP" ; IPX ; IE" ; IEX . By symmetry and the assumption, for every > 0 , there
exists a nite number M su
h that for all n
(
n
X
IP "i Xi
i=1
M 1 2 :
286
A=
i=1
M 1 ;
then IPX (A) 1 . Now, if 1=8 , by Lemma 4.2 and (4.3), for every ! in A ,
n
X
i=1
n
P
Xi
(!)2
2
n
X
IE" "i Xi (!)
i=1
p
2 2M :
P
Hen
e, for all n; IPf Xi (!)2 2 2M g 1 . It follows that Xi2 < 1 almost surely. Thus, by
i
P i=1
Fubini's theorem, "i Xi
onverges almost surely and the
laim follows.
i
It
an easily be shown that this argument extends, for example, to Hilbert spa
e valued random variables.
A
tually, this property is satised for random variables taking their values in, and only in, Bana
h spa
es
whi
h do not
ontain subspa
es isomorphi
to
0 . This is the
ontent of the next theorem. A sequen
e (Yn )
of random variables is almost surely bounded if IPfsup kYn k < 1g = 1 .
n
(ii)
for every sequen
e (Xi ) of independent symmetri
Radon random variables in B , the almost sure
boundedness of the sequen
e (Sn ) of the partial sums implies its
onvergen
e;
(iii)
(iv)
n
P
i=1
n
P
i=1
Proof. The impli
ations (ii) ) (iii) ) (iv) are obvious. Let us show that (iv) ) (ii). Let (Xi )
in B with sup kSnk < 1 with probability one and let ("i ) be a Radema
her sequen
e independent of
n
(Xi ) . By symmetry and Fubini's theorem, for almost all ! on the probability spa
e supporting the Xi 's,
n
P
sup k "i Xi (!)k < 1 almost surely. Hen
e, by (iv), Xi (!) ! 0 . Similarly, if we take blo
ks for any
n i=1
P
stri
tly in
reasing sequen
e (nk ) of integers,
Xi ! 0 almost surely when k ! 1 . Hen
e
nk <ink+1
Snk+1 Snk ! 0 in probability and by Levy's inequality (2.6), (Sn ) is a Cau
hy sequen
e in probability,
and thus
onvergent. Therefore (ii) holds by Theorem 2.4.
The main point in this proof is the equivalen
e between (i) and (iv). That (iv) ) (i) is
lear by the
hoi
e of xi = ei , the
anoni
al basis of
0 . Let us then show the
onverse impli
ation and let us pro
eed
287
by
ontradi
tion. Let (xi ) be a sequen
e in B su
h that inf kxi k > 0 and IPfsup k
i
n
P
"i xi k < 1g = 1 .
1; +1gIN equipped
i=1
A = fsup k
n
n
X
i=1
"i xi k M g:
By the previous observation, we
an dene indu
tively an in
reasing sequen
e of integers (ni ) su
h that for
every sequen
e of signs (ai ) and every k ,
(9:19)
Put "0i = "i if i is one of the nj 's, "0i = "i if not. The sequen
es ("i ) and ("0i ) are equidistributed.
Therefore, if
)
(
n
X
0
0
A = sup
" xi
M ;
i
n
i=1
(9.19) also holds for A0 with respe
t to ("0i ) . Sin
e "ni = "0ni and IPf"ni = ai ; i kg = 2 k , it follows by
interse
tion that there is an ! in A \ A0 su
h that "ni = ai for all i = 1; : : : ; k . Thus
k
X
ai xni
i=1
0
nk
1 X
"j (!)xj
2
j =1
1
+ "0j (!)xj A
j =1
nk
X
M:
Sin
e the integer k and the signs a1 ; a2 ; : : : ; ak have been xed arbitrary, this inequality implies that the
P
P
series
xni is weakly un
onditionally
onvergent, that is jf (xni )j < 1 for every f in B 0 , while
i
i
inf
k
x
k
>
0
.
The
on
lusion
is
then
obtained
from
the
following
lassi
al result on basi
sequen
es in
n
i
i
Bana
h spa
es.
P
Lemma 9.30. Let (yi ) be a sequen
e in a Bana
h spa
e B su
h that for every f in B 0 , jf (yi )j < 1 ,
i
and su
h that inf kyi k > 0 . Then, there exists a subsequen
e (yik ) of (yi ) whi
h is equivalent to the
i
anoni
al basis of
0 in the sense that, for some C > 0 and all nite sequen
es (k ) of real numbers,
1 max j j
k
k
X
k yik
C max
jk j :
k
288
X
sup k f (yik )
kf k1
max
jk j sup
k
kf k1 k
jf (yik )j C max
jk j :
k
This proves the lemma whi h thus on ludes the proof of Theorem 9.29.
Remark 9.31. As a
onsequen
e of Theorem 9.29, and more pre
isely its proof, if (Xi ) is a sequen
e of
independent symmetri
Radon random variables with values in a Bana
h spa
e B su
h that sup kSn k < 1
n
almost surely but (Sn ) does not
onverge, there exist an ! and a subsequen
e (ik ) = (ik (!)) su
h that
(Xik (!)) is equivalent to the
anoni
al basis of
0 . Indeed, the various assertions of the theorem are
obviously equivalent to say that if sup kSn k < 1 , then Xi ! 0 almost surely. By Fubini's theorem, there
n
n
P
exists an ! on the spa
e supporting the Xi 's su
h that sup k "i Xi (!)k < 1 but inf
kXi (!)k > 0 . The
i
n i=1
remark then follows from the proof of the impli
ation (i) ) (iv).
289
lo
al theory of Bana
h spa
es. A detailed a
ount on appli
ations of isoperimetri
inequalities and
on
entration of measure phenomena to Geometry of Bana
h spa
es may be found in [Mi-S. The \
on
entration
dimension" of a Gaussian variable was introdu
ed by G. Pisier [Pi16 (see also [Pi18) in a Gaussian version
of Dvoretzky's theorem and the rst proof of Theorem 9.2 is taken from [Pi16. The se
ond proof is due
to Y. Gordon [Gor1, [Gor2. The Dvoretzky-Rogers lemma appeared in [D-R; various simple proofs are
given in the modern literature, e.g. [F-L-M, [Mi-S, [Pi16, [TJ2. The fundamental Theorems 9.6 and 9.16
are due to B. Maurey and G. Pisier [Mau-Pi, with an important
ontribution by J.-L. Krivine [Kr. The
proof of Theorem 9.6 through stable distributions and their representation is due to G. Pisier [Pi12 and was
n
motivated by the results of W.B. Johnson and G. S
he
htman on embedding `m
p into `1 [J-S1. Embeddings
via stable variables had already been used in [B-DC-K.
The notions of type and
otype of Bana
h spa
es were expli
itely introdu
ed by B. Maurey in the MaureyS
hwartz Seminar 1972/73 (see also [Mau1) and independently by J. Homann-Jrgensen [HJ1 (
f. [Pi15).
The basi
Theorem 9.10 is due to S. Kwapien [Kw1. Proposition 9.12 (iii) was known sin
e the paper
[M-P2 in whi
h Lemma 5.8 is established. Proposition 9.13
omes from [Ro1 (improved in this form
in [Led4 and [Pi16). Comparison of averages with symmetri
random variables in Bana
h spa
es not
ontaining `n1 's is des
ribed in [Mau-Pi. The proof of Proposition 9.14 is however due to S. Kwapien
[Pi16. We learned its optimality as well as its dual version (Proposition 9.15) from G. S
he
htman and
J. Zinn (personal
ommuni
ation). Operators of stable type and their possible dierent denitions (in the
ontext of Probability in Bana
h spa
es) are examined in [P-R1.
The relation of the strong law of large numbers (SLLN) with geometri
onvexity
onditions goes ba
k to
the origin of Probability in Bana
h spa
es. In 1962, A. Be
k [Be showed that the SLLN of Corollary 9.18
holds if and only if B is B -
onvex; a Bana
h spa
e B is
alled B -
onvex if for some " > 0 and some integer
n , for all sequen
es (xi )in in the unit ball of B , one
an nd a
hoi
e of signs ("i )in ; "i = 1 , with
n
k P "i xi k (1 ")n . This property was identied to B not
ontaining `n1 's in [Gi and then
ompletely
i=1
elu
itated with the
on
ept of type by G. Pisier [Pi1. Theorem 9.17 is due to J. Homann-Jrgensen and
G. Pisier [HJ1, [Pi1, [HJ-P. Note the prior
ontribution [Wo1 in smooth normed spa
es. Proposition 9.19
was observed in [Pi3 while Proposition 9.20 is taken from the paper [A-G-M-Z. More on \Poissonization"
may be found there as well as in, e.g., [A-A-G and [Ar-G2. A. de A
osta established Theorem 9.21 in [A
6,
partly motivated by the results of M.B. Mar
us and W.A. Woy
zynski [M-W on weak laws of large numbers
and stable type (Theorem 9.22, but [M-W goes beyond this statement). More SLLN's are dis
ussed in
[Wo2. See also [Wo3.
290
Lemma 9.23 is part of the folklore on pregaussian
ovarian
es. (9.16) goes ba
k to [Va1. Propositions
9.24 and 9.25 have been noti
ed by many authors, e.g. [Pi3, [Ja2, [C-T2, [A-G (attributed to X. Fernique),
[Ar-G2 (through the
entral limit theorem), et
. Theorem 9.27 has been dedu
ed by several authors from
more general statements on Levy measures and their integrability properties (
f. [Ar-G2, [Li). The proof
through the representation is borrowed from [Pi16 as also the approa
h through sto
hasti
integrals (see
also [M-P3, [Ro2). Note that while Lp -spa
es, 1 p < 2 , are not of stable type, one
an still des
ribe
spe
tral measures of p -stable random variables in Lp . The proof goes again through the representation
together with arguments similar to those used in (5.19) (that this study a
tually extends). One
an show
for example in this way that if m is a (say) probability measure on the unit sphere of `p and if Y = (Yk )
has law m , then m is the spe
tral measure of a p -stable random variable in `p ; 1 p < 2 , if and only if
X
IE jYk
jp
1 + log+
jYk j < 1:
kYk kp
This has been known by S. Kwapien and G. Pisier for some time and presented in [C-R-W and [G-Z1.
That Sn
onverges almost surely when supn jSn j < 1 for real random variables is
lassi
ally dedu
ed
from Kolmogorov's
onverse inequality (and the three series theorem). Theorem 9.29 on Bana
h spa
es not
ontaining
0 is due to J. Homann-Jrgensen [H-J2 and S. Kwapien [Kw2 (for the main impli
ation (i)
) (iv)). Lemma 9.30 goes ba
k to [B-P (
f. [Li-T1).
291
292
293
On
e this denition has been given, one of the main questions is of
ourse to de
ide when a random
variable X satises the CLT, and if possible in terms only of the distribution of X . It is well-known that
on the line a random variable X satises the CLT if and only if IEX = 0 and IEX 2 < 1 , and if X
p
satises the CLT, the sequen
e (Sn = n)
onverges weakly to a normal distribution with mean zero and
varian
e IEX 2 . The su
ienty part
an be established by various methods, for example Levy's method of
hara
teristi
fun
tions or Lindeberg's trun
ation approa
h.
We would like to outline here the ne
essity of IEX 2 < 1 whi
h is parti
ularly
lear using the methods
developed so far in this book (and somewhat annoying by the usual ones). Let us show more pre
isely that
p
if the sequen
e (Sn = n) is sto
hasti
ally bounded (of
ourse ne
essary for X to satisfy the CLT), then
IEX = 0 and IEX 2 < 1 . On
e IEX 2 < 1 has been shown, the
entering will be obvious from the strong
law of large numbers. Further, repla
ing X by X X 0 where X 0 is an independent
opy of X , we
an
assume without loss of generality that X is symmetri
. For every n 1 and i = 1; : : : ; n , let
ui = ui (n) =
By the
ontra
tion prin
iple (Lemma 6.5), for any t > 0 ,
(
n
X
IP ui
i=1
>t
By hypothesis,
hoose t = t0 independent of n su
h that the right side of this inequality is less than 1=72 .
By Proposition 6.8, we get that
n
X
IE
i=1
ui
18(1 + t20 )
IE jX j2 IfjX jpng
18(1 + t20 )
294
spa
e of
otype 2. Indeed, the orthogonality property leading to (10.1) is just the
otype 2 inequality. There
are however spa
es in whi
h the CLT does not ne
essarily imply that IEkX k2 < 1 . Rather than to give
an example at this stage, we refer to the forth
oming Proposition 10.8 in whi
h we will a
tually realize that
IEkX k2 < 1 is ne
essary for X to satisfy the CLT (in and) only in
otype 2 spa
es.
If X satises the CLT in B however, for any linear fun
tional f in B 0 , the s
alar random variable
p
f (X ) satises the CLT with limiting Gaussian with varian
e IEf 2 (X ) < 1 . Hen
e, the sequen
e (Sn = n)
a
tually
onverges weakly to a Gaussian random variable G = G(X ) with the same
ovarian
e stru
ture
as X . In other words and in the terminology of Chapter 9, a random variable X satisfying the CLT is
ne
essarily pregaussian. By Proposition 9.25, we
an then re
over in parti
ular that a random variable X
with values in a Bana
h spa
e B of
otype 2 satisfying the CLT is su
h that IEkX k2 < 1 .
We mentioned above that in general a random variable satisfying the CLT does not ne
essarily have a
strong se
ond moment. What
an then be said on the integrability properties of the norm of X when X
satisfy the CLT in an arbitrary Bana
h spa
e? The next lemma des
ribes the best possible result in this
dire
tion. It shows that if the strong se
ond moment is not always available, nevertheless a
lose property
holds. The gap however indu
es
on
eptually a rather deep dieren
e.
Lemma 10.1. Let X be a random variable in B satisfying the CLT. Then X has mean zero and
lim t2 IPfkX k > tg = 0 :
t!1
Proof. The mean zero property follows from the se
ond result together with the law of large numbers.
Repla
ing X by X X 0 where X 0 is an independent
opy of X and with some trivial desymmetrization
argument, we need only
onsider the
ase of a symmetri
random variable X . Let 0 < " 1 . For any
p
t > 0 , if G = G(X ) denotes the limiting Gaussian distribution of the sequen
e (Sn = n) ,
k
Sn k
lim sup IP p > t IPfkGk tg :
n
n!1
Sin
e G is Gaussian, IEkGk2 < 1 and we
an therefore nd t0 = t0 (") ( 3 ) large enough so that
2
IPfkGk t0 g "t0 2 . (We are thus a
tually only using that tlim
!1 t IPfkGk > tg = 0 , the property we
would like to establish for X .) Hen
e, there exists n0 = n0 (") su
h that for all n n0
k
Sn k
IP p > t0 2"t0 2 :
n
295
p
1
IPfmax kXi k > t0 ng 4"t0 2 ( ) :
in
2
By Lemma 2.6,
whi
h therefore holds for all n n0 . Let now t be su
h that t0 n t < t0 n + 1 for some n n0 .
Then
p
t2 IPfkX k > tg t20 (n + 1)IPfkX k > t0 ng 16" ;
that is,
It is useful to observe that the pre
eding argument
an also be applied to Sk = k instead of X for
p
ea
h xed k with bounds uniform in k . Indeed, if Y1 ; : : : ; Ym denote independent
opies of Sk = k , then
m
p
P
p
Yi = m has the same distribution as Smk = mk and the argument remains the same. In this way, we
i=1
an state the following
orollary to the proof of Lemma 10.1.
kpSn k > t = 0 :
n
Sn
p
sup IE
n
n
< 1:
It will be
onvenient for the sequel to retain a simple quantitive version of this result that immediately
folows from the proof of Lemma 10.1 and the pre
eding observation; namely, if, for some " > 0 ,
(10:2)
sup IP
n
Let us mention further that the pre
eding argument leading to Corollary 10.2 extends to more general
normalization sequen
es (an ) like e.g., an = n1=p , 0 < p < 2 , or an = (2nLLn)1=2 sin
e the only property
296
Corollary 10.2, one
an use Homann-Jrgensen's inequalities. Combine to this aim Proposition 6.8, Lemma
7.2 and Lemma 10.1.
In the following, we adopt the notation
CLT (X ) =
Sn
sup IE
n
n
By Corollary 10.2, CLT (X ) < 1 when X satises the CLT. It will be seen below that CLT () denes a
norm on the linear spa
e of all random variables satisfying the CLT.
At this point, we would like to open a parenthesis and mention a few words about what
an be
alled
the bounded form of the CLT. We
an say indeed that a random variable X with values in B satises the
bounded CLT if the sequen
e (Sn = n) is bounded in probability, that is, if for ea
h " > 0 there is a positive
nite number A su
h that
kS k
sup IP pn > A < " :
n
n
The proofs of Lemma 10.1 and Corollary 10.2 of
ourse
arry over to
on
lude that if X satises the bounded
CLT, then IEX = 0 and
sup sup t2 IP
t>0 n
2 spa
es. In the s
alar
ase therefore, the bounded and true CLT are equivalent, and, as will follow from
subsequent results, this equivalen
e a
tually extends to Hilbert spa
es and even
otype 2 spa
es. It is not
di
ult however to see that this equivalen
e already fails in Lp -spa
es when p > 2 . Rather than to detail
an example at this stage, we refer to Theorem 10.10 below where a
hara
terization of the CLT and bounded
CLT in Lp -spa
es will
learly indi
ate the dieren
e between these two properties. It is an open problem
to
hara
terize those Bana
h spa
es in whi
h bounded and true CLT are equivalent.
The bounded CLT does not in general imply that X is pregaussian. Sin
e however IEf (X ) = 0 and
IEf 2 (X ) < 1 for every f in B 0 , there exists by the nite dimensional CLT a Gaussian pro
ess G =
(Gf )f 2B10 indexed by the unit ball B10 of B 0 with the same
ovarian
e stru
ture as X . Moreover, G is
297
almost surely bounded sin
e by the nite dimensional CLT and
onvergen
e of moments, (using Skorokhod's
theorem on weak
onvergen
e),
IE sup jGf j CLT (X ) < 1 :
f 2B10
In parti
ular, by Sudakov's minoration (Theorem 3.18), the family ff (X ); f 2 B10 g is relatively
ompa
t in
L2 . However, this Gaussian pro
ess G need not dene in general a Radon probability distribution on B .
Let us
onsider indeed the following easy but meaningful example. Denote by (ek )k1 the
anoni
al basis
of
0 and
onsider the random variable X with values in
0 dened by
(10:3)
X=
"k ek
(2 log(k + 1))1=2
where ("k ) is a Radema
her sequen
e. Let us sket
h that X satises the bounded CLT. By independen
e
and identi
al distribution, for every A > 0 ,
kS k
IP pn > A = 1
n
( n
X
IP
p"in > A(2 log(k + 1))1=2
i=1
)!
(
n
X
IP
p"in > A(2 log(k + 1))1=2
i=1
from whi
h it
learly follows that X satises the bounded CLT. However, X does not satisfy the CLT in
0
sin
e X is not pregaussian. Indeed, the natural Gaussian stru
ture with the same
ovarian
e as X should
be given by
gk ek
G=
(2 log(k + 1))1=2
where (gk ) is an orthogaussian sequen
e. But we know that
jgk j
lim sup
=1
(2
log(
k
+ 1))1=2
k!1
almost surely.
298
Therefore G is a bounded Gaussian pro ess but does not dene a Gaussian random variable with values in
0 .
The
hoi
e of
0 in this example is not
asual as shown by the next result.
Proposition 10.3. Let B be the separable Bana
h spa
e. In order that every random variable X
with values in B that satises the bounded CLT is pregaussian, it is ne
essary and su
ient that B does
not
ontain an isomorphi
opy of
0 .
Proof. Example (10.3) provides ne
essity. Assume B does not
ontain
0 and let X be dened on
(
; A; IP) satisfying the bounded CLT in B . Sin
e IEkX k < 1 , there exists a sequen
e (AN ) of nite sub -algebras of A su
h that if X N = IEAN X , the sequen
e (X N )
onverges almost surely and in L1(B )
to X . By Jensen's inequality, CLT (X N ) CLT (X ) for every N . Set Y N = X N X N 1 , N 1
( X 0 = 0 ). Sin
e nite valued, for ea
h N , Y N is pregaussian. Denote by (GN ) independent Gaussian
random variables in B su
h that GN has the same
ovarian
e stru
ture as Y N . As is easily seen, for every
f in B 0 and every N ,
!
IEf 2
N
X
i=1
Gi = IEf 2 (X N ) :
Hen
e, by the nite dimensional CLT (and
onvergen
e of moments), for every N ,
N
X
IE
Gi
i=1
N
P
CLT (X N ) CLT (X ) :
i=1
After this short digression on the bounded CLT we
ome ba
k to the general study of the CLT. We rst
re
all from Chapter 2 some of the
riteria whi
h might be used in order to establish weak
onvergen
e of the
sequen
e (Sn = n) . From the nite dimensional CLT and Theorem 2.1, a random variable X with values
in a separable Bana
h spa
e B satises the CLT if and only if for ea
h " > 0 one
an nd a
ompa
t set
K in B su h that
S
IP pn
n
299
(or only every n large enough). Alternatively, and in terms of nite dimensional approximation, a random
variable X with values in B su
h that IEf (X ) = 0 and IEf 2 (X ) < 1 for every f in B 0 (i.e. f (X )
satises the s
alar CLT for every f ) satises the CLT if and only if for every " > 0 there is a nite
dimensional subspa
e F of B su
h that
IP
Note that su
h a property is realized as soon as there exists, for every " > 0 , a step mean zero random
variable Y su
h that CLT (X Y ) < " . (The
onverse a
tually also holds
f. [Pi3.) Note further from
these
onsiderations that X satises the CLT as soon as for ea
h " > 0 there is a random variable Y
satisfying the CLT su
h that CLT (X Y ) < " ; in parti
ular, the linear spa
e of all random variables
satisfying the CLT equipped with the norm CLT () denes a Bana
h spa
e.
Before turning to the next se
tion, let us
ontinue with these easy observations and mention some
omments about symmetrization. By
entering and Jensen's inequality on (10.4) for example,
learly, X satises
the CLT if and only if X X 0 does where X 0 is an independent
opy of X . When trying to establish
that a random variable X satises the CLT, it will thus basi
ally be enough to deal with a symmetri
X .
In the same spirit, we also see from Lemma 6.3 that X satises the CLT if and only if "X does where
" denotes a Radema
her random variable independent of X . This property is a
tually one example of a
general randomization argument whi
h might be worthwhile to detail at this point. If 0 < p , q < 1 ,
denote by Lp;q the spa
e of all real random variable su
h that
Z
k kp;q = q
dt
(tp IPfj j > tg)q=p
t
1=q
< 1:
Lp;p is just Lp by the usual integration by parts formula and Lp;q1 Lp;q2 if q1 q2 .
Proposition 10.4. Let X be a random variable with values in B su
h that CLT (X ) < 1 (in
parti
ular IEX = 0 ). Let further be a non-zero real random variable in L2;1 independent of X . Then
1
IEj j CLT (X ) CLT (X ) 2k k2;1 CLT (X ) :
2
300
In parti ular X satises the CLT (and IEX = 0 ) if and only if X does.
Proof. The se
ond assertion follows from (10.4) and the inequalities applied to T (X ) for quotient maps
T . We rst prove the right hand side inequality. Assume to begin with that is the indi
ator fun
tion IA
of some set A . Then
learly, by independen
e and identi
al distribution, for every n ,
IEk
n
X
i=1
i Xi k = IEk
SX
n ()
i=1
pn IP(A) CLT (X )
p
k=1
1)g)1=2 CLT (X )
k k2;1CLT (X ) :
Letting " tend to 0 yield the result in this
ase. The general one follows by writing = +
.
To establish the reverse inequality, note rst that by entering and Lemma 6.3,
301
Chapter 14. Note further that this Gaussian randomization is similar to the one put forward in the series
representation of stable random variables. This relation to stables is not fortuitous and the di
ulty in
proving tightness in the CLT resembles in some sense to the di
ulty in showing existen
e of a p -stable
random ve
tor with a given spe
tral measure. Let us mention also that while for general sums of independent
random variables, Gaussian randomization is heavier than Radema
her randomization (
f. (4.9)), the
ru
ial
point in Proposition 10.4 is that we are dealing with independent identi
ally distributed random variables.
The
ondition in L2;1 has been shown to be best possible in general [L-T1, although L2 is (ne
essary and)
su
ient in various
lasses of spa
es; this L2 -multipli
ation property is perhaps related to some geometri
al
properties of the underlying Bana
h spa
e. Note nally that the argument of the proof of Proposition 10.4
p
is not really limited to the normalization n of the CLT and that similar statements
an be obtained in
ase for example of the iid laws of large numbers with normalization n1=p , 0 < p < 2 , and in
ase of the
law of the iterated logarithm.
302
2 " and
otype 2 + " for every " > 0 in whi
h one
an nd bounded pregaussian random variables failing
the CLT [Led3.
In spite of these negative examples, some positive results
an be obtained. In parti
ular, and as indi
ated
by the last mentioned example, spa
es of type 2 and/or
otype 2 play a spe
ial role. This is also made
lear by Propositions 9.24 and 9.25
onne
ting type 2 and
otype 2 with pregaussian random variables and
some inequalities involving those. The rst theorem extends to type 2 spa
es the su
ient
onditions on
the line for the CLT.
Theorem 10.5. Let X be a mean zero random variable su h that IEkX k2 <
1 with values in a
separable Bana
h spa
e B of type 2 . Then X satises the CLT. Conversely, if in a (separable) Bana
h
spa
e B , every random variable X su
h that IEX = 0 and IEkX k2 < 1 satises the CLT, then B must
be of type 2 .
Proof. The denition of type 2 in the form of Proposition 9.11 immediately implies that for X su
h
that IEX = 0 and IEkX k2 < 1 ,
(10:5)
If, given " > 0 , we
hoose a mean zero random variable Y with nite range su
h that IEkX Y k2 < "2 =C 2 ,
the pre
eding inequality applied to X Y yields CLT (X Y ) < " and thus X satises the CLT ((10.4)).
Conversely, if, in B , ea
h mean zero random variable X with IEkX k2 <
random variable is ne
essarily pregaussian. The se
ond part of the theorem therefore simply follows from
the
orresponding one in Proposition 9.24. Alternatively, one
an invoke a
losed graph argument to obtain
(10.5) and apply then Proposition 9.19.
We would like to mention at this stage for further purposes that Theorem 10.5 easily extends to operators
of type 2 . Let us state, for later referen
e, the following
orollary to the proof of Theorem 10.5.
303
Theorem 10.7. Let X be a pregaussian random variable with values in a separable
otype 2 Bana
h
spa
e B . Then X satises the CLT. Conversely, if in a (separable) Bana
h spa
e B , any pregaussian
random variable satises the CLT, then B must be of
otype 2 .
Proof. By Proposition 9.25, in a
otype 2 spa
e,
IEkX k2 C IEkG(X )k2 < 1
for any pregaussian random variable X with asso
iated Gaussian variable G(X ) . Now, for ea
h n , Sn = n
is pregaussian and asso
iated to G(X ) too. Hen
e,
for every f in B 0 , it follows from (3.11) that the sequen
e (G(X X N )) is tight (sin
e G(X ) is). It
an only
onverge to 0 sin
e, for every f , IEf 2 (X X N ) ! 0 . By the Gaussian integrability properties (Corollary
3.2), for ea
h " > 0 one
an nd an N su
h that IEkG(X X N )k2 < "2=C . Thus CLT (X X N ) < " and
X satises the CLT by the tightness
riterion des
ribed in Se
tion 10.1. Conversely, re
all that a random
variable X satisfying the CLT is su
h that IEkX kp < 1 , p < 2 (Lemma 10.1). We need then simply re
all
one assertion of Proposition 9.25. Theorem 10.7 is thus established.
In
otype 2 spa
es, random variables satisfying the CLT have a strong se
ond moment (be
ause they
are pregaussian, or
f. Se
tion 10.1). This a
tually only happens in
otype 2 spa
es as shown by the next
statement. This result
omplements Theorem 10.7.
Proposition 10.8. If in a (separable) Bana
h spa
e B every random variable X satisfying the CLT
is in L2 (B ) , then B is of
otype 2 .
Proof. Assume B is not of
otype 2 . Sin
e (
f. Remark 9.26) the
otype 2 denitions with either
P
Gaussian or Radema
her averages are equivalent, there exists a sequen
e (xj ) in B su
h that gj xj
j
304
X=
j =1
2j=2 IAj gj xj
where Aj are disjoints sets with IP(Aj ) = 2 j and independent from the orthogaussian sequen
e (gj ) .
P
Then IEkX k2 = kxj k2 = 1 . Let us show however that X satises the CLT whi
h leads therefore to a
j
ontradi
tion and proves the proposition. Let (gji ) be independent
opies of (gj ) and (Aij ) independent
opies of (Aj ) , all of them assumed to be independent. For every n , let N (n) be the smallest integer su
h
that 2N (n) 25n . Let
1 [
n
[
0 =
Aij :
j =N (n)+1 i=1
Sn =
5.
NX
(n)
j =1
2j=2
n
X
i=1
IAij gji
xj :
n
P
We now use the law of large numbers to show that,
onditionally on (Aij ) , the Gaussian variables
IAi gji
i=1 j
have a varian
e
lose to n2 j . For every t > 0 ,
IP
8
(n)
<N[
:
j =1
n
1X
I i > (t + 1)2 j
n i=1 Aj
!9
=
;
NX
(n)
j =1
t21n
IP
( n
X
NX
(n)
j =1
i=1
(IAij
2j
27
:
t2
Let us take t = 26 . Hen e, for every n , there is a set of probability bigger than 1
su h that
p
onditionally on the Aij 's, Sn = n has the same distribution as
j xj where j are independent
j =1
normal random variables with varian
es less than 26 + 1 28 . We
an then write, for every n and s > 0 ,
NP
(n)
IP
8
(n)
< NX
kpSn k > s 2 4 + IP k
:
n
4
j =1
1
X
j xj k > s
9
=
2 4 + 2s IEk gj xj k
j =1
305
where we have used the
ontra
tion prin
iple in the last step. If we now
hoose s = 28 IEk
example), we dedu
e from (10.2) that
CLT (X ) 20 28 IEk
1
X
j =1
1
P
j =1
gj xj k (for
gj xj k :
It is now easy to
on
lude that X satises the CLT. The same inequality when a nite number of xj are
0 allows indeed to organize a nite dimensional approximation of X in the CLT () -norm. X therefore
satises the CLT and the proof is thereby
ompleted.
In the spirit of the pre
eding proof and as a
on
rete example, let us note in passing that a
onverP
gent Radema
her series X = "i xi satises the CLT if and only if the
orresponding Gaussian series
i
P
P
gi xi
onverges. Ne
essity is obvious sin
e gi xi is a Gaussian variable with the same
ovarian
e as X .
i
i
Con
erning su
ien
y, if ("ij ) and (gij ) are respe
tively doubly-indexed Radema
her and orthogaussian
sequen
es, and starting with a nite sequen
e (xi ) , by (4.8), for every n ,
n
X X
"
S
IEk pn k = IEk ( pij )xi k
n
i j =1 n
( 2 )1=2 IEk
n
X X
gij
j =1
pn )xi k
X
= ( )1=2 IEk gi xi k
2
i
where the last step follows from the Gaussian rotational invarian
e. By approximation, X is then easily
P
seen to satisfy the CLT when gi xi
onverges almost surely.
i
If we re
all (Theorem 9.10) that a Bana
h spa
e of type 2 and
otype 2 is isomorphi
to a Hilbert spa
e,
the
onjun
tion of Theorem 10.5 and Proposition 10.8 yields an isomorphi
hara
terization of Hilbert spa
e
by the CLT.
Corollary 10.9. A (separable) Bana
h spa
e B is isomorphi
to a Hilbert spa
e if and only if for every
random variable X with values in B the
onditions IEX = 0 and IEkX k2 < 1 are ne
essary and su
ient
for X to satisfy the CLT.
The pre
eding results are perhaps the most satisfa
tory ones on the CLT in Bana
h spa
es although they
a
tually
on
ern rather small
lasses of spa
es. While the
ase of
otype 2 spa
es might be
onsider as
ompletely understood, this is not exa
tly true for type 2 spa
es. Indeed, if Theorem 10.4 indi
ates that
306
IEX = 0 and IEkX k2 < 1 are su
ient for X to satisfy the CLT in a type 2 spa
e, the integrability
ondition IEkX k2 < 1 need not
onversely be ne
essary (it is only in
otype 2 spa
es, therefore Hilbert).
As we have seen, in general, when X satises the CLT, one only knows that (Lemma 10.1),
lim t2 IPfkX k > tg = 0 :
t!1
It is therefore of some interest to try to understand the spa
es in whi
h the best possible ne
essary
onditions,
2
i.e., X pregaussian and tlim
!1 t IPfkX k > tg = 0 , are also su
ient for a random variable X to >satisfy
the CLT. One
onvenient way to investigate this
lass of spa
es is an inequality, similar in some sense to
the type and
otype inequalities, but whi
h
ombines moment assumptions and the pregaussian
hara
ter.
More pre
isely, let us say that a separable Bana
h spa
e B satises the inequality Ros(p) , 1 p < 1 , if
there is a
onstant C su
h that for any nite sequen
e (Xi ) of independent pregausssian random variables
with values in B with asso
iated Gaussian variables (G(Xi )) (whi
h may be assumed to be independent)
IEk
(10:6)
Xi
kp
C
IEkXi
kp + IEk
G(Xi
)kp
This inequality is the ve
tor valued version of an inequality dis
overed by H. P. Rosenthal (hen
e the
appellation) on the line. That (10.6) holds on the line for any p is easily dedu
ed from, for example,
Proposition 6.8 and the observation that
IEj
G(Xi )jp = Cp (
IEG(Xi )2 )p=2 = Cp (
Xi j2 )p=2 :
The same argument together with Proposition 9.25 shows that
otype 2 spa
es also satisfy Ros(p) for
every p , 1 p < 1 . It
an be shown a
tually that the spa
es of
otype 2 are the only ones with this
property (
f. [Led4).
The main interest of the inequality Ros(p) in
onne
tion with the CLT lies in the following observation.
Theorem 10.10. Let B be a separable Bana
h spa
e satisfying Ros(p) for some p > 2 . Then, a
2
random variable X with values in B satises the CLT if and only if it is pregaussian and tlim
!1 t IPfkX k >
tg = 0 .
Proof. The ne
essity has been dis
ussed in Se
tion 10.1 and holds, as we know, in any spa
e. Turning
to su
ien
y, our aim is to show that for any symmetri
pregaussian X with values in B
(10:7)
307
for some C . This property easily implies the
on
lusion. Indeed, given X symmetri
, pregaussian and
2
su
h that tlim
!1 t IPfkX k > tg = 0 and given " > 0 , let us rst
hoose t large enough in order that, if
Y = XIfkX ktg (whi
h is still pregaussian by Lemma 9.23),
1 , by integration by parts it is
n
X
i=1
nIEku1
kp
n1 p=2
n1 p=2
pn
Z
Z
0p
dtp
p
=
:
t2 p 2
(10.7) thus follows (re
all Gaussian random ve
tors have all their moments equivalent). Theorem 10.10 is
established.
308
Type 2 spa
es of
ourse satisfy Ros(2) but the important property in Theorem 10.10 is Ros(p) for
p > 2 . We already noti
ed that
otype 2 spa
es verify Ros(p) for all p ; in parti
ular Lp -spa
es with
1 p 2 . When 2 < p < 1 , Lp satises Ros(p) for the
orresponding p . This follows from the real
inequality together with Fubini's theorem. Indeed, if (Xi ) are independent pregaussian random variables
in Lp = Lp (S; ; ) where (S; ; ) is -nite,
IEk
Xi kp =
=C
IEj
Xi (s)jp d(s)
IEjXi
IEkXi
(s)jp + IEj
kp + IEk
G(Xi
G(Xi
)kp
)(s)jp
d(s)
When 2 < p < 1 , Lp is of type 2 and enters the setting of Theorem 10.5 but sin
e it satises Ros(p)
and p > 2 we
an also apply the more pre
ise Theorem 10.10. Together with the
hara
terization (9.16) of
pregaussian stru
tures, the CLT is therefore
ompletely understood in the Lp -spa
es, 1 p < 1 .
One might wonder from the pre
eding for some more examples of spa
es satisfying Ros(p) for some
p > 2 , espe
ially among the
lass of type 2 spa
es. It
an be shown that Bana
h latti
es whi
h are r
onvex and s -
on
ave for some r > 2 and s < 1 (
f. [Li-T2) belong to this
lass. However, already
`2 (`r ) , r > 2 , whi
h is of type 2 , veries Ros(p) for no p > 2 . A
tually, this is true of `2 (B ) as soon
as B is a Bana
h spa
e whi
h is not of
otype 2 . To see this, note that if B is not of
otype 2 , for every
" > 0 , one
an nd a pregaussian random variable Y in B su
h that
N
X
i=1
Xi kp C
N
X
i=1
IEkXi kp + (IEk
N
X
i=1
C (N + ("N )p=2 ) :
309
Hen
e, if " is small enough and N tends to innity, this leads to a
ontradi
tion.
Thus nding spa
es satisfying Ros(p) for p > 2 seems a di
ult task, and so the CLT under the
best possible ne
essary
onditions. One interesting problem in this
ontext would be to know whether
Theorem 10.10 has some
onverse; that is, if in a Bana
h spa
e B , the
onditions X pregaussian and
lim t2 IPfkX k > tg = 0 are su
ient for X to satisfy the CLT, does B satisfy Ros(p) for some p > 2 ?
t!1
This
ould be in analogy with theorems on the laws of large numbers and type of Bana
h spa
e (
f. Corollary
9.18).
As a remark we would like to brie
y
ome ba
k at this stage to the bounded CLT and show that the
bounded CLT and true CLT already dier in Lp for p > 2 . It is
lear from the proof of Theorem 10.10
(
f. (10.7)) that a pregaussian variable in a Ros(p) -spa
e, p > 2 , su
h that kX k2;1 < 1 satises the
bounded CLT. To prove our
laim, it is therefore simply enough to
onstru
t a pregaussian random variable
X in, for example, `p , 2 < p < 1 , su
h that
(10:8)
X=
1
X
i=1
1 2=p ,
i 1 . Let ("i )
where (ei ) is the
anoni
al basis of `p . Then kX k = N 1=p and (10.8)
learly holds. We are left with
showing that X is pregaussian and we use (9.16). That is, it su
es to show that
1
X
i=1
but this is
lear sin
e by denition of N , IPfN i < N 2 + N g is of the order of i 1=2 1=p when i ! 1 ,
and p > 2 .
In
on
lusion to this se
tion, we present some remarks on the relation between the CLT and the LIL (for
simpli
ity we understand here by LIL only the
ompa
t law of the iterated logarithm) in Bana
h spa
es. On
the line and in nite dimensional spa
es, CLT and LIL are of
ourse equivalent, that is, a random variable X
satises the CLT if and only if it satises the LIL, sin
e they are both
hara
terized by the moment
onditions
310
IEX = 0 and IEkX k2 < 1 . However, the
onjun
tion of Corollary 10.9 and Corollary 8.8 indi
ates that
this equivalen
e already fails in innite dimensional Hilbert spa
e where one
an nd a random variable
satisfying the LIL but failing the CLT. This observation together with Dvoretzky's theorem (Theorem 9.1)
a
tually shows that the impli
ation LIL ) CLT only holds in nite dimensional spa
es. Indeed, if B is an
innite dimensional Bana
h spa
e in whi
h every random variable satisfying the LIL also satises the CLT,
by a
losed graph argument, for some
onstant C and every X in B ,
CLT (X ) C (X )
where we re
all that (X ) = lim sup kSnk=an (non random). By Theorem 9.1, the same inequality would
n!1
hold for all step random variables with values in a Hilbert spa
e, and hen
e, by approximation, for all random
variables. But this is impossible as we have seen. Hen
e we
an state
Theorem 10.11. Let B be a separable Bana
h spa
e in whi
h every random variable satisfying the
LIL also satises the CLT. Then B is nite dimensional.
Con
erning the impli
ation CLT ) LIL, a general statement is available. Indeed, if X satises the CLT,
then trivially Sn =an ! 0 in probability, and sin
e X is pregaussian the unit ball of the reprodu
ing kernel
Hilbert spa
e asso
iated to X is
ompa
t. The
hara
terization of the LIL in Bana
h spa
es (Theorem 8.6)
then yields the following theorem.
Theorem 10.12. Let X be a random variable with values in a separable Bana
h spa
e B satisfying
the CLT. Then X satises the LIL if and only if IE(kX k2=LLkX k) < 1 .
The moment
ondition IE(kX k2=LLkX k) < 1 is of
ourse ne
essary in this statement sin
e it is not
2
omparable to the tail behavior tlim
!1 t IPfkX k > tg = 0 ne
essary for the CLT. Despite this general
satisfa
tory result, the question of the impli
ation CLT ) LIL is not solved for all that. Theorem 10.12
indi
ates that the spa
es in whi
h random variables satisfying the CLT also satisfy the LIL are exa
tly those
in whi
h the CLT implies the integrability property IE(kX k2=LLkX k) < 1 . This is of
ourse the
ase for
otype 2 spa
es but the
hara
terization of the CLT in Lp -spa
es shows that Lp with p > 2 does not
satisfy this property. An argument similar to the one used for Theorem 10.11, but this time with Theorem
9.16 instead of Dvoretzky's theorem, shows then that the spa
es satisfying CLT ) LIL are ne
essarily of
otype 2 + " for every " > 0 . But a nal
hara
terization has still to be obtained.
311
In this last paragraph, we develop a
riterion for the CLT whi
h, while
ertainly somewhat di
ult to
verify in pra
ti
e, involves in its elaboration several interesting arguments and ideas developed throughout
this book. The result therefore presents some interest from a theoreti
al point of view. The idea of its proof
an be used further for an almost sure randomized version of the CLT.
Re
all that we deal in all this
hapter with a separable Bana
h spa
e B . We have noti
ed, prior to
Theorem 3.3, that for a Gaussian Radon random variable G , ea
h ball
entered at the origin has a positive
mass for the distribution of G . It therefore follows that if X is a Borel random variable satisfying the CLT
in B , for every " > 0 ,
k
S
k
n
lim
inf IP p < " > 0 :
n!1
n
(10:9)
It turns out that,
onversely, if a Gaussian
ylindri
al measure
harges ea
h ball
entered at the origin, then
it is Radon. Surprisingly, this
onverse extends to the CLT. Namely, If (10.9) holds for every " > 0 , and
2
if the ne
essary tail
ondition tlim
!1 t IPfkX k > tg = 0 holds, then X satises the CLT. This is theoreti
al
small ball
riterion for the CLT. It
an thus be stated as follows.
Theorem 10.13. Let X be a random variable with values in a separable Bana
h spa
e B . Then X
satises the CLT if and only if the following two properties are satised:
2
(i) tlim
!1 t IPfkX k > tg = 0 ;
(")
2
! 1=2
m
X
IP k Yi k < "pm 32 1 + IPfkYi k > "pmg
i=1
i=1
m
X
312
k
Sn k p
9
:
mIP p > " m
n
(")2
As announ
ed therefore, (Sn = n) is bounded in probability. In parti
ular, CLT (X ) < 1 and while X is
not ne
essarily pregaussian, at least there is a bounded Gaussian pro
ess with the same
ovarian
e stru
ture
as X and the family ff (X ); f 2 B 0 ; kf k 1g is totally bounded in L2 . All that was noti
ed in Se
tion
10.1 when we dis
ussed the bounded CLT.
Let us note that the pre
eding argument based on Proposition 6.4 shows similarly that a random variable
X satises the CLT if there is a
ompa
t set K in B su
h that
lim
inf IP
n!1
pSnn 2 K > 0 :
This improved version of the usual tightness
riterion may be useful to understand the intermediate level of
Theorem 10.13.
Proof of Theorem 10.13. Repla
ing as usual X by X X 0 we may and do assume that X is
symmetri
. The sequen
e (Xi ) of independent
opies of X has therefore the same distribution as ("i Xi )
where ("i ) is a Radema
her sequen
e independent of (Xi ) . Re
all we denote by IP" , IE" (resp. IPX , IEX )
onditional probability and expe
tation with respe
t to the sequen
e (Xi ) (resp. ("i ) ). We show, and this
is enough, that there is a numeri
al
onstant C su
h that, given > 0 , one
an nd a nite dimensional
subspa
e F of B with quotient map T = TF : B ! B=F su
h that
(10:10)
n
X
T (Xi )
pn k > Cg :
The proof is based on the isoperimetri
inequality for produ
t measures of Theorem 1.4 whi
h was one of
the main tools in the study of strong limit theorems and whi
h proves to be also of some interest in weak
statements like here the CLT. We use here the full statement of Theorem 1.4 and not only (1.13). The main
step in this proof will be to show that if
n
X
i=1
"i
T (xi )
pn k 2g ;
313
for all n large enough where () > 0 depends only on > 0 . Let us show how to
on
lude when (10.11)
is satised. For integers q; k , re
all H (A; q; k) . If (Xi )in 2 H (A; k; q) , there exist j k and x1 ; : : : ; xq
in A su
h that
f1; : : : ; ng = fi1; : : : ; ij g [ I
where I =
q
S
`=1
IE" k
n
X
i=1
"i
T (Xi )
kpXik + IE k X " Tp(Xi) k
pn k k max
"
i
in
n
n
i2I
kpXik +
k max
in
n
q
X
`=1
IE" k
n
X
kpXik + 2q :
k max
in
n
Hen e
IPX fIE" k
n
X
i=1
"i
i=1
"i
T (x`i )
pn k
Tp
(Xi )
k > (2q + 1)g IP f(Xi )in 62 H (A; q; k)g
n
kX k
+ IPfk max p i > g :
in
n
Now, under (10.11), Theorem 1.4 tells us that for some numeri
al
onstant K , whi
h we might
hoose to
be an integer for
onvenien
e,
log(1=()) 1
+
k
q
k
Let us
hoose q to be 2K , and take then k = k() large enough depending on > 0 only in order for the
pre
eding probability to be less than =2 . Sin
e, by (i),
n!1
n
X
Tp
(Xi )
IPX fIE" k "i
k > 2g IPfk "i Xpi n> k < g
n
i=1
i=1
+ IPfIE" k
n
X
i=1
"i
T (Xi )
pn k
n
X
i=1
"i
T (Xi )
pn k > g
314
T (Xi )
pn k
n
X
i=1
"i
T (Xi)
pn k > g < ()
ui = ui (n) =
(10:12)
n
X
i=1
To this aim, we use the
on
entration properties of Radema
her averages (Theorem 4.7). We have however to
swit
h to expe
tations instead of medians, but this is easy. Conditionally on (Xi ) , denote by M a median
n
P
f 2 (T (u
1=2
n
P
i=1
IP" fjk
n
X
i=1
t2
2
)
32
:
82
t2
jIE" k
Hen
e, if =24 ,
IP" fIE" k
n
X
i 1
n
X
i=1
"i T (ui)k
n
X
i=1
2
:
2
IPfIE" k
n
X
i=1
"i T (ui)k
n
X
i=1
128
103
g
+ 2 IE2 2 IE2 :
24
To prove (10.12), we have thus just simply to show that IE2
an be made arbitrarily small independently
of n for a well
hosen large enough subspa
e F of B . To this aim, re
all from the dis
ussion prior to
315
this proof that, under (ii), CLT (X ) < 1 and that this implies that ff (X ); f 2 B 0 ; kf k 1g is relatively
ompa
t in L2 . We use Lemma 6.6 (6.5) (and the
ontra
tion prin
iple) to see that, for all n ,
n
X
IE2 = IE sup
f 2 (T (ui ))
kf k1 i=1
sup IEf 2(T (X )) + 8
()CLT (X ) :
kf k1
Choose then
() > 0 to be less than 2 ()=16 103 CLT (X ) , and
hoose also T : B ! B=F asso
iated
to some large enough nite dimensional subspa
e F of B in order that
sup IEf 2 (T (X )) 2 ()=2 103 . A
ording to (10.13), we see then that (10.12) is satised, whi
h was to
kf k1
prove. Theorem 10.13 is therefore established in this way.
We
on
lude this
hapter with an almost sure randomized version of the CLT. The interest in su
h a result
lies in its proof itself, whi
h is similar in nature to the pre
eding one, and in possible statisti
al appli
ations.
It might be worthwhile to re
all Proposition 10.4 before the statement. As there also, if X is a Bana
h
spa
e valued random variable and a real random variable independent of X , and if (Xi ) (resp. (i ) )
are independent
opies of X (resp. ), the sequen
es (Xi ) and (i ) are understood to be independent
(
onstru
ted on dierent probability spa
es).
Theorem 10.14. Let X be a mean zero random variable with values in a separable Bana
h spa
e B
and let be a real random variable in L2;1 independent of X su
h that IE = 0 and IE 2 = 1 . The
following are equivalent:
(i) IEkX k2 < 1 and X satises the CLT;
(ii) for
! on the probability spa
e supporting the Xi 's, the sequen
e
almost every
n
P
p
i Xi (!)= n
onverges in distribution.
i=1
n
P
p
i Xi (!)= n does not depend on ! and is distributed like G(X ) , the
Proof. It is plain that under (ii) the produ
t X satises the CLT. Hen
e, sin
e X has mean zero
and 6 0 , X also satises the CLT by Proposition 10.4. To show that IEkX k2 < 1 , repla
ing by
0 where 0 is an independent
opy of , we may assume to be symmetri
. For almost every ! ,
n
P
p
i Xi (!)= n is bounded in probability. Hen
e, by Levy's inequality (2.7), the same holds for the
i=1
316
sequen
e (jn jkXn(!)k= n) . Sin
e is non-zero, it follows that for almost all !
sup
n
kXpn(!)k < 1 :
n
Therefore, by independen e and the Borel-Cantelli lemma, IEkX k2 < 1 . This proves the impli ation (ii)
) (i).
The main tool in the proof of the
onverse impli
ation (i) ) (ii) is the following lemma. This lemma
may be
onsidered as some ve
tor valued extension of a strong law of large numbers for squares.
Lemma 10.15. In the setting of Theorem 10.14, if IEkX k2 < 1 , for some numeri
al
onstant K ,
almost surely,
n
n
X
X
1
1
lim sup p IE k i Xi k K lim sup p IEk i Xi k
n
n i=1
n!1
n!1
i=1
where, as usual, IE denotes partial integration with respe
t to the sequen
e (i ) .
n
P
Proof. Set M = lim sup IEk i Xi = nk , assumed to be nite. By Lemma 6.3, sin
e IE = 0 , repla
n!1
i=1
ing by " , we may and do assume to be symmetri
. By the Borel-Cantelli lemma, and monotoni
ity
of the averages, it su
es to show that for some K , and all " > 0 ,
X
IPX fIE k
2n
X
i=1
IPX fIE k
2n
X
i=1
i Xi k > K IEk
2n
X
i=1
i Xi k + "2n=2g < 1 :
To show this, we make use of the isoperimetri
approa
h based on Theorem 1.4 developed in Se
tion 6.3.
P
Sin
e IEkX k2 < 1 , by Lemmas 7.6 and 7.8, there exists a sequen
e (kn ) of integers su
h that 2 kn < 1
n
and
kn
X
X
IPf kXi k > "2n=2g < 1
n
i=1
where (kXi k ) is the non-in
reasing rearrangement of (kXi k)i2n . We now make use of Remark 6.18 whi
h
applies similarly to the averages in the symmetri
sequen
e (i ) . Note that IEj j 1 . Hen
e by (6.23)
317
2
2n
X
i=1
i Xi k > 2qIEk
kn
kn
X
+ IPf
i=1
2n
X
i=1
i Xi k + "2n=2g
CLT (Tk (X ))
1
:
2Kkk k2;1
Re
all from Proposition 10.4 that CLT (X ) 2k k2;1CLT (X ) . If we now apply Lemma 10.15 to Tk (X )
for ea
h k , there exists
k with IP(
k ) = 1 su
h that for all ! in
k
n
X
1
1
lim sup p IE k i Tk (Xi (!))k :
n
k
n!1
i=1
Let also
0 the set of full probability obtained when Lemma 10.15 is applied to X itself. Let
0 =
IP(
0 ) = 1 . Let now !
that if T = TF ,
k0
k ;
2
0 . For ea
h " > 0 , there exists a nite dimensional subspa
e F of B su
h
n
X
1
lim sup p IE k i T (Xi(!))k < "2 :
n
n!1
i=1
Hen e, if n n0 (") ,
n
X
IP fkT (
n
P
i=1
i=1
2
0 ). We
on
lude the proof by identifying the limit. Using basi
ally that
f 2 (Xi )=n ! IEf 2 (X ) almost surely, it
i=1
is not di
ulty to see, by the Lindeberg CLT (
f. e.g. [Ar-G2) for example, that for every f in B 0 there
n
P
p
exists a set
f of probability one su
h that for all ! 2
f , ( i f (Xi (!))= n)
onverges in distribution
i=1
to a normal variable with varian
e IEf 2 (X ) . The proof is then easily
ompleted by
onsidering a weakly
dense
ountable subset in B 0 . Theorem 10.14 is established.
318
[Ar-G2 for a more
omplete a
ount on the general CLT for real and Bana
h spa
e valued random variables,
as well as for pre
ise and detailed histori
al and re
ent referen
es. See also the ni
e paper [A-A-G. We also
mention the re
ent book by V. Paulauskas and A. Ra
hkauskas [P-R2 on rates of
onvergen
e in the ve
tor
valued CLT, a topi
not
overed here. We note further that some more results on the CLT, using empiri
al
pro
esses methods, will be presented in Chapter 14.
Starting with Donsker's invarian
e prin
iple [Do, the study of the CLT for Bana
h spa
e valued random
variables was initiated by E. Mourier [Mo and R. Fortet [F-M1, [F-M2, S. R. S. Varadhan [Var, R. Dudley
and V. Strassen [D-S, L. Le Cam [LC. The proof we present of the ne
essity of IEX 2 <
1 on the line
and similarly of IEkX k2 < 1 in otype 2 spa es is due to N. C. Jain [Ja1 who also showed ne essity of
kX k2;1 < 1 in any Bana h spa e [Ja1, [Ja2. The improved Lemma 10.1 was then noti ed independently
in [A-A-G and [P-Z. Corollary 10.2 was observed in [Pi3. Proposition 10.3 is due to G. Pisier and J. Zinn
[P-Z. The randomization property of Proposition 10.4 has been known for some time independently by X.
Fernique and G. Pisier and put forward in the paper [G-Z2. Our proof is Pisier's and the best possibility of
A de
isive step was a
omplished by J. Homann-Jrgensen and G. Pisier [HJ-P with Theorem 10.5 and N.
C. Jain [Ja2 with Theorem 10.7 and Proposition 10.8. This proposition is due independently to D. Aldous
[Ald. See also [Pi3, [HJ3, [HJ4. Rosenthal's inequality appeared in [Ros. Its interest in the study of
the CLT in Lp -spa
es was put forward in [G-M-Z and further by J. Zinn in [Zi2 where Theorem 10.10 is
explained. An attempt of a systemati
study of Rosenthal's inequality for ve
tor valued random variables is
undertaken in [Led4. The
hara
terization of the CLT in Lp (and more general Bana
h latti
es) goes ba
k
to [P-Z (
f. also [G-Z1). That the best possible ne
essary
onditions for the CLT are not su
ient in `2 (B )
when B is not of
otype 2 is due to J. Zinn [Zi2, [G-Z1. Some further CLTs in `p (`q ) are investigated in
this last paper [G-Z1. The example on the CLT and bounded CLT in `p , 2 < p < 1 , is taken from [P-Z.
319
Theorem 10.11 is due to G. Pisier and J. Zinn [P-Z thanks to several early results on the CLT and the
LIL in Lp -spa
es, 2 p < 1 . G. Pisier [Pi3 established Theorem 10.12 assuming a strong moment and
with a proof
ontaining the essential step of the general
ase. The nal result is due independently to V.
Goodman, J. Kuelbs, J. Zinn [G-K-Z and B. Heinkel [He2. The
omments on the impli
ation CLT ) LIL
are taken from [Pi3.
The small ball
riterion (Theorem 10.13) was obtained in [L-T3. On the line, the result was noti
ed in
[J-O. We learned how to use Kanter's inequality (Proposition 6.4) in this study from X. Fernique. The proof
of Theorem 10.13 with the isoperimetri
approa
h is new. Theorem 10.14 is due to J. Zinn and the authors
and also appeared in [L-T3 (with a dierent proof). Its proof, and in parti
ular Lemma 10.15, has been
used re
ently in bootstrapping of empiri
al measures by E. Gine and J. Zinn [G-Z4.
320
321
322
properties. We usually work with pro
esses X = (Xt )t2T whi
h are in Lp , 1 p < 1 , or, more generaly,
in some Orli
z spa
e L , i.e., kXt k < 1 for all t . Con
erning almost sure boundedness, and a
ording
to what was des
ribed in Chapter 2, we therefore simply understand supremum like sup Xt , sup jXt j ,
t2T
t2T
sup jXs Xt j ; : : : ; as latti
e supremum in L ; for example,
s;t2T
IE sup jXs
s;t2T
Xt j ; F nite in T g :
We avoid in this way the usual measurability questions and moreover redu
e the estimates we will establish
to the
ase of a nite parameter set T . We
ould of
ourse also use separable versions whi
h we do anyway
in the study of sample
ontinuity.
One more word before turning to the obje
t of this
hapter. In the theorems below, we usually bound the
quantity IE sup jXs Xt j (for T nite for simpli
ity). Of
ourse
s;t2T
IE sup jXs
s;t2T
Xt j = IE sup (Xs
s;t2T
Xt )
whi
h is also equal to 2IE sup Xt if the pro
ess is symmetri
(i.e., the distribution in IRT of
t2T
are the same, for example Gaussian pro
esses). We also have that, for every t0 in T ,
IE sup Xt IE sup jXt j IEjXt0 j + IE sup jXs
t2T
t2T
s;t2T
X and X
Xt j
s;t
Re
all that a Young fun
tion is a
onvex in
reasing fun
tion on IR+ with tlim
!1 (t) = 1 and (0) = 0 .
The Orli
z spa
e L = L (
; A; IP) asso
iated to is dened as the spa
e of all real random variables Z
on (
; A; IP) su
h that IE (jZ j=
) < 1 for some
> 0 . Re
all furthermore it is a Bana
h spa
e for the
norm
kZ k = inf f
> 0 ; IE (jZ j=
) 1g :
323
The general question we study in the rst two se
tions of this
hapter is the following: given a Young
fun
tion and a random pro
ess X = (Xt )t2T indexed by (T; d) and in L (i.e. kXt k < 1 for all t )
satisfying the Lips
hitz
onditions in L
(11:1)
kXs Xt k d(s; t)
for all s; t 2 T ;
nd then estimates of sup Xt and su
ient
onditions for sample boundedness or
ontinuity of X in terms
t
of "the geometry of (T; d; ) ". By this we mean the size of T measured in terms of d and . Note that
we
ould take as pseudo-metri
d the one given by the pro
ess itself d(s; t) = kXs Xt k so that T may
be measured in terms of X . The main idea will be to
onvey through the in
remental
onditions (11.1)
boundedness and
ontinuity of X in the fun
tion spa
e L to the
orresponding almost sure properties.
This will be a
omplished in a
haining argument.
Our main geometri
measures of (T; d; ) are the metri
entropy
ondition and the majorizing measure
ondition. The rst se
tion develops the results under the
on
ept of entropy whi
h we already en
ountered
in some of the pre
eding
hapters in ne
essity results.
Let us note before turning to these results that the study of the
ontinuity (a
tually uniform
ontinuity)
will always follow rather easily from the various bounds established for boundedness that thus appears as
the main
ase of this investigation. This situation is rather
lassi
al and we already met it for example in
Chapters 7-9 in the study of limit theorems. Let us also mention that the fa
t that we are working with
pseudo-metri
s rather than metri
s is not really important sin
e we
an always identify two points s and
t in T su
h that d(s; t) = 0 ; under (11.1), Xs = Xt almost surely. Further, all the
onditions we will
use, entropy or majorizing measures, imply that (T; d) is totally bounded. For simpli
ity, one
an therefore
redu
e everything if one wishes it to the
ase of (T; d) metri
ompa
t.
324
(nite or innite).
The following theorem is the main regularity result under metri
entropy
ondition for pro
esses with
in
rements satisfying (11.1). It only
on
erns at this point boundedness but
ontinuity will be a
hieved
1 denotes the inverse fun
tion of .
similarly later on.
Theorem 11.1. Let X = (Xt )t2T be a random pro ess in L su h that for all s; t in T
kXs Xt k d(s; t) :
Then, if
Z D
Xt j 8
Z D
1 (N (T; d; "))d" :
It is
lear that the
onvergen
e of the entropy integral is understood when " ! 0 . The numeri
al
onstant
8 is without any spe
ial meaning.
We will a
tually prove a somewhat better result whose proof is not more di
ult.
sup jXs
A s;t2T
Xt jdIP 8IP(A)
Z D
1 (1=u) ,
0 < u 1 , and
Before proving Theorem 11.2, let us explain the advantages of its formulation and how it in
ludes Theorem
11.1. For the latter, simply note that when (11.1) holds, by
onvexity and Jensen's inequality
Z
Z
j
Xs Xt j dIP
1
jXs Xt jdIP = d(s; t)IP(A)
d(s; t)
IP(A)
A
A
1
j
Xs Xt j
1
d(s; t)IP(A)
IE
IP(A)
d(s; t)
d(s; t)IP(A) 1 IP(1A) :
325
Conversely it should be noted that if Z is a positive random variable su
h that for every measurable set A
Z
ZdIP IP(A)
1
;
IP(A)
1
1
ZdIP IPfZ > ug
u fZ>ug
u
IPfZ > ug
1
IPfZ > ug
1
:
(u)
For Young fun
tions of exponential type the latter is equivalent to say that kZ k < 1 . However, for power
type fun
tions, it is less restri
tive and this is why Theorem 11.2 is more general in its hypotheses. It in
ludes
for example
onditions in weak Lp -spa
es. Let 1 < p < 1 and assume indeed we have a random pro
ess
X su
h that for all s; t in T
(11:2)
1=p
326
where
E = E (T; d; ) =
Z D
1 (N (T; d; "))d" ;
assumed of
ourse to be nite. Then, by Chebyshev's inequality as before, for every u > 0 ,
(11:3)
IPfsup jXs
Xt j > ug
s;t
u
8CE
This applies in parti
ular to the pre
eding setting of (11.2) for (x) = xp , 1 < p < 1 , in whi
h
ase we
get that
k sup jXs Xt jkp;1 8qCE :
s;t
Hen
e, under the niteness of the entropy integral, we
on
lude to a degree of integrability for the supremum
whi
h is exa
tly the same as the one we started with on the individuals (Xs Xt ) . In
ase we have
kXs Xtkp d(s; t) instead of (11.2) we end up with a small gap in this order of idea. This
an however easily
R
be repaired. Indeed, if Z is a positive random variable su
h that kZ kq = 1 and if we set Q(
I A) = A Z q dIP ,
then, from the assumption, for every measurable A and all s; t ,
Z
sup jXs
s;t
Xt jdQ
I 8CE
If
is an exponential fun tion q (x) = exp(xq ) 1 , then (11.3) immediately implies that
k sup jXs Xt jk q Cq E
s;t
for some
onstant Cq depending only on q . In this
ase a
tually, the general estimate (11.3)
an be improved
into a deviation inequality. Assume satises now
1 (xy ) C (
1 (x) +
1 (y ))
327
for all x; y 1 . The fun
tions q satisfy this inequality. In this situation, Theorem 11.2 indi
ates that for
every measurable set A ,
Z
sup jXs
A s;t
Xt jdIP 8C IP(A) D
1
+E :
IP(A)
(11:4)
Xt j > 8C (E + u)g
s;t
u 1
This is an inequality of the type we obtained for bounded Gaussian or Radema
her pro
esses in Chapters
3 and 4 with two parameters, E , the entropy integral, whi
h measures some information on the sup-norm
in Lp , 0 p < 1 , and the diameter D whi
h may be assimilated to weak moments. For the purpose of
omparison, note that, obviously,
E=
(
1 (1) > 0
Z D
1 (N (T; d; "))d"
1 (1)D
Proof of Theorem 11.2. It is enough to prove the inequality of the statement with T nite. Let `0
be the largest integer (in ZZ ) su
h that 2 ` D ; let also `1 be the smallest integer ` su
h that the open
balls B (t; 2 `) of
enter t and radius 2 ` in the metri
d are redu
ed to exa
tly one point. For ea
h
`0 ` `1 , let T` T of
ardinality N (T; d; 2 `) su
h that the balls fB (t; 2 `); t 2 T`g form a
overing
of T . By indu
tion, dene maps h` : T` ! T` 1 , `0 < ` `1 , su
h that t 2 B (h` (t); 2 `+1 ) . Set then
k` : T ! T` , k` = h`+1 h`1 , `0 ` `1 ( k`1 = identity). We
an then write the fundamental
haining identity whi
h is at the basis of most of the results on boundedness and
ontinuity of pro
esses
under
onditions on in
rements. Sin
e 2 `0 D , T`0 is redu
ed to one point,
all it t0 . Then, for every
t in T ,
Xt Xt0 =
`1
X
It follows that
sup jXs
s;t2T
(Xk` (t)
`=`0 +1
Xt j 2
`1
X
Xk` 1 (t) ) :
`=`0 +1 t2T
Xk` 1 (t) j :
328
2
1
`+1
(t) jdIP 2
`+1 IP(A)
1
:
IP(A)
The on lusion will then easily follow from the following elementary lemma.
Lemma 11.3. Let (Zi )iN be positive random variables on some probability spa
e (
; A; IP) su
h
that for all i N and all measurable set A in
,
Z
Zi dIP IP(A)
1
:
IP(A)
N
:
IP(A)
N Z
X
N
X
max Zi dIP =
Zi dIP IP(Ai )
A iN
i=1 Ai
i=1
IP(A)
where we have used in the last step that
N
P
i=1
1
IP(Ai )
N
IP(A)
Note that the lemma applies when max kZi k 1 . This lemma of
ourse des
ribes one of the key points
iN
of the entropy approa
h through the intervention of the
ardinality N .
We
an now
on
lude the proof of Theorem 11.2. Together with the
haining inequality, the lemma implies
that for any measurable set A ,
Z
sup jXs
A s;t
Xt jdIP 2
`1 Z
X
`=`0 +1 A t
4IP(A)
`>`0
2 `
1 (IP(A) 1 N (T; d; 2 ` )) :
329
The
on
lusion follows from a simple
omparison between series and integral:
X
`>`0
1 (IP(A) 1 N (T; d; 2 ` )) 2
2
`
XZ 2
2 `
`>`0
Z D
by denition of `0 . (Note that similar simple
omparison between series and integral will be used frequently
throughout this
hapter and the next ones, usually without any further
omments.) Theorem 11.2 is therefore
established.
Remark 11.4. What was thus used in this proof is the existen
e, for every ` , of a nite subset T` of
T su
h that, for every t , there exists t` 2 T` with d(t; t` ) 2 ` , and with the property
X
2 `
1(
It should be noted further that the pre
eding proof also applies to the random fun
tions X = (Xt )t2T with
the following property: for every ` ( `0 ), every (t; t` ) as before and every measurable set A ,
Z
(11:5)
1
+ M` IP(A)
IP(A)
where (M` ) is a sequen
e of positive numbers satisfying M` < 1 . [This property is in parti
ular realized
`
when, for some C , for all measurable sets A and all s; t in T ,
Z
1(
1
) + C ) :
IP(A)
The nal bound of
ourse involves then this quantity in the form
Z
sup jXs
A s;t2T
Xt jdIP 8IP(A)
Z D
``0
M`
where we re
all that `0 is the largest integer ` su
h that 2 ` D . The proof is straightforward. This
simple observation
an be useful as will be illustrated in Se
tion 11.3.
Remark 11.5. We
olle
t here some further easy observations whi
h will be useful next. First note that
in Theorems 11.1 and 11.2 (and Remark 11.4 too) we might have as well equipped T with the pseudo-metri
d(s; t) = kXs Xt k indu
ed by X itself. Further, sin
e the hypotheses and
on
lusions of these theorems
330
a
tually only involve the in
rements Xs Xt in absolute values, and sin
e the only property used on them
is that they satisfy the triangle inequality, the pre
eding results may be trivially extended to the setting of
random distan
es; that is, random pro
esses
(D(s; t))s;t2T on T T su
h that for all s; t; u in T , D(s; s) = 0 D(s; t) = D(t; s) D(s; u) + D(u; t)
with probability one. This in
ludes D(s; t) = jXs Xt j , 0 < 1 , and D(s; t) = min(1; jXs Xt j)
for example. A
tually we
ould also in
lude in this way random pro
ess with values in a Bana
h spa
e by
setting D(s; t) = kXs Xt k (or some of the pre
eding variations). By random pro
ess with values in a
Bana
h spa
e, we simply mean here a
olle
tion X = (Xt )t2T of random variables with values in a Bana
h
spa
e. An example will be dis
ussed in Se
tion 11.3. More extensions of this type
an be obtained; we leave
them to the interested reader. The one we mentioned will be useful to in
lude some
lassi
al statements.
We now present the
ontinuity theorem in the pre
eding framework.
Z D
X admits a version Xe with almost all sample paths bounded and (uniformly)
ontinuous on (T; d) .
Moreover, Xe satises the following property: for ea
h " > 0 , there exists > 0 , depending only on " and
the niteness of the entropy integral but not on the pro
ess X , itself su
h that
IE sup jXes
d(s;t)<
Proof. We take the notations of the proof of Theorem 11.2. The main point is to show that, when T
is nite, for every > 0 and `0 ` `1 ,
(11:6)
IE sup jXs
d(s;t)<
Xt j
1 (N (T; d; 2 ` )2 ) + 8
m>`
2 m
1 (N (T; d; 2 m )) :
Let and ` be xed. The proof of Theorem 11.2 indi ates that the haining identity
Xt
Xk` (t) =
`1
X
(Xkm (t)
m=`+1
Xkm 1 (t) )
331
implies that
IE sup jXt
t2T
Xk` (t) j 2
m>`
2 m
1 (N (T; d; 2 m )) :
Let now
(x;y)2U
where we have used that k` (ux;y ) = k` (s) = x and similarly for y . We then have
learly (11.6).
We
an now
on
lude the proof of the theorem. We have obtained by (11.6) that, under the niteness of
the entropy integral, for ea
h " > 0 there exists > 0 depending only on " > 0 and T; d; su
h that, for
every nite and thus also
ountable subset S of T ,
IE sup jXs
s;t2S
Xt j < " :
d(s;t)<
Sin
e (T; d) is totally bounded, there exists S
ountable and dense in T . Setthen Xet = Xt if t 2 S and
Xet = lim Xs where this limit, in probability or L1 , is taken for s ! t , s 2 S . Then (Xet )t2T is
leary a
version of X whi
h satises all the required properties. To see in parti
ular that (Xet )t2T has uniformly
ontinuous sample paths on (T; d) , let, for ea
h n , n > 0 be su
h that
IE sup
d(s;t)<n
332
Then, if An = f sup
d(s;t)<n
IE sup jXs
d(s;t)<
Xt j < " :
But this last
ondition is exa
tly what is provided by Theorem 11.6 under the entropy
ondition. We thus
have the following
onsequen
e whi
h will be of interest in the study of the
entral limit theorem in Chapter
14.
Corollary 11.8. Let X = (Xt )t2[0;1 be a separable random pro
ess indexed on [0; 1 su
h that for
some > 0 and p > 1 and all s; t in [0; 1 ,
IEjXs
Xt j js tjp :
333
Proof. We apply Theorem 11.6 together with Remark 11.5. We distinguish between two
ases. If
p , then
kXs Xt k d(s; t)
where d is the metri
d(s; t) = js tjp= ( p= 1 ). As is obvious, N ([0; 1; d; ") is of the order " =p and
sin
e p > 1 the
orresponding entropy integral with (x) = x in Theorem 11.6 is nite and the
on
lusion
follows in this
ase. When p , then, for all s; t in [0; 1
kjXs Xt j
kp d(s; t)
where
= =p 1 and here d(s; t) = js tj . Apply then again Theorem 11.6 with this time Remark 11.5;
indeed, sin
e
1 , jXs Xt j
denes a random distan
e and here N ([0; 1; d; ") " 1 . The proof is
omplete.
While the pre
eding evaluations seem quite easy, they however appear to be sharp in various instan
es.
The
ase of Gaussian pro
esses treated in Se
tion 11.3 and the next
hapter is a rst example. Other examples
on
erning pro
esses indexed by regular subsets of IRN were treated in the literature (see e.g. [Ha, [H-K,
[Pi9, [Ib, [Ta12, et
.). They basi
ally indi
ate that, if every random pro
ess satisfying a
ertain Lips
hitz
ondition is almost surely bounded or
ontinuous, then a
orresponding integral is
onvergent. This is the
natural formulation of the ne
essity results. They do not
on
ern one single pro
ess but rather the whole
family of pro
esses satisfying the same in
remental
ondition. Only in the Gaussian
ase the ne
essary
onditions
an
on
ern one single pro
ess due to the
omparison theorems. We shall
ome ba
k to this in
Chapter 12.
334
=
m (T; d; ) = sup
t2T
Z D
1
d" < 1
m(B (t; "))
where B (t; ") is the open ball in the d -metri
of
enter t and radius " > 0 . (Again we
ould use essentially
equivalently
losed balls.) We thus
all (11.7) a majorizing measure
ondition as opposed to the entropy
ondition studied before. This denition
learly gives a way to take more into a
ount lo
al properties of
the geometry of T . Our aim in this se
tion will be to show how one
an
ontrol random pro
esses satisfying
Lips
hitz
onditions under a majorizing measure
ondition as we did before with entropy and a
tually in a
more e
ient way.
We start with some remarks for a better
omprehension of
ondition (11.7) and for
omparison with the
results of Se
tion 11.1. If s and s0 are two points in T with d(s; s0 ) = 2 > 0 , the open balls B (s; ) and
B (s0 ; ) are disjoint. Thus, if m is a probability measure on (T; d) , one of these two balls, say B (s; ) ,
has a measure less than or equal to 1=2 . Therefore
sup
t2T
Z D
1
d"
m(B (t; "))
Z
1
d"
m(B (s; "))
1 (2) ;
m (T; d; )
(11:8)
1
2
1 (2)D :
Also, if m is a majorizing measure satisfying (11.7), then (T; d) is totally bounded and a
tually
(11:9)
sup "
">0
1 (N (T; d; ")) 2
m (T; d;
):
The proof of this easy fa
t is already instru
tive on the way to use majorizing measures. Let N (T; d; ") N .
There exist t1 ; : : : ; tN su
h that d(ti ; tj ) " for all i 6= j . By denition of
m (T; d; ) =
, for ea
h
iN,
" 1
1
;
2
m(B (ti ; "=2))
that is m(B (ti ; "=2)) [ (2
=") 1 . Sin
e the balls B (ti ; "=2) , i N , are disjoint and m is a probability,
it follows that (2
=") N whi
h is the result (11.9).
335
More important now is to observe that entropy
onditions are stronger than majorizing measure
onditions.
That, is there is a probability measure m on T su
h that
(11:10)
sup
t2T
Z D
Z D
1
d" K
m(B (t; "))
0
1 (N (T; d; "))d"
where K is some numeri
al
onstant. This
an be established in great generality (
f. [Ta12) but we a
tually
only prove it here in a spe
ial
ase. The general study of bounds on sto
hasti
pro
esses using majorizing
measures runs indeed in many te
hni
alities in whi
h we de
ided not to enter here for the simpli
ity of the
exposition. We will thus restri
t this study to the
ase of a spe
ial
lass of Young fun
tions for whi
h
things be
ome simpler. This restri
tion however does not hide the main idea and interest of the majorizing
measure te
hnique. As already mentioned, this study
an be
ondu
ted in a rather large generality and we
refer to [Ta12 where this program is performed.
For the rest of this paragraph, we hen
e assume that
C and all x; y 1 ,
(11:11)
1 (xy ) C (
1 (x) +
1 (y ))
and
1
dx < 1 :
x
This
lass
overs the main examples we have in mind, namely the exponential Young fun
tions q (x) =
exp(xq ) 1 , 1 q < 1 (and also 1 (x) = exp(exp x) e ). For simpli
ity in the notations, let us assume
moreover that C = 1 in (11.11) (whi
h is a
tually easily seen not to be a restri
tion).
Let us now show how in this
ase we may prove (11.10). Let, as usual, `0 be the largest integer with
2 `0 D where D is the diameter of (T; d) . For every ` `0 , let T` T denote the set of the
enters of
a minimal family su
h that the balls B (t; 2 ` ) , t 2 T` ,
over T . By denition, Card T` = N (T; d; 2 `) .
Consider then the probability measure m on T given by
m=
`>`0
2 `+`0 N (T; d; 2 `)
t2T`
X
1
d"
2 `
m(B (t; "))
`>`0
`>`0
2 `
1
m(B (t; 2 ` ))
1 (2` `0 N (T; d; 2 ` )) :
336
`>`0
2 `
1 (2` `0 ) +
`>`0
2
2 `
`0 +1
4D
1 (N (T; d; 2 ` ))
Z 1=2
0
Z 1=2
0
(x 1 )dx + 2
(x 1 )dx + 2
2 1 + 2(
1 (1)) 1
Z D
Z D
1 (N (T; d; "))d"
Z 1=2
1 (N (T; d; "))d"
(x
!Z
1 )dx
and the announ
ed
laim follows. Note that the
onstant however depends on
R
Let us note that the pre
eding proof a
tually shows that when 0D
majorizing measure whi
h satises (in addition to (11.10))
(11:12)
lim sup
Z
!0 t2T 0
1 (N (T; d; "))d"
then m is a
1
d" = 0 :
m(B (t; "))
This
ondition is the one whi
h enters to obtain
ontinuity properties of sto
hasti
pro
esses as opposed
to (11.7) whi
h deals with boundedness. We therefore sometimes speak of bounded, resp.
ontinuous,
majorizing measure
onditions. This is another advantage of majorizing measures upon entropy, to be able
to give weaker su
ient
onditions for sample boundedness than for sample
ontinuity.
Let us now enter the heart of the matter and show how majorizing measures are used to
ontrol pro
esses.
Our approa
h will be to asso
iate to ea
h majorizing measure a (non-unique) ultrametri
distan
e ner
than the original distan
e d and for whi
h there still exists a majorizing measure. This ultrametri
stru
ture
is at the basis of the understanding of majorizing measures and will appear as the key notion in the study of
ne
essity in the next se
tion. Alternatively, it
an be seen as a way to dis
retize majorizing measures. This
then allows to use
haining arguments exa
tly as with entropy
onditions. This program is a
omplished
in Proposition 11.10 and Corollary 11.12 below. We however start with a simple lemma whi
h allows to
onveniently redu
e to a nite index set T .
Lemma 11.9. Let (T; d) be a pseudo-metri
spa
e with diameter D(T ) . Let m be a probability
measure on (T; d) and re
all we set
m (T; d; ) = sup
t2T
Z D(T )
1
d" :
m(B (t; "))
337
Then, if A is a nite (or ompa t) subset of T , there is a probability measure on (A; d) su h that
(A; d; ) = sup
t2A
Z D(A)
2 sup
Z D(A)=2
t2A 0
1
d"
(BA (t; "))
1
1
d"
m(B (t; "))
where D(A) is the diameter of (A; d) and BA (t; ") the ball in A of
enter t and radius " > 0 . In
parti
ular,
(A; d; ) 2
m (T; d; ) .
Proposition 11.10. Let satisfying (11.11) and let (T; d) be a nite metri
spa
e with diameter D .
Let m be a probability measure on (T; d) and re
all we set
m (T; d; ) = sup
t2T
Z D
1
d" :
m(B (t; "))
There exist an ultrametri
distan
e on T su
h that d(s; t) (s; t) for all s; t in T and a probability
measure on (T; ) su
h that
(T; ; ) K
m (T; d; )
where K is a
onstant depending only on
338
Proof. Let `0 be the largest integer ` su
h that 4 ` D and `1 be the smallest one su
h that the
balls B (t; 4 ` ) of
enter t and radius 4 ` in the metri
d are redu
ed to exa
tly one point. Assume
T = (ti ) . Set T`1 ;i = fti g for every i . For every ` = `1 1; : : : ; `0 , we
onstru
t by indu
tion on i 1 ,
points x`;i and subsets T`;i of T as follows: setting T`;0 = ; ,
[
m(B (x`;i ; 4 `)) = maxfm(B (x; 4 ` )) ; x 62 T`;j g ;
T`;i =
`+1 ) 6= ; ;
j<i
Dene then (s; t) = 4 `+2 where ` is the largest integer su
h that s and t belong to the same T`;i for
some i . is
learly an ultrametri
distan
e. By de
reasing indu
tion on ` , it is easily veried that the
diameter of ea
h set T`;i is less than 4 `+2 . It then
learly follows by denition of that d(s; t) (s; t)
for all s; t in T .
For ea
h ` , (T`;i ) forms the family of the -balls of radius 4 `+2 . By
onstru
tion, the balls B (x`;i ; 4 ` )
P
when i varies are disjoint so that m(B (x`;i ; 4 `)) 1 . Let t`;i be a xed point in T`;i . Consider
i
0 =
`1
X
`=`0
X
4 `+`0 +1 m(B (x`;i ; 4 `))t`;i
We evaluate
(T; ; ) using (11.13) and the properties of . Let t be xed, t 2 T`;i . By (11.13) and
(11.11),
`1
X
X
X
1
1
`
1
`
`
`
1
`
1
0 +1
4
(4
)+
4
:
4
(T`;i )
m(B (t; 4 `))
``0
``0
`=`0
By denition of `0 (and (11.8)), this easily implies the
on
lusion. The proof is
omplete.
Remark 11.11. If (T; ) is ultrametri
and satises (11.11), we may observe the following from the
pre
eding proof: for every ` , let B` be the family of the balls B of radius 2 ` (or 4 ` to agree with the
proof of Proposition 11.10); then, perhaps more important than the probability measure we
onstru
ted
(although it is a
tually equivalent), is the datum of a family of weights (B; `) 0 , B 2 B` , su
h that
339
B 2B`
(B; `) 1 (the measures m(B (x`;i ; 4 ` )) in the pre eding proof). Further, Proposition 11.10 may be
expressed in the following "dis
retized" formulation. Denote by `0 the largest integer ` su
h that 2 ` D ;
then, there exists, for all ` `0 , nite sets T` in T and maps ` : T ! T` su
h that ` 1 ` = ` 1
and d(t; ` (t)) 2 ` for every t and ` , and a dis
rete probability measure on fT`; ` `0 g satisfying
X
sup
2
t2T ``0
1
(f` (t)g)
K m (T; d; )
where K only depends on . Indeed, if is the ultrametri
stru
ture obtained in Proposition 11.10, for
every ` `0 denote by B` the family of the -balls of radius 2 ` . For every t 2 T , there is a unique
element B of B` with t 2 B . Let then ` (t) be one xed point of B and let ` (f` (t)g) = (B ) . The
P
probability measure
2 `+`0 +1 ` fullls the
onditions of the
laim.
``0
Provided with the pre
eding results, we now present su
ient
onditions in terms of majorizing measures
for a random pro
ess to be almost surely bounded or
ontinuous. The results are the analogs (a
tually
improvements), in the setting of fun
tions satisfying (11.11), of Theorems 11.1, 11.2 and 11.6 dealing with
entropy. We rst establish the main result for a general Young fun
tion , in the
ase of an ultrametri
index set, and then dedu
e the general
ase from Proposition 11.10 for a fun
tion satisfying (11.11). As
an alternate approa
h, one may use the pre
eding dis
retization (Remark 11.11) that, however, does not
really
larify the steps in whi
h the property (11.11) of is used. We refer to [Ta12 for more details on
this point and a more general study for arbitrary Young fun
tions .
Proposition 11.12. Let be an arbitrary Young fun
tion and let X = (Xt )t2T be a random pro
ess
in L1 = L1 (
; A; IP) indexed by a nite ultrametri
spa
e (T; ) su
h that, for all s; t in T and all
measurable sets A in
,
Z
1
1
jXs Xt jdIP (s; t)IP(A)
:
IP(A)
A
Then, for any probability measure on (T; ) and any measurable set A ,
Z
sup jXs
A s;t2T
Z D
1
d"
IP(A)(B (t; "))
Xx j = jXti
Xx j
340
sup jXt
Xx jdIP =
A t2T
XZ
Ai
jXti Xx j dIP :
Let `0 be the largest integer ` su
h that 2 ` D and, for ` `0 , denote by B` the family of the balls of
radius 2 ` . For every B in B` , we x x(B ) 2 B , and take x(T ) = x . Further, we let ` (t) = x(B (t; 2 ` )) ,
t 2 T , ` `0 . The usual
haining identity then yields, for every t in T ,
jXt Xxj
`>`0
jX`(t) X`
(t) j :
sup jXt
XXZ
Xx jdIP
A t2T
i `>`0 Ai
X X XZ
`>`0 B 2B` ti 2B Ai
X X Z
=
where B B and B 2 B`
Z
1.
jX`(ti ) X`
`>`0 B 2B` AB
(ti ) jdIP
(ti ) jdIP
sup jXt
X X
Xx jdIP
A t2T
`>`0 B 2B`
`+1 IP(A
B)
M = sup
t2T
X
``0
Z D
1
d"
IP(A)(B (t; "))
1
IP(A)(B (t; 2 ` ))
2M :
``0
2 `
B 2B`
(B )
1
IP(A)(B )
1
:
IP(AB )
2M ;
341
while integrating with respe
t to the measure on T su
h that (fti g) = IP(Ai ) yields
X
``0
B 2B`
IP(AB )
1
IP(A)(B )
1
IP(AB )
IP(A)(B )
2IP(A)M :
1
IP(A)(B )
sin
e (u) u 0 (u) whi
h shows that the fun
tion u 1 (1=u) is in
reasing. If IP(AB ) IP(A)(B ) , we
have simply that
1
1
1
1
IP(AB )
IP(AB )
:
IP(AB )
IP(A)(B )
Assembling this observation with what we obtained previously yields
Z
sup jXt
A t2T
XxjdIP 8IP(A)M
sup jXs
A s;t2T
Xt jdIP K IP(A) D
Z D
1
+ sup
IP(A)
t2T 0
Xt j K sup
t2T
Z D
1
d"
m(B (t; "))
. In parti
ular,
1
d" :
m(B (t; "))
Let us mention that the various
omments next to Theorem 11.2 about integrability and tail behavior of
the supremum of the pro
esses under study
an be repeated similarly from Theorem 11.13; simply repla
e
342
the entropy integral by the
orresponding majorizing measure integral. In parti
ular, as an analog of (11.4),
we have in the setting of Theorem 11.13 that for every u > 0
(11:14)
IP sup jXs
s;t2T
Xt j > K ( + u)
where
=
m (T; d; ) = sup
t2T
Z D
u 1
1
d" :
m(B (t; "))
The next result
on
erns
ontinuity of random pro
esses under majorizing measure
onditions. It is the
analog of Theorem 11.6 and the proof a
tually simply needs to adapt appropriately the proof of Theorem
11.6. As announ
ed, the majorizing measure
ondition has to be strengthened into (11.12).
1
:
IP(A)
Z
1
d" = 0 :
m(B (t; "))
Then X admits a version Xe with almost all sample paths (uniformly)
ontinuous on (T; d) . Moreover, Xe
satises the following property: for ea
h " > 0 , there exists > 0 depending only on the pre
eding limit,
i.e. only on T; d; ; m but not on X , su
h that
IE sup jXes
d(s;t)<
Proof. We simply sket
h the steps of the proof of Theorem 11.6 in the majorizing measure setting. For
ea
h > 0 , set
Z
1
1
d"
() = sup
m(B (t; "))
t2T 0
so that lim!0
() = 0 . Fix > 0 . If A is a nite subset of T , we know from Lemma 11.9, or more
pre
isely its proof, that there is a probability measure on (A; d) su
h that
sup
t2T
Z
1
d" 2
(=2) 2
() :
(B (t; "))
343
This observation allows to assume that T is nite in what follows. Let ` be the largest integer su
h that
2 ` D . If (T; d) is ultrametri
, the proof of Theorem 11.13 and its notations yield
IE sup jXt
t2T
X`(t) j K ()
for some (numeri
al) K . We
an then simply repeat in this
ase the argument leading to (11.6) in the proof
of Theorem 11.6 to get that, for every > 0 ,
IE sup jXs
(11:15)
d(s;t)<
Xt j
1 (N (T; d; 2 ` )2 ) + K ( ) :
Proposition 11.10, adapted to the present
ase, i.e. with repla
ing the diameter, allows then to extend
this property to the
ase of a general index set T; K depending then on . Sin
e (T; d) is totally bounded
under the majorizing measure
ondition, the proof of Theorem 11.14 is
ompleted exa
tly as the one of
Theorem 11.6.
Note that the pre
ise dependen
e of on " in the last assertion of Theorem 11.14
an be made expli
it
from (11.15). This will not be required in the sequel so that we only gave the statement that will be su
ient
in our appli
ations. This will be in parti
ular the
ase for the majorizing measure versions of Corollary 11.7
whi
h we need not state sin
e
ompletely similar. Note further, that a deviation inequality of the type
(11.14) may be obtained for supremum over d(s; t) < from (11.15). We leave the details to the interested
reader.
Various remarks developed in Se
tion 11.1 in the
ontext of entropy apply similarly in the setting of
majorizing measure
onditions. This is the
ase for example with Remark 11.5 whi
h we need not repeat
here; we however use it freely below. This is also the
ase for Remark 11.4 whi
h might be worthwile to
detail in this
ontext. Here is its analog.
Remark 11.15. In the setting of Theorem 11.13, assume the pro
ess X = (Xt )t2T satises the following
weaker assumption: for every t 2 T and integer ` , and every measurable set A and s in the ball of
enter
t and radius 2 ` ,
(11:16)
1
+ M`(t)IP(A)
IP(A)
344
Then, the
on
lusion of Theorem 11.13 holds similarly, i.e. under the majorizing measure
ondition, X is
almost surely bounded. The quantitative bounds of
ourse involve then the pre
eding quantity. In
ase of
Theorem 11.14 dealing with
ontinuity, the
ondition on (M` (t)) has to be strengthened into
X
lim sup
M` (t) = 0 :
`0 !1 t2T
``
0
As for Remark 11.4, this extension to pro
esses satisfying (11.16) follows dire
tly from the proof of Theorem
11.13. We will see in the next paragraph how these simple observations
an be rather useful in various
appli
ations.
Z D
and thus
Z D
(11:17)
1 (N (T; d; "))d" 3
The reverse inequality (with
onstant 1 ) is obvious. Note that we
an write indierently, with the fun
tion
(log x)1=q , the integral up to D or 1 sin
e N (T; d; ") = 1 if " D . Similarly, for the majorizing measure
ondition, we have that for every probability measure m on T
(11:18)
sup
t2T
Z D
1=q
Z 1
1
1
d" 4 sup
log
d"
m(B (t; "))
m(B (t; "))
t2T 0
345
and trivially also a reverse inequality. A similar property of
ourse also holds for
ontinuous majorizing
measure
onditions. We
an further deal with 1 (x) = exp(exp x) e and repla
e 11 (x) by log(1+log x) ,
or the more
ommonly used log+ log x (provided the diameter is taken in a
ount in the inequalities).
A
ordingly, we use freely below either q 1 (x) or (log x)1=q depending on the
ontext and/or histori
al
Let X = (Xt )t2T be a Gaussian pro
ess. Re
all from Chapter 3 that by this we mean that the distribution
of any nite dimensional random ve
tor (Xt1 ; : : : ; XtN ) , ti 2 T , is Gaussian. The distribution of X is
therefore
ompletely determined by its
ovarian
e stru
ture IEXs Xt , s; t 2 T . The question of
ourse raises
to know under whi
h
ondition(s) on its
ovarian
e stru
ture, the Gaussian pro
ess X is (or admits a version
whi
h is) almost surely bounded or
ontinuous.
Set
dX (s; t) = kXs Xt k2 ;
s; t 2 T :
The knowledge of the
ovarian
e stru
ture implies a
omplete knowledge of this L2 -metri
dX , and
onversely, at least if IEXt2 , t 2 T , is known. dX is therefore a natural pseudo-metri
on the index set T
asso
iated to the Gaussian pro
ess X . A
ording to the previous se
tions, we might try to know how the
"geometry" of (T; dX ) des
ribes boundedness or
ontinuity properties of the sample paths of X . In this
order of ideas, the results of the pre
eding se
tions provide a rather pre
ise des
ription of the situation (they
will a
tually be shown to be best possible in the next
hapter). To start with however, let us rst mention
that the
omparison theorems of Se
tion 3.3
an also be e
ient in this study. Indeed, if X and Y are
two Gaussian pro
esses su
h that dY (s; t) dX (s; t) for all s; t , and if X has ni
e regularity properties,
boundedness or
ontinuity of the sample paths, then by the results of Se
tion 3.3, these
an be "transferred"
to Y . This is
lear for boundedness by the integrability properties of supremum of Gaussian pro
esses. For
ontinuity, we
an use the following lemma.
Lemma 11.16. Let Y = (Yt )t2T be a Gaussian pro
ess and d be a metri
on T su
h that dY (s; t)
d(s; t) . Then, for every > 0 ,
IE sup jYs
d(s;t)<
346
Proof. Fix > 0 and let N = N (T; d; ) (assumed to be nite and larger than 2). Let U =
(u1 ; : : : ; uN ) in T be su
h that the d -balls of radius and
enter ui
over T . Clearly
sup jYs
d(s;t)<
Yu j) + max
u;v2U
d(u;v)<3
jYu Yv j :
Similarly, by (3.13),
IE max
u;v2U
d(u;v)<3
We are thus immediately in the setting of pro
esses satisfying a Lips
hitz
ondition as studied in the previous
se
tions. The next two statements are then dire
t
onsequen
es of the results obtained there. The rst one
whi
h deals with entropy is known as Dudley's theorem. The numeri
al
onstant has no reason to be sharp.
Further, if this entropy integral is
onvergent, X has a version with almost all sample paths (uniformly)
ontinuous on (T; dX ) .
347
Theorem 11.18. Let X = (Xt )t2T be a Gaussian pro
ess. Then, for some numeri
al
onstant K and
any probability measure m on (T; dX ) ,
IE sup Xt K sup
t2T
t2T
Further, if m satises
lim sup
Z
!0 t2T 0
1
1
log
m(B (t; "))
1
log
m(B (t; "))
1=2
1=2
d" :
d" = 0 ;
X admits a version with almost all sample paths (uniformly)
ontinuous on (T; dX ) .
Note that if we are asked for
ontinuity properties of a Gaussian pro
ess X with respe
t to another
metri
d for whi
h T is
ompa
t, we need simply assume in addition that dX is
ontinuous on (T; d) ,
in other words that X is
ontinuous in L2 (or in probability). A
tually, if (T; d) is metri
ompa
t, a
Gaussian pro
ess X = (Xt )t2T is
ontinuous on (T; d) if and only if it is
ontinuous on (T; dX ) and
dX is
ontinuous on (T; d) . Su
ien
y is obvious. If X is d -
ontinuous, so is dX . For > 0 , let
T
A = f(s; t) 2 T T ; dX (s; t) g . This is a
losed set in T T and
A = A0 . Fix " > 0 .
>0
By
ompa
tness, there is > 0 and a nite set A0 A0 su
h that whenever (s; t) 2 A , there exists
(s0 ; t0 ) 2 A0 with d(s; s0 ) , d(t; t0 ) " . We have by the triangle inequality
dX (s;t)
By the integrability properties of Gaussian random ve
tors, the right side of this inequality goes to 0 with
" , and thus the left side with . It follows that X is dX -uniformly
ontinuous.
Re
all that Theorem 11.18 is more general than Theorem 11.17 ((11.10)). It is remarkable that these
two theorems drawn from the rather general results of the previous se
tions, whi
h apply to large
lasses of
pro
esses, are sharp in this Gaussian setting. As will be dis
ussed in Chapter 12, Theorem 11.17 may indeed
be
ompared to Sudakov's minoration (Theorem 3.18) and, a
tually, the existen
e of a majorizing measure
in Theorem 11.18 will be shown to be ne
essary for X to be bounded or
ontinuous.
348
Closely related to Gaussian pro
esses are Radema
her pro
esses. Following Chapter 4, we say that a
pro
ess X = (Xt )t2T is a Radema
her pro
ess if there exists a sequen
e (xi (t)) of fun
tions on T su
h
P
P
that for every t , Xt = "i xi (t) assumed to
onverge almost surely (i.e., xi (t)2 < 1 ). Re
all that
i
i
("i ) denotes a Radema
her sequen
e, i.e. a sequen
e of independent random variables taking the values 1
with probability 1=2 . The basi
observation is that a
ording to the subgaussian inequality (4.1), as in the
Gaussian
ase,
kXs Xt k 2 5kXs Xt k2
for all s; t in T . The pre
eding Theorems 11.17 and 11.18 therefore also apply to Radema
her pro
esses.
P
In parti
ular, for any probability measure m on T equipped with the pseudo-metri
d(s; t) = ( jxi (s)
i
(11:19)
IE sup
t
1
log
1
m(B (t; "))
1=2
d"
IE exp (Xs
Xt ) exp
2
d(s; t)2 :
Gaussian and Radema
her pro
esses are subgaussian with respe
t to (a multiple of) their asso
iated L2 metri
. If X is subgaussian with respe
t to d , by Chebyshev's inequality, for every ; u > 0 ,
IPfjXs
Xt j > ug 2 exp
u +
kXs Xt k 5d(s; t) :
2
2
d(s; t)2 :
2
349
This is the property we use on subgaussian pro
esses. A
tually, elementary
omputations on the basis of a
series expansion of the exponential fun
tion shows that if Z is a real mean zero random variable su
h that
kZ k 2 1 , then, for all 2 IR ,
IE exp Z exp C 2 2
where C is numeri
al. Therefore,
hanging d by some multiple of it shows that the subgaussian denition (11.20) is equivalent to say that kXs Xt k 2 d(s; t) for all s; t , or also IPfjXs Xt j > ug
C exp( u2=Cd(s; t)2 ) for some
onstant C and all u > 0 . We use this freely below.
As announ
ed, Theorem 11.17 and 11.18 apply similarly to subgaussian pro
esses. What we will a
tually
use in appli
ations
on
erning subgaussian pro
esses (in Chapter 14) is the majorizing measure version of
Corollary 11.7 for families of subgaussian pro
esses. Let us re
ord at this stage the following statement for
further referen
e.
Z
log
1
m(B (t; "))
1=2
d" = 0 :
Then, for ea
h " > 0 , there exists > 0 su
h that for every (separable) pro
ess X = (Xt )t2T whi
h is
subgaussian with respe
t to d ,
IE sup jXs
d(s;t)<
Xt j < " :
P
Turning ba
k to Radema
her pro
esses X = (Xt )t2T , Xt = "i xi (t) , we have that kXs Xt k2 =
i
P
( jxi (s) xi (t)j2 )1=2 . In Se
tion 4.1, we learned estimates of kXs Xt k q , 2 < q 1 , for other metri
s
i
than this `2 -metri
, namely `p;1 -metri
s, k(xi (s) xi (t))kp;1 where p is the
onjugate of q . These
results yield then further entropy or majorizing measure bounds of Radema
her pro
esses in terms of q
and these metri
s. In parti
ular, we have the following statement. Sin
e k(xi (s) xi (t))kp;1 need not be
distan
es in general, the proof is a
tually
arried over with the true metri
s kXs Xt k q .
P
Lemma 11.20. Let X = (Xt )t2T be a Radema
her pro
ess, Xt = "i xi (t) , t 2 T . For 1 p < 2 ,
i
let dp;1 (s; t) = k(xi (s) xi (t))kp;1 , s; t in T . Then, for any probability measure m on (T; dp;1 ) ,
IE sup
t
1
1
log
m(B (t; "))
1=q
d"
350
log 1 + log
1
d" :
m(B (t; "))
After these
lassi
al and important examples, we now investigate some more spe
ialized ones. They
on
ern Gaussian pro
esses with ve
tor values and Gaussian
haos. We say Gaussian but a
tually these
appli
ations are exa
tly the same for Radema
her pro
esses on the basis of the
orresponding results in
Chapter 4 and the previous dis
ussion. We leave it to the interested reader to translate the results to the
Radema
her
ase.
One of the main interests of these appli
ations is the use of Remarks 11.4 and 11.15
on
erning pro
esses
satisfying (11.5) or (11.16). In order to put the results in a
learer perspe
tive, we de
ided to present the
rst appli
ation to ve
tor valued Gaussian pro
esses using the tool of entropy and Remark 11.4, and the
se
ond one using majorizing measures. It is indeed fruitful to rst analyze the questions in terms of entropy.
Of
ourse, Theorem 11.21 below also holds under the
orresponding majorizing measure
onditions.
We do not seek the greatest generality in the denition of pro
esses with ve
tor values. Assume simply
we are given a separable Bana
h spa
e B and a family X = (Xt )t2T of Borel random variables Xt with
values in B indexed by T . X is Gaussian if ea
h nite sample (Xt1 ; : : : ; XtN ) , ti
2 T , is Gaussian in
B N . We may then ask similarly for almost sure boundedness or
ontinuity properties of the sample paths
of X = (Xt )t2T in B . As a rst simple observation, set, for all s; t in T ,
dX (s; t) = kXs Xt k2 = (IEkXs Xt k2 )1=2 :
From (3.5), we have that
then X has a version with almost all sample paths bounded and ontinuous on (T; dX ) .
351
The metri
dX in (3.5) is however too strong. This inequality (3.5) is indeed a
onsequen
e of the pre
ise
deviation inequalities for norms of Gaussian random ve
tors in the form of Lemma 3.1. These involve, besides
what
an be
alled the "strong" parameter dX , a "weak" parameter. Let us set indeed,
X (s; t) = (Xs
Xt ))1=2 ;
s; t 2 T . Then we know from Lemma 3.1 that, for all s; t in T , and for all u > 0 ,
IPfkXs
(11:22)
1
+ 2dX (s; t)IP(A) :
IP(A)
We are therefore in a position to make use of the general setting developed in the previous se
tions, and
in parti
ular of Remarks 11.4 and 11.15. In this way, we obtain the following result; as announ
ed, it is
des
ribed in the setting of entropy for a somewhat
learer pi
ture of the argument but also holds under the
orresponding majorizing measures
onditions. It improves upon (11.21).
Theorem 11.21. Let X = (Xt )t2T be a Gaussian pro
ess with values in a separable Bana
h spa
e B .
Re
all the weak and strong distan
es X and dX on T introdu
ed above. Then, if
1
and
X has a version with almost surely bounded and
ontinuous paths on (T; dX ) .
P
Proof. Let us rst show that there exists a sequen
e (a` ) of positive numbers su
h that
a` < 1 and
X
352
R
Set bk = (log N (T; dX ; 2 k ))1=2 for every k . Sin
e 01 log+ log N (T; dX ; ")d" < 1 , we have
2 k log+ bk <
1 . Dene `k = [log+2 (2k bk ) + 1 where [ is integer part and log2 the logarithm of base 2 . We let then
a` to be 2 k for all ` with `k < ` `k+1 . Clearly
X
Further
a`
2 k `k+1 < 1 :
X
2 `(log N (T; dX ; a` ))1=2
2 `k +1 bk
is almost surely
onvergent. Following Se
tion 3.2, we introdu
e two distan
es d1 and d2 on T by setting
d1 (s; t) = kXs Xt k2 and
X
d2 (s; t) = sup j hi hj (xij (s) xij (t))j
jhj1 i;j
353
for s; t in T . With respe
t to Se
tion 3.2, we do not
onsider the third parameter sin
e we have seen there
that, for real sequen
es, the asso
iated de
oupled
haos is equivalent to X (at least if the diagonal terms
are zero). It follows from Lemma 3.8 and the
omments introdu
ing it that there is a numeri
al
onstant K
su
h that, for all s; t , d2 (s; t) Kd1 (s; t) and
IPfjXs
(11:23)
We
ould then apply the results of the pre
eding se
tions and show boundedness and
ontinuity of X in
terms of the only distan
e d1 with respe
t to the Young fun
tion 1 (x) = exp(x) 1 . However, as in the
previous appli
ation, the in
remental estimates (11.23) involving the two distan
es d1 and d2 are more
pre
ise and lead to sharper
onditions. (11.23) is used in the
ontext of Remarks 11.4 and 11.15. To this
aim, note that it implies that if a d2 (s; t) , for all u > 0 ,
IPfjXs
1
Xt j > d21 (s; t) + 2aug K exp( u=K )
a
(sin
e a 1 d21 (s; t) + 2au ud1 (s; t) + ud2 (s; t) ). Hen
e, for some (possibly dierent) numeri
al
onstant
K,
k(jXs Xt j a1 d21 (s; t))+ k 1 Ka :
Therefore, if a d2 (s; t) and A is measurable in
,
(11:24)
1
1
+ d21 (s; t)IP(A) :
IP(A)
a
These relations put us in the right situation in order to apply Theorems 11.13 and 11.14 together with
Remark 11.15.
We
an now state our result on almost sure boundedness and
ontinuity of Gaussian
haos pro
esses.
P
Theorem 11.22. Let Xt = gi gj xij (t) , t 2 T , be a Gaussian
haos pro
esses of order 2 as just
i;j
des
ribed with asso
iated metri
s d1 and d2 . Assume there exist probability measures m1 and m2 on T
su
h that respe
tively
1=2
Z
1
lim sup
log
d" = 0
!0 t2T 0
m1 (B1 (t; "))
354
and
lim sup
!0 t2T
Z
log
1
d" = 0
m2 (B2 (t; "))
where Bi (t; ") is the di -ball of
enter t and radius " > 0 (i = 1; 2) . Then X = (Xt )t2T admits a version
with almost all sample paths bounded and
ontinuous on (T; d1 ) .
1
log
i=2
1
d" M ; i = 1; 2;
mi (Bi (t; "))
IE sup jXs
s;t2T
Xt j KM
for some numeri
al K . From this and the material dis
ussed in the pre
eding se
tion, it is not di
ult to
dedu
e the full
on
lusion of the statement.
Let thus T be nite and M be as before. A
ording to Proposition 11.10, we may and do assume that
d1 and d2 are ultrametri
. For every t and ` set
(t; `) = 2 ` log
1
m1 (B1 (t; 2 `))
1=2
so that
(t; `) KM . Denote by k(t; `) the largest integer k su
h that 22j
(t; ` + j ) 1 for all j k .
`
We may observe that
X
(11:25)
2 2k(t;`) 8KM :
To show this, let Ln = f`; ` + k(t; `) = ng . We note that if ` 6= `0 are elements of Ln , then k(t; `) 6= k(t; `0 )
P
from whi
h it follows that
2 2k(t;`) 2 2k(t;`0 )+1 where k(t; `0 ) = minfk(t; `); ` 2 Ln g . But then, by
`2Ln
denition of k(t; `0 ) , 2 2k(t;`0 ) 4
(t; `0 + k(t; `0 ) + 1) = 4
(t; n + 1) . (11.25)
learly follows and implies
in parti
ular that
(11:26)
As another property of the integers k(t; `) , note, as is easily
he
ked, that ` + k(t; `) is in
reasing in ` .
For every t and ` ,
onsider the subset H (t; 2 2` ) of T
onsisting of the balls C of radius 2 ` k(t;`) 1
355
in
luded in B1 (t; 2 ` k(t;`) ) su
h that k(s; `) = k(t; `) for all s in C . From the denition of k(t; `) , the
latter property only depends on C , and not on s in C . Sin
e t + k(t; `) is in
reasing in ` , H (t; 2 2` 2)
H (t; 2 2`) . Further the subsets H (t; 2 2`) when t 2 T form the family of the balls of radius 2 2` for the
(ultrametri
) distan
e d0 given by
d0 (s; t) = 2 2`
2 2` log
1
m2 (B2 (t; 2 2` ))
KM :
Let B (t; 2 2`) be the ball of
enter t and radius 2 2` for the distan
e d = max(d0 ; d2 ) . Su
h a ball is
the interse
tion of a d0 -ball of radius 2 2` and a d2 -ball of radius 2 2` . To this ball we
an asso
iate the
weight
2 k(t;`)+k0 1 m1 (B1 (t; 2 ` k(t;`) ))m2 (B2 (t; 2 2`))
where k0 is the smallest possible value for k(t; `) , t 2 T , ` 2 ZZ . We obtain in this way a family of weights
as des
ribed in Remark 11.11. One
an then
onstru
t a probability measure m on (T; d) su
h that, by
(11.26) and (11.27), for all t in T ,
X
2 2` log
1
m(B (t; 2 2` ))
KM
for some numeri
al K . We are then in a position to
on
lude. Let s and t be su
h that d(s; t) 2 2` .
Then, by
onstru
tion, d1 (s; t) 2 ` k(t;`) and d2 (s; t) 2 2` . Hen
e, from (11.24), for every measurable
set A ,
Z
jXs Xt jdIP K 2 2`IP(A) 1 IP(1A) + 2 2k(t;`) :
A
We therefore see that we are exa
tly in the situation des
ribed by Remark 11.15 and (11.16) sin
e (11.25)
holds. We thus
on
lude the proof of Theorem 11.22 in this way.
Let us mention to
on
lude this
hapter that the previous theorem might be extended to ve
tor valued
P
haos pro
esses, that is pro
esses Xt = gi gj xij (t) where the fun
tions xij (t) take their values in a Bana
h
i;j
spa
es. A
ording to the study of Se
tion 3.2, three distan
es would then be involved with dierent entropy
or majorizing measure
onditions on ea
h of them ( d + 1 distan
es for
haos of order d !). We do not pursue
in this dire
tion.
356
357
measures is not
ompletely similar to this real variable lemma. Our
on
erns go more to integrability and tail
behaviors rather than moduli of
ontinuity. More pre
isely, the te
hnique of [G-R-R, rened by C. Preston
[Pr1, [Pr2 and B. Heinkel [He1, [He3, allows for example to show the following non-random property. Let
f be real (
ontinuous) on some metri
spa
e (T; d) and let be a Young fun
tion. Given a probability
measure m on (T; d) , denote by kfekL (mm) the Orli
z norm with respe
t to of
fe(s; t) =
jf (s) f (t)j I
d(s; t)
fd(s;t)6=0g
in the produ t spa e (T T ; m m) . Then one an show ( f. [He3) that for all s; t in T ,
Z d(s;t)=2
1
d" :
m(B (u; "))2
Note the square of m(B (u; ")) in the majorizing measure integral. (While this square is irrelevant when
has exponential growth, this is not the
ase in general, and a main
on
ern of the paper [Ta12 is to remove
this square when it is not needed.) In
on
rete situations, the evaluation of the entropy integral (usually
for Lebesgue measure on some
ompa
t subset of IRN ) yields therefore various moduli of
ontinuity and
a
tually allows to study bounds on sup jXs Xt j=d(s; t) , > 0 . These arguments have been proved
s;t
useful in sto
hasti
al
ulus by several authors (see e.g. [S-V, [Yo, [B-Y, [DM et
., and in parti
ular
the re
ent
onne
tions between regularity of (stationary) Gaussian pro
esses and regularity of lo
al times
of levy pro
esses put forward by M. T. Barlow [Bar1, [Bar2, [B-H). On the basis of the seminal result of
[G-R-R, C. Preston [Pr1, [Pr2 developed the
on
ept of majorizing measures and basi
ally obtained, in
[Pr1, Theorem 11.18. However, in his main statement, C. Preston unne
essarily restri
ts his hypotheses.
He was apparently not aware of the power of the present formulation whi
h was put forward by X. Fernique
who
ompletely established Theorem 11.18 [Fer4. X. Fernique developed in the mean time a somewhat
dierent point of view based on duality of Orli
z norms (
f. [Fer3, [Fer4). Our exposition is taken from
[Ta12 to whi
h we a
tually refer for a more
omplete exposition involving general Young fun
tions . The
ultrametri
stru
ture and dis
retization pro
edure (Proposition 11.10 and Corollary 11.12), impli
it in [Ta5,
are des
ribed in [A-G-O-Z, [Ta7, and [Ta12.
As mentioned, Theorem 11.17 is due to R. Dudley [Du1, [Du2 after early observations and
ontributions
by V. Strassen and V. N. Sudakov while Theorem 11.18 is due to X. Fernique [Fer4. Various
omments
on regularity of Gaussian pro
esses are taken from these referen
es as well as from [M-S1, [M-S2 (where
Slepian's lemma is introdu
ed in this study), [J-M3, [Ta5, [Ad. Lemma 11.16 is taken from [Fer8 (to
358
show a result of [M-S2). Let us mention here a volumi
approa
h to regularity of Gaussian pro
esses in
the paper [Mi-P where lo
al theory of Bana
h spa
es is used to prove a
onje
ture of [Du1. Subgaussian
pro
esses have been emphasized in their relation to the
entral limit theorem in [J-M1, [He1, [J-M3 (
f.
Chapter 14). Lemma 11.20
omes from [M-P2 (see also [M-P3) and will be
ru
ial in Chapter 13. The new
te
hnique of using simultaneously dierent majorizing measure
onditions for dierent metri
s in Theorems
11.21 and 11.22 is due to the se
ond author. It be
omes very natural in the new presentation of majorizing
measures introdu
ed in [Ta18; see also [Ta19. Theorem 11.22 on regularity of Gaussian and Radema
her
haos pro
esses improves observations of [Bo6.
359
360
361
We have seen in Theorem 11.18 that for any probability measure m on (T; dX ) ,
(12:1)
1
IE sup Xt K sup
t2T
t2T
log
1
m(B (t; "))
1=2
d"
where B (t; ") is the open ball of
enter t and radius " > 0 in the pseudo-metri
dX and X has almost
surely bounded sample paths if, for some probability measure m , the majorizing measure integral on the
right of (12.1) is nite. There is a similar result about
ontinuity. Re
all further that IE sup Xt is simply
t2T
understood here as
IE sup Xt = supfIE sup Xt ; F nite in T g :
t2T
t2F
K is further some numeri
al
onstant whi
h may vary from line to line in what follows. By (11.10), (12.1)
ontains the familiar entropy bound (Theorem 11.17)
(12:2)
IE sup Xt K
t2T
Now, we have seen in Theorem 3.18 a lower bound in terms of entropy numbers whi
h indi
ates that
(12:3)
These two bounds (12.2) and (12.3) appear to be rather
lose from ea
h other. There is however a small gap
whi
h may be put forward by the example of an independent Gaussian sequen
e (Yn ) su
h that kYnk2 =
(log(n + 1)) 1=2 for all n . This sequen
e, whi
h denes an almost surely bounded pro
ess by (3.7), shows
that boundedness of Gaussian pro
esses
annot be
hara
terized by the metri
entropy integral in (12.2).
The reason for this failure is due to the possible la
k of homogeneity of T for the metri
dX . We will see
in the next
hapter that in, a homogeneous setting, the metri
entropy
ondition does
hara
terize almost
sure boundedness and
ontinuity of Gaussian pro
esses.
As we know, majorizing measures provide a way to take into a
ount the possible la
k of homogeneity
of (T; dX ) . Further, by (11.9) and (11.10), the majorizing measure integral of (12.1) lies in between the
entropi
bounds (12.2) and (12.3). As a main result, we will now show that the minoration (12.3)
an be
improved into
(12:4)
1=2
1
1
sup
d" K IE sup Xt
log
m(B (t; "))
t2T
t2T 0
Z
362
for some probability measure m on T . Hen
e, together with (12.1), existen
e of a majorizing measure
for the fun
tion 2 1 , or (log(1=x))1=2 (
f. (11.18)),
ompletely
hara
terizes boundedness of Gaussian
pro
esses X in terms only of their asso
iated L2 -metri
dX . There is a similar result for
ontinuity.
The proof of this result, to whi
h we now turn, requires a rather involved study of majorizing measures.
This will be a
omplished in an abstra
t setting whi
h we now des
ribe.
The majorizing measure
onditions whi
h will be in
luded in this study
on
ern in parti
ular the ones
asso
iated to the Young fun
tions q (x) = exp(xq ) 1 . To unify the exposition, let us thus
onsider a
stri
tly de
reasing fun
tion h on (0; 1 with h(1) = 0 and xlim
!0 h(x) = 1 . We assume that for all x; y in
(0; 1
(12:5)
[This
ondition may be weakened into h(xy) h(x) +
h(y) for some positive
and the reader
an veried
that the subsequent arguments go through in this
ase, the numeri
al
onstant of Theorem 12.5 depending
then on h . As announ
ed, the main examples we have in mind with this fun
tion h are the examples of
hq (x) = (log(1=x))1=q , 1 q < 1 , and also h1 (x) = log(1 + log(1=x)) .
Let us mention that we never attempt to nd sharp numeri
al
onstants, but always use
rude, but simple,
bounds.
If (T; d) is a metri
spa
e, re
all we denote by D = D(T ) its diameter, i.e.
D = D(T ) = supfd(s; t) ; s; t 2 T g :
Given a probability measure m on the metri
spa
e (T; d) , let
m (T ) =
m (T; d) = sup
t2T
where B (t; ") is the open ball of
enter t and radius " > 0 in (T; d) . Here, and throughout this study,
when no ambiguity arises, we adopt the
onvention that B (t; ") denotes the ball for the distan
e on the
spa
e whi
h
ontains t . We also let
363
where the inmum is taken over all probability measures m on T . For a subspa
e A of T ,
(A) =
(A; d)
refers to the quantity asso
iated to the metri
spa
e (A; d) , i.e.
(A) = inf
m (A) where the inmum is
taken over the probability measures supported by A .
Re
all that a metri
spa
e (U; ) is
alled ultrametri
if for u; v; w in U we have
Lemma 12.1. The following hold under the pre
eding notations.
(i)
(T ) (T ) .
(ii) If A T , then
(A) 2
(T ) .
(iii) If U is ultrametri
and A U , then
(A)
(U ) .
(iv) If A T , then (A) (T ) .
(v) (T ) = inf f
(U ); U is ultrametri
, D(U ) D(T ) and T is the image of U by a
ontra
tion
and this inmum is attained.
Proof. (i) Let ' be a
ontra
tion from U onto T , a probability measure on U and m = '() . For
u in U , " > 0 , we have, sin
e ' is a
ontra
tion, that ' 1 (B ('(u); ")) B (u; ") , so m(B ('(u); "))
(B (u; ")) . Sin
e h is de
reasing and ' onto, we get
m (T )
(U ) , so
(T )
(U ) sin
e is
arbitrary; therefore
(T ) (T ) sin
e U and ' are arbitrary. (ii) This has already been shown in
Lemma 11.9 but let us brie
y re
all the argument. For t in T , take a(t) in A with d(t; a(t)) = d(t; A) .
364
(v) If (U; ) is ultrametri
and ' is a
ontra
tion from U onto T ,
onsider the distan
e 1 on U given
by 1 (u; v) = min((u; v); D(T )) . Then (U; 1) is ultrametri
and ' is still a
ontra
tion from (U; 1 )
onto T . By the argument of (i),
(U; 1 )
(U; ) . The last assertion follows by a standard
ompa
tness
argument. (vi) Take two points s and t in T and let = d(s; t) . The balls B (s; =2) and B (t; =2) are
disjoint so that if m is a probability measure on T , one of these balls, say the rst, has a measure less than
1=2 . Therefore
m (T )
Z =2
1
h(m(B (s; ")))d" h( )
2 2
from whi
h the result follows sin
e m; s; t are arbitrary and h(1=2) > 0 by (12.5). The proof of the lemma
is
omplete.
The next lemma is one of the key tools of this investigation. It exhibits a behavior of that resembles
a strong form of subadditivy.
Lemma 12.2. Let T be a nite metri
spa
e with diameter D = D(T ) . Suppose that we have a nite
overing A1 ; : : : ; An of T . Then, for every positive numbers a1 ; : : : ; an with
n
P
i=1
ai 1 ,
365
Therefore
Z D
Z0 1
Lemma 12.3. Let (T; d) be a nite metri
spa
e of diameter less than 6 k . We are ne
essarily in one
of the following two
ases:
(i) either there exists a subset S of T of diameter less than 6 k
(12:6)
satisfying
k+2 (S ) 2((T ) (S )) ;
1
for all i ; (Bi ) (T ) 6 k+1 h
1+N
Proof. Suppose that (i) does not hold. By indu
tion, we
onstru
t points xi , i 1 , in T in the
following manner: (B (x1 ; 6 k 2 )) is maximal, and, if x1 ; : : : ; xi 1 have been
onstru
ted, we take xi
su
h that
(B (xi ; 6 k 2 )) = maxf(B (x; 6 k 2 )) ; 8j < i ;
d(x; xj ) 3 6 k 2 g :
366
[
Si = B (xi ; 3 6 k 2 )n B (xj ; 3 6 k 2 ) :
j<i
Sin
e (i) does not hold, ne
essarily, for any i , k+2 (Si ) 2((T )
(Si ) (B (xi ; 6 k 2 )) . Thus, for all i ,
(Si ) 2((T ) (Si ))
(T ) 3((T ) (Si )) :
The union of the Si 's
overs T . They
an be assumed to be ordered in su
h a way that the sequen
e
P
((Si )) is de
reasing. If we let ai = (i + 1) 2 , we have
ai 1 . Therefore, by Lemma 12.2, there exists
i1
i0 1 su
h that
(12:9)
(Si0 ) (T ) 6 k h((i0 + 1) 2 ) :
By (12.5), h((i0 + 1) 2 ) 2h((i0 + 1) 1 ) . Hen
e, if I = f1; : : : ; i0g , sin
e ((Si )) is de
reasing, we see
from (12.9) that for all i in I ,
(12:10)
(Si ) (T ) 2 6 k h
1
1 + CardI
(B (xi ; 6 k 2 )) (T ) 6 k+1 h
1
1 + CardI
Letting Bi = B (xi ; 6 k 2 ) for i in I and N = CardI shows that we are in
ase (ii) of the statement and
that (12.7) is satised. Lemma 12.3 is established.
We now perform the main
onstru
tion. Given a metri
spa
e T , we exhaust it with the alternative
of Lemma 12.3 and
onstru
t in this way subsets (a
tually balls) whi
h are well separated and whose fun
tionals are big enough and
arry enough information on (T ) itself. Iterative use of this proposition
gives raise to a "tree" and an ultrametri
stru
ture. For two subsets A; B of a metri
spa
e (T; d) , let
d(A; B ) = inf fd(a; b) ; a 2 A ; b 2 B g .
367
Proposition 12.4. Let (T; d) be a nite metri
spa
e of diameter less than 6 k . There exists an
integer ` k and subsets (Bi )1iN of T of diameter less than 6 ` 1 su
h that d(Bi ; Bj ) 6 ` 2 for
S
i 6= j , the diameter of
Bi is 6 `+1 and
iN
1
for all i ; (Bi ) (T ) 2 6 k+1 h
1+N
(12:11)
(12:12)
for all m 1 . The
onstru
tion stops (sin
e T is nite) for some m = n and in Tn we are ne
essarily in
ase (ii) of Lemma 12.3 (sin
e if not we would be able to
ontinue the exhaustion). We rst note that, for
all m n ,
(12:13)
Indeed, this is
learly the
ase for m = 1 (sin
e we even have in this
ase that k+2 (T1 ) 2((T ) (T1 )) ).
Assume then that (12.13) is satised for m and let us show it for m + 1 . We have by (12.12) that
(Tm+1 ) k+m+1 (Tm ) by denition of the of the fun
tional . Thus, by the indu
tion
k+m+2 (Tm+1 ) (T ) (Tm+1 )
1
1+N
368
Sin e (Bi0 \ Tn ) (Tn ) `+1 (T ) , ombining (12.13) and (12.14) yields that
(Bi0 \ Tn ) (T ) 2 6 k+1 h
1
1+N
x (U ) =
6 k h(1=Nk (x)) ;
k2ZZ
(U ) = inf x (U ) :
x2U
x (U ) =
k0 k<k1
6 k h(1=Nk (x)) :
We an now state and prove the main on lusion of the pre eding onstru tion.
Theorem 12.5. There is a numeri
al
onstant K with the following property: for ea
h fun
tion h
satisfying (12.5) and ea
h nite metri
spa
e (T; d) , there exist an ultrametri
spa
e (U; ) and a map
: U ! T su
h that the following
onditions hold:
(T ) K (U ) ;
for all u; v in U ; (u; v) d((u); (v)) 63(u; v) :
Proof. Let k0 be the largest integer (in ZZ ) with 6 k0 D(T ) . Consider two points u; v of T with
d(u; v) = D(T ) . The spa
e U = (fu; vg; d) is ultrametri
and the
anoni
al inje
tion from U in T
satises 6 k0 1 d((u); (v)) 6 k0 . The balls B (u; 6 k0 1 ) , B (v; 6 k0 1 ) are disjoint; so we have
(U ) 6 k0 1 h(1=2) 6 1 h(1=2)D(T ) :
We intend to prove the theorem with K = 4 63 . By the pre
eding, the result holds unless (T )
4 62 h(1=2)D(T ) . It thus remains to prove the theorem in that
ase only. By indu
tion over k k0 ,
we
onstru
t a family B of subsets A of T in the following way. The
onstru
tion starts with A = T
369
and ea
h step is performed by an appli
ation of Proposition 12.4 to ea
h element of B obtained at the
step before. That is, if A 2 B with diameter 6 k , there exist integers k(A) k and N (A) 1 ,
subsets (Bi (A))1iN (A) of A of diameter 6 k(A) 1 and su
h that d(Bi (A); Bj (A)) 6 k(A) 2 , and
S
the diameter of
Bi (A) is 6 k(A)+1 , with the following property: for all i ,
iN (A)
(12:15)
1
:
1 + N (A)
The
onstru
tion stops when ea
h element A of B is redu
ed to exa
tly one point and we denote by U
the
olle
tion of points of T obtained in this way. For u; v in U , there exists A in B su
h that for two
dierent Bi (A) , Bj (A) , u 2 Bi (A) , v 2 Bj (A) . We then set (u; v) = 6 k(A) 2 . is ultrametri
on
U . Further, if is the
anoni
al inje
tion map from U into T , we have by
onstru
tion that (u; v)
d((u); (v)) 63 (u; v) . Fix x in U . Denote by (A` )`1 the de
reasing sequen
e of elements of B that
ontain x ; A1 = T . By (12.15), for every ` 1 ,
1
:
1 + N (A` )
(T ) 12
`1
6 k(A` ) h
1
:
1 + N (A` )
For k k0 + 3 , let B (x; 6 k ) be the -ball of U with
enter x and radius 6 k . By denition of , if
k = k(A` ) + 2 for some ` , then Nk (x) = N (A` ) , while if there is no su
h ` , Nk (x) = 1 . Hen
e, from
(12.16), and (12.5) sin
e 1 + N (A` ) 2N (A` ) , we get that
(T ) 12 h(1=2)
k>k0
6 k + 62x (U )
12(6h(1=2)D(T ) + 62 x (U )) :
Sin
e we are in the
ase D(T ) (T )=4 62h(1=2) , it follows that (T ) 4 63x (U ) . Sin
e x is arbitrary
in U , we have (T ) 4 63 (U ) whi
h is the announ
ed
laim.
Provided with the abstra
t Theorem 12.5, we
an now prove existen
e of majorizing measures for bounded
Gaussian pro
esses (at least, to start with, indexed by a nite set). In the rest of this se
tion, h(x) =
(log(1=x))1=2 .
370
Theorem 12.6. Let X = (Xt )t2T be a Gaussian pro
ess indexed by a nite set T , and provide T
with the
anoni
al distan
e dX (s; t) = kXs Xt k2 . Then
(T; dX ) K IE sup Xt
t2T
where K is a numeri
al
onstant.
The fa
t here that dX does not possibly separate all points of T is no problem: simply identify s and
t su
h that dX (s; t) = 0 and the new index set Te obtained in this way is su
h that (Te; dX ) = (T; dX )
and IE sup Xt = IE sup Xt .
t2T
t2Te
Let U; be as given by the appli
ation of Theorem 12.5 to the spa
e (T; dX ) (or (Te; dX ) ). It is thus
enough to show that (U ) K IE sup X(u) . We note that for u; v in U , dX ((u); (v)) (u; v) so that
u2U
the theorem is a
onsequen
e of the following result that we single out for future referen
e. It is at this point,
a
tually the unique pla
e in this study, that the Gaussian stru
ture through the
omparison theorems based
on Slepian's lemma plays its key role.
Proposition 12.7. Let (U; ) be a nite ultrametri
spa
e. Then, for ea
h Gaussian pro
ess X =
(Xu )u2U su
h that dX (u; v) (u; v) whenever u; v 2 U , we have (U ) K IE sup Xu where K is
u2U
numeri
al.
Proof. Let k0 be the largest integer su
h that 6 k0 D(U ) . For k > k0 , let Bk be the
olle
tion of
S
the balls of radius 6 k . Let B =
Bk . Consider an independent family (gB )B2>B of standard normal
k>k0
k) .
We let further Zu =
p X
kZu Zv k2 2 6 k 2 6
k>`
` 1
6 k gu;k . Let
k>k0
k ) for
` , so
Corollary 3.14 shows that it is enough to establish that (U ) AIE sup Zu for some
onstant A . A
ording
u2U
to (3.14), we take A su
h that (log N )1=2 AIE max gi for all N where (gi ) is an orthogaussian sequen
e.
iN
By indu
tion over n , we establish the following statement:
(Hn ) If U has diameter 6 k0 and if, for ea
h x in U , B (x; 6 k ) = fxg with k k0 n ,
then (U ) AIE sup Zu .
u2U
371
For n = 0 , U
ontains only one point so that (U ) = 0 and (H0 ) holds. Let us assume that (Hn ) holds
and let us prove (Hn+1 ) . We enumerate Bk0 +1 as fB1 ; : : : ; Bq g . For i q , let
i = f8p q ; p 6=
i ; gBp < gBi g . For u in U , dene
Zu0 =
For i
k>k0 +1
6 k gu;k = Zu
6 k0 1 gu;k0 +1 :
u2Bi
IE sup Zu IEZ =
IE(I
i Zi )
u2U
iq
X
IE(I
i (6 k0 1 gBi + Z0 i ))
iq
X
X
= 6 k0 1 IE(I
i gBi ) + IE(I
i Z0 i ) :
iq
iq
Now
IE(I
i gBi ) = IE max gBi A 1 (log q)1=2 :
iq
iq
372
a seemingly stronger, but equivalent (see Remark 12.11), statement with, in this form, some interesting
onsequen
es to be developed next.
Anti
ipating on the next se
tion, let us mention that the following two theorems, as well as their
onsequen
es, on ne
essary
onditions for boundedness and
ontinuity of sample paths of Gaussian pro
esses
a
tually hold similarly for other pro
esses on
e a statement for T nite analogous to Theorem 12.6
an be
established for them. This is the pro
edure whi
h will indeed be followed for stable pro
esses in the next
se
tion. We therefore write the proofs below with a general fun
tion h .
Metri
spa
es are no longer always nite.
Theorem 12.8. Consider a bounded Gaussian pro
ess X = (Xt )t2T . Then, there exists a probability
measure m on (T; dX ) su
h that
sup
t2T
1
log
1=2
1
d" K IE sup Xt
supfm(fsg); dX (s; t) < "g
t2T
k>k0
To ea
h ball B in an ultrametri
spa
e U , we asso
iate a point v(B ) of B . Let Bk be the family of balls
of radius 2 k of U` . Denote by m`k the probability measure on T that, for ea
h B in Bk , assigns mass
` (B ) to the point ak ('` (v(B ))) . We note that m`k is supported by Tk . Fix t in T . Choose t0 in T`
373
with dX (t; t0 ) 2 ` . Take u in U` su
h that '` (u) = t0 . For ea
h k , we have ` (u; v(B (u; 2 k ))) 2 k
so that dX (t0 ; '` (v(B (u; 2 k )))) 2 k and
Let U be a ultralter in IN . Sin
e t`k belongs to the nite set Tk , the limit tk = lim t`k exists, and
`!U
dX (t; tk ) 2 k+1 . Sin
e m`k is supported by the nite set Tk , the limit mk = lim m`k exists and thus,
`!U
for ea
h t in U ,
X
2 k h(mk (ftk g)) 2 :
k>k0
Let m =
k>k0
It follows that
k>k0
2 k h(m(ftk g))
k>k0
2 k h(2k0 k ) + 2
KD(T ) + 2
where we have used (12.5) and 2 k0 D(T ) . Re
all from Lemma 12.1 that D(T ) K . The
on
lusion
then follows sin
e for " 2 k+1 , supfm(fsg) ; dX (s; t) < "g m(ftk g) .
We now present the ne
essary majorizing measure
ondition for almost sure
ontinuity of Gaussian pro
esses.
Theorem 12.9. Consider a Gaussian pro
ess X = (Xt )t2T that is almost surely bounded and
ontinuous (or that admits a version whi
h is almost surely bounded and
ontinuous) on (T; dX ) . Then, there
exists a probability measure m on (T; dX ) su
h that
lim sup
Z
!0 t2T 0
1
log
supfm(fsg) ; dX (s; t) < "g
1=2
d" = 0 :
374
Proof. For n 1 , let an = 2 n D where D = D(T ) . Consider a family Bn;1 ; : : : ; Bn;p(n) of dX -balls
of radius an that
overs T where p(n) = N (T; dX ; an ) . So, for i p(n) , if we denote by t(n; i) the
enter
of Bn;i , we have
Xt(n;i) ) IE sup jXt Xt(n;i) j (an )
t2Bn;i
where we have set () = sup IE sup jXs Xt j . Denote by dn;i the diameter of Bn;i (that
an be
t2T dX (s;t)<
smaller than 2an ). Theorem 12.8 shows that there is a probability measure mn;i on Bn;i su
h that for
ea
h t in Bn;i we have
Z dn;i
(12:18)
Z dn;i
1
:
2n2p(n)
1
2
2n p(n)
sin
e an 2an . Now, if the Gaussian pro
ess X is
ontinuous on (T; dX ) , lim
!0 () = 0 by the
1
=
2
integrability properties of Gaussian random ve
tors. Further, if h(x) = (log(1=x)) , we see from Corollary
3.19 that
(12:19)
!0
375
Theorem 12.10. Let X = (Xt )t2T be a bounded Gaussian pro
ess. Let = sup(IEjXt j2 )1=2 and
t2T
M = IE sup jXt j . Then there exists a Gaussian sequen
e (Yn )n1 with
t2T
kYn k2 KM (log n + M 2 =2 ) 1=2 su
h that, for ea
h t in T , we
an write
Xt =
where n (t) 0 ,
n1
n1
n (t)Yn
a linear
ombination of at most two variables of the type Xt . If (and only if) X is
ontinuous, (Yn )
an
1=2
be
hosen su
h that nlim
!1(log n) kYn k2 = 0 .
Before the proof, let us mention that if (Yn ) is as in the theorem, by the Borel-Cantelli lemma and
Gaussian tail, it denes an almost surely bounded sequen
e. We even have that, for some numeri
al
onstant
K1 ,
IPfsup jYn j > K1 (M + u)g K1 exp( u2 )
n1
for all u > 0 . Indeed, if K is su
h that kYn k2 KM (log n + M 2 =2 ) 1=2 in Theorem 12.10, we have
X
2 exp( u2 )
n1
n 2:
Sin
e sup jXt j sup jYn j , we note in parti
ular that the majorizing measure theorem
ontains, at least
t2T
n1
qualitatively, the tail behavior of isoperimetri
nature of norms of Gaussian random ve
tors (
f. Se
tion
3.1). We shall partially
ome ba
k to this at the end of the se
tion. The representation of Theorem 12.10
1=2
also implies, with a little more eort, that X is
ontinuous when nlim
!1(log n) kYn k2 = 0 .
Proof. We only show the assertion
on
erning boundedness, the
ontinuous
ase being obtained with
some easy modi
ations on the basis of Theorem 12.9. Let k0 be the largest integer with 2 k0 D(T ) . It
376
follows from Theorem 12.8 that there is a probability measure m on T su
h that for ea
h t in T , we have
X
(12:20)
kk0
Ak = fs 2 T ; m(fsg) h 1 (2k KM )g :
Let bk = 2 k+k0 1 h 1 (M=D) . Using the fa
t that D 2 (2)1=2 M , it follows from (12.5) and (12.20)
that
X
(12:21)
kk0
kk0
Xtk ) :
Let Zk be the set of all zt;k for t in T . Sin
e tk , tk+1 belong to the nite set Ak+1 , Zk is nite. Let
Z be the union of the sets Zk for k > k0 . Fix " > 0 . We note that
kXtk
+1
377
1
M
D
9K1M
"
M
D
1
9K1M
"
2k+2k0 2
"
Cardfz 2 Z ; kz k2 "g h
"
M
D
M
D
9K1M
"
9K1M
"
1 #2
1 #2
We
an thus index Z as a sequen
e (Yn )n1 su
h that kYn k2 does not in
rease. For ea
h n ,
"
n Cardfz 2 Z ; kz k2 kYn k2 g h
M
D
9K1M
kYn k2
1 #2
so that
1
1
kYnk2 9K1M M
+h p
:
D
n
(12:22)
Sin
e D 2 , for h(x) = (log(1=x))1=2 , (12.22) implies that, for all n 1 , kYn k2 18K1M (log n +
M 2 =2 ) 1=2 . In parti
ular, by the Borel-Cantelli lemma, the Gaussian sequen
e (Yn ) is bounded almost
surely. For ea
h t in T , we have
Xt Xtk0 =
P
kk0
(Xtk+1
Xtk ) =
kk0
378
Remark 12.11. This remark is in order to show that several of the te
hniques developed in the proofs
of the pre
eding theorems go beyond the Gaussian
ase and apply to a rather general setting. As we
noted, the Gaussian stru
ture and Slepian's lemma were a
tually only basi
in the proof of Proposition 12.7.
For simpli
ity, let us
onsider the family of Young fun
tions q , 1 q 1 (and asso
iated fun
tions
hq (x) = (log(1=x))1=q ) although some more general fun
tions may be imagined. If (T; d) is a metri
spa
e
and m is probability measure on (T; d) , set, for 1 q 1 ,
(q) (T ) =
(q) (T; d) = sup
m
m
t2T
and
(q) (T; d)
(q) (T ) =
(q) (T; d) = inf
m
where the inmum is taken over all probability measures m on T . (It might be useful to re
all (11.18) at
this point and the easy
omparison between q 1 and hq ). Kq denotes below a
onstant depending only
on q and not ne
essarily the same at ea
h o
uren
e. Our rst observation, whi
h we dedu
e from the proof
of Theorem 12.8, is that there is a probability m on (T; d) su
h that
sup
t2T
If T is nite, Proposition 11.10 indeed indi
ates that (T; d) Kq
(q) (T; d) (where is dened with
h = hq ). The proof of Theorem 12.8, whi
h is given with a general fun
tion h , then implies the result.
There is a similar result about
ontinuous majorizing measures. From this observation, let us mention
further the following one. Consider a sto
hasti
pro
ess X = (Xt )t2T
ontinuous in L1 (say) on (T; d) ,
more pre
isely su
h that kXs Xt k1 d(s; t) for all s; t in T . Assume again that
(q) (T; d) < 1 . Then,
from the pre
eding, the proof of Theorem 12.10 shows that there is a sequen
e (Yn ) of random variables
su
h that, for every n ,
(q)
1
1
(T; d)
(
q
)
kYn k1 Kq
(T; d) D(T ) + hq pn
P
0,
n (t)
t2T
It is interesting to interpret Theorem 12.10 (and similar
omments may be given in the
ontext of the
observations of Remark 12.11) as a result about subsets of Hilbert spa
e asso
iated to bounded Gaussian
379
V (T ) =
y2T
This quantity has been studied in geometry under the name of mixed volume and plays an important role in
N
P
the lo
al theory of Bana
h spa
es. Fix an orthonormal basis (ei )iN of H . For t in H , let Xt = gi ht; ei i
i=1
where (gi ) is a standard Gaussian sequen
e. Sin
e the distribution of (gi )iN is rotation invariant,
N
X
!1=2 Z
y 2T
Conv(yn )g :
K 1 N 1=2 C (T ) V (T ) KN 1=2C (T ) :
As a
losing remark, note that if we go ba
k to the tail estimate (11.14) for the Young fun
tion = 2
asso
iated to Gaussian pro
esses, we see that the pro
esses te
hniques and existen
e of majorizing measures
(12.4) yield deviation inequalities with the two parameters similar to those obtained from isoperimetri
onsiderations in Chapter 3. Su
h inequalities
an also be dedu
ed as we have seen from Theorem 12.10 and
elementary
onsiderations on Gaussian sequen
es.
12.2. Ne
essary
onditions for boundedness and
ontinuity of stable pro
esses
Let X = (Xt )t2T be a p -stable pro
ess, 0 < p < 2 . Re
all that by this we mean that every nite linear
P
ombination i Xti , i 2 IR , ti 2 T , is a p -stable real random variable. As in the Gaussian
ase, we
i
may
onsider the asso
iated pseudo-metri
dX on T given by
dX (s; t) = (Xs
Xt ) ;
s; t 2 T ;
380
where (Xs
Contrary to the Gaussian
ase, the pseudo-metri
dX does not entirely determine the distribution and
therefore the regularity properties of a p -stable pro
ess X when 0 < p < 2 . The distribution of X is
however determined by its spe
tral measure (Theorem 5.2) and, as we already noted in Chapter 5 through
the representation, the existen
e and niteness of a spe
tral measure for a p -stable pro
ess with 0 < p < 1
already ensures its almost surely boundedness and
ontinuity. This is no more the
ase for 1 p < 2 on
whi
h we
on
entrate here. If a
hara
terization in term of dX is therefore hopeless, nevertheless a best
possible ne
essary majorizing measure
ondition for (T; dX ) , similar to the one of the Gaussian
ase, for
almost sure boundedness and
ontinuity of p -stable pro
esses, 1 p < 2 , exists. It is the purpose of this
paragraph to des
ribe this result.
As we mentioned, the dieren
e with the Gaussian setting is that this ne
essary
ondition is far from
being su
ient. Su
ient
onditions for sample boundedness or
ontinuity of p -stable pro
esses may be
obtained from Theorem 11.2 at some weak level; for example, if 1 < p < 2 , sin
e
Z D
s; t 2 T ;
implies that X has a version with almost all paths bounded and
ontinuous on (T; dX ) . The dieren
e
however between ne
essity des
ribed below in Theorem 12.12 and this su
ient
ondition is huge. Trying
to
hara
terize regularity properties of p -stable pro
esses, 1 p < 2 , seems to be a di
ult question, still
under study. The paper [Ta13 re
e
ts for example some of the main problems.
For 1 p 2 , let q be the
onjugate of p . For p > 1 , 0 < x 1 , re
all we set hq (x) = (log(1=x))1=q ;
further h1 (x) = log(1 + log(1=x)) . These fun
tions satisfy (12.5) and (12.6) and enter the setting of the
abstra
t analysis of the pre
eding se
tion. The main result of this se
tion is the extension to p -stable
pro
esses, 1 p < 2 , of Theorems 12.8 and 12.9.
Theorem 12.12. Let 1 p < 2 . Let X = (Xt )t2T be a sample bounded p -stable pro
ess. Then
there is a probability measure m on (T; dX ) su
h that
Z 1
hq (supfm(fsg); dX (s; t) < "g)d" Kp k sup jXs Xt jkp;1
sup
s;t2T
t2T 0
381
(q)
where Kp only depends on p . (In parti
ular,
m
(T; dX )
s;t2T
has (or admits a version with) almost surely
ontinuous sample paths on (T; dX ) , there exists a probability
measure m on (T; dX ) su
h that
lim sup
!0 t2T
Z
As we noted (Remark 12.11), provided with su
h a result, Theorem 12.10 has an extension to the stable
ase. This observation puts into light the gap between this ne
essity result and su
ient
onditions for
stable pro
esses to be bounded or
ontinuous simply be
ause if (n ) is a standard p -stable sequen
e with
1 < p < 2 (say), (n =(log n)1=q ) is not almost surely bounded. For some spe
ial
lass of stationary p -stable
pro
ess, strongly or harmonizable stationary pro
ess, we will see however in Chapter 13 that the ne
essary
onditions of Theorem 12.12 are also su
ient.
We only give the proof of Theorem 12.12 for p > 1 . The proof when p = 1 follows the same pattern with
however some further (deli
ate) arguments inherent to this
ase. We restri
t for
larity to p > 1 refering to
[Ta8 for the
omplete result. In the following therefore 1 < p < 2 . To put Theorem 12.12 in perspe
tive,
let us go ba
k to Chapter 5, Se
tion 5.3. There we saw how for a p -stable pro
ess X (Theorem 5.10),
sup "(log N (T; dX ; "))1=q Kp k sup jXt jkp;1 :
">0
t2T
(By (11.9), Theorem 12.12 improves upon this result.) The main idea of the proof of this Sudakov type
minoration was to realize the stable pro
ess X = (Xt )t2T as
onditionally Gaussian by the series representation of stable variables. We need not go ba
k to all the details here and refer to the proof of Theorem 5.10
for this point. It was des
ribed there how (Xt )t2T has the same distribution as (Xt! )t2T dened on
0
where, for ea
h ! in
, (Xt! )t2T is Gaussian. If d! is the
anoni
al metri
asso
iated to the Gaussian
pro
ess (Xt! )t2T , the main tool was
omparison between the random distan
es d! and dX given by (
f.
(5.20))
(12:24)
for all s; t in T , " > 0 , where 1= = 1=p 1=2 and
only depends on . From (12.24), the idea was to
"transfer" Gaussian minoration inequalities of Sudakov's type on the random distan
es d! into similar ones
for dX . The idea of the proof of Theorem 12.12 is similar, trying to transfer the stronger minoration results
382
of Se
tion 12.1. It turns out unfortunately that it does not seem possible to use mixtures of majorizing
measures. Instead, we are going to use the ma
hinery of ultrametri
stru
tures of the last se
tion to redu
e
the proof to the simpler, yet non-trivial, following property.
Theorem 12.13. Let 1 < p < 2 and let X = (Xt )t2T be a p -stable pro
ess indexed by a nite set
T . Provide T with the
anoni
al distan
e dX . Then
(T; dX ) Kp k sup jXs
s;t2T
Xt jkp;1
on
entrate now on the proof of the latter. Re
all that if (U; ) is ultrametri
, we denote by Bk the family
of balls of U of radius 6 k ( k 2 ZZ ). Let k0 be the largest su
h that CardBk0 = 1 . Let us set for
simpli
ity = 6 k0 . For x in U , we denote by Nk (x) = N (x; k) the number of disjoint balls of Bk+1
whi
h are
ontained in B (x; 6 k ) . We set
x(q) (U ) =
(q ) (U ) =
kk0
inf (q) (U ) :
x2U x
By Theorem 12.5 applied to (T; dX ) and h = hq , we see that in order to establish Theorem 12.13, it is
enough to prove the analog of Proposition 12.7 in this stable
ase. That is, if (U; ) is a nite ultrametri
spa
e and X = (Xu )u2U a p -stable pro
ess with dX
(12:25)
, then we have
Sin
e the arguments of the proof of (12.25) and Theorem 12.13 have already proved their usefulness in
some other
ontexts, we will try to detail (at least the rst steps of) this study in a possible general
ontext.
Let us set
383
1
with IP(
1 ) 1=2 and su
h that for ! in
1 we have
1
IPf sup jXu! Xv! j > 4M g :
2
u;v2U
By the integrability properties of norms of Gaussian pro
esses (Corollary 3.2) and Theorem 12.6 we know
the following: for ! in
1 , there exists a probability ! on (U; d! ) where d! (u; v) = kXu! Xv! k2 , su
h
that
Z 1
(12:26)
sup
h2 (! (y 2 U ; d! (x; y) < "))d" KM :
x2U 0
where K is a numeri
al
onstant.
The fun
tion h2 (t) = (log(1=t))1=2 is
onvex for t e 1=2 but not for 0 < t 1 . For that reason, it
will be more
onvenient to use the fun
tion h02 (t) = h2 (t=3) (the
hoi
e of 3 is rather arbitrary) whi
h is
onvex on (0; 1 . To prove (12.25), and therefore Theorem 12.13, we will exhibit a subset
2 of
with
IP(
2 ) 3=4 (for example), and
onstants K1 ; K2 ; K3 depending on p on ly, su
h that for ! in
2 and
ea
h probability measure on U , we have
(12:27)
(q) (U ) K1 sup
x2U
Z K2
We observe that h02 (t) h2 (t) + (log 3)1=2 ; so
ombining with (12.26) sin
e IP(
1 \
2 ) > 0 , we get that
(q) (U ) K1(KM + K2 (log 3)1=2 ) + K3 . It is easily seen that K4 M so that (12.25) holds.
We thus establish now (12.27). The philosophy of the approa
h is that a large value of (q) (U ) means
that (U; ) is big in an appropriate sense. Sin
e (12.24) means that d! (u; v) is, most of the time, not mu
h
smaller than dX (u; v) (u; v) , we
an expe
t that U will be big with respe
t to d! for most values of ! .
The
onstru
tion is made rather deli
ate however by the following feature: while (12.24) tells us pre
isely
how d! (u; v) behaves
ompared to dX (u; v) , if we take another
ouple (u0 ; v0 ) , we have no information
about the joint behavior of (d! (u; v) , d! (u0 ; v0 )) .
As announ
ed, we will try to develop the proof of (12.25) in a possible general framework. Let us therefore
assume that we have a family (d! ) of random distan
es on (U; ) su
h that for some stri
tly in
reasing
fun
tion on IR+ with "lim
!0 (") = 0 , and all u; v in U and " > 0 ,
(12:28)
384
By (12.24), the stable
ase
orresponds to (") = exp(
" ) where 1= = 1=p 1=2 .
To show (12.27), it will be enough to show that for some probability measure on U
K5 1
(12:29)
d(x)x(q) (U )
K1
d(x)
Z K2
We
hoose as a
onvenient probability measure the following: is homogeneous in the sense that the
mass of any ball of radius 6 k is devided evenly among
all the balls of radius 6 k 1 that it
ontains.
!
Equivalently, for any x in U , (fxg) =
kk0
N (x; k)
. Let now k
k0 be xed. Let B1 6= B2 in
A(B1 ; B2 ; b;
) = f! 2
;
((x; y) 2 B1 B2 ; d! (x; y) b6 k )
(B1 )(B2 )g :
Under (12.28), one
he
ks immediately by Fubini's theorem and Chebyshev's inequality that
(12:30)
IP(A(B1 ; B2 ; b; ))
(b)
:
For B 2 Bk and i k , there is a unique B 0 2 Bi that
ontains B . We denote by N (B; i) the number
of elements of Bi+1
ontained in B 0 , so N (B; i) = N (x; i) whenever x belongs to B . In parti
ular,
N (B; k) is the number of elements of Bk+1 that are
ontained in B . Also, if i k0 k and B 2 Bk ,
B 0 2 Bk0 , B B 0 , we have N (B; i) = N (B 0 ; i) . We denote by Bk0 the subset of Bk that
onsists of the
balls B in Bk for whi
h
Y
N (B; k) > 2 N (B; i) :
i<k
Let B in Bk0 , so that in parti
ular N (B; k) > 1 . There exist therefore two balls B1 ; B2 in
B1 ; B2 B , B1 6= B2 . We
onsider the event
Bk+1 ,
385
4.
A(D) =
C (B; B1 ; B2 )
D , B1 ; B2 in Bj+1 , B1 6= B2 ,
i<k
N (D; i)) 2 :
Proof. The proof goes by de
reasing indu
tion over k . If k is large enough that D has only one point,
then A(D) = ; and the lemma holds. Assume now that we have proved the lemma for k + 1 and let D in
Bk . Assume rst that D 2 Bk0 , so N (D; k) 2 . Let
[
fA(D0 ) ; D0 2 Bk+1 ; D0 Dg ;
[
A2 = fC (D; B1 ; B2 ) ; B1 ; B2 2 Bk+1 ; B1 6= B2 ; B1 ; B2 Dg :
A1 =
ik
N (D; i))
12 (2
i<k
N (D; i)) 2 :
4,
1
IP(A2 ) N (D; k)2 (2N (D; k)) 4
2
Y
12 N (D; k) 2 12 (2 N (D; i)) 2 :
i<k
The result therefore follows in this
ase. If D 62 Bk0 , with the same notation as before, A(D) = A1 . Thus,
by the indu
tion hypothesis,
IP(A(D)) N (D; k)(2
This
ompletes the proof of Lemma 12.14.
ik
N (D; i))
(2
i<k
N (D; i)) 2 :
386
Let now
2 =
nA(U ) , so IP(
2 ) 3=4 . Let us x furthermore ! in
2 . For B in Bk0 , we set
a(B; k) = 6 k 2 b(B; k)
where b(B; k) is given by (12.31). For x in B , set
(x 2 B ; y 2 Hx )
(12:32)
3(B )
:
2N (B; k)
Indeed, suppose otherwise and let y in U su
h that (12.32) does not hold. For D in Bk+1 , D B , we
have (D) = (B )=N (B; k) . It follows that there are at least two balls B1 ; B2 of Bk+1 , B1 ; B2 B su
h
that, for ` = 1; 2 ,
(B` )
(x 2 B` ; y 2 Hx )
:
2N (B; k)
For x1 ; x2 in Hy , d! (x1 ; x2 ) 2a(B; k) ; so we have
((x1 ; x2 ) 2 B1 B2 ; d! (x1 ; x2 ) 2a(B; k)) (B1 )(B2 )=4N (B; k)2 :
This, however,
ontradi
ts the fa
t that ! 62 C (B; B1 ; B2 ) (by denition of
2 ) and thus shows (12.32).
Let be a probability measure on U . Sin
e the fun
tion h02 is
onvex, we have
I (B ) =
1
h0 ((Hx ))d(x) h02 ( g d)
(B ) B 2
For x in U , let us enumerate as k1 (x) < < k`(x) (x) the indexes k su
h that B (x; 6 k ) 2 Bk0 . Note
that k1 (x) = k0 . For ` `(x) , let
387
We have
Z
U ``(x)
(12:34)
XZ
where the summation is taken over ea
h value of k and ea
h B in Bk0 . By (12.33), we see that the latter
quantity (12.34) dominates
X
(12:35)
where the summation is over the same range. Observe that for ` < `(x) ,
(x; ` +1)
(x; `)=8 (by denition
of Bk0 and sin
e is in
reasing). Also,
(x; 1) 1 (1=2) . It follows that, for every x ,
X
``(x)
2
Z
(1=2)
Let us summarize in a statement what we have obtained so far in this general approa
h. This statement
ould possibly be of some use in a related
ontext.
Proposition 12.15. Let (U; ) be an ultrametri
spa
e and (d! ) a family of random distan
es on
(U; ) su
h that for some in
reasing fun
tion on IR+ su
h that "lim
!0 (") = 0 and all u; v in U and
" >0,
IPf! ; d! (u; v) "(u; v)g (") :
Then, there exists
0 with IP(
0 ) 3=4 su
h that for all ! in
0 and every probability measure on
U , in the previous notations,
Z
d(x)
Z
2
(1=2)
7
388
From this general result, we
an now
omplete the proof of Theorem 12.13 with the
hoi
e of given by
(12.24).
Proof of Theorem 12.13. By (12.24), we take (") = exp(
" ) . Then, from (12.31),
1=
6
log(2N (B; k))
b(B; k) =
Sin
e 1=2 1= = 1=q , the right side of the inequality of Proposition 12.15 is simply
R
2 7 (6=
) 1= U x (U )d(x) where
x (U ) =
``(x)
Therefore, in order to establish (12.29) (with K2 = (
= log 2)1= ), we need simply nd the appropriate
lower bound for x (U ) . For x in U , s < `(x) and
i k0
N (x; i) 22
i ks (x)
N (x; ks (x))2
i k1 (x)
: : : N (x; k1 (x))2
s
X
`=1
A simple
omputation then shows that there are
onstants K6; K7 su
h that x(q) (U ) K6 x (U ) + K7 .
This shows (12.29) and
on
ludes the proof of Theorem 12.13.
12.3. Appli
ations and
onje
tures on Radema
her pro
esses
The rst appli
ation deals with subgaussian pro
esses. Re
all from Se
tion 11.3 ((11.20)) that a
entered
pro
ess Y = (Yt )t2T is subgaussian with respe
t to a metri
or pseudometri
d if for all s; t in T and
in IR ,
2
2
d (s; t) :
IE exp (Ys Yt ) exp
2
389
As a
onsequen
e of the general study of Chapter 11, we noted there that the su
ient
onditions in order
for a Gaussian pro
ess to have bounded or
ontinuous sample paths also apply for subgaussian pro
esses.
That is, if m is a probability measure on (T; d) , then
IE sup Yt K sup
t2T
t2T
1
log
1
m(B (t; "))
1=2
d"
where K is numeri
al. But now, as a
onsequen
e of the main result of Se
tion 12.1 and in parti
ular
Theorem 12.8, we see that if d is the pseudo-metri
of a Gaussian pro
ess X = (Xt )t2T , then
IE sup Yt K IE sup Xt
t2T
t2T
where K is a numeri
al
onstant. We have thus the following statement. Its se
ond part is proved similarly.
Theorem 12.16. Let X = (Xt )t2T be a Gaussian pro
ess and Y = (Yt )t2T be subgaussian with
respe
t to the
anoni
al distan
e dX asso
iated to X . Then, IE sup Yt K IE sup Xt for some numeri
al
t2T
t2T
onstant K . In parti
ular, Y is almost surely bounded if X is. Further, if X is
ontinuous, Y has a
version with almost all sample paths
ontinuous.
The se
ond appli
ation
on
erns some remarkable type properties of the
anoni
al inje
tion map j :
Lip(T ) ! C (T ) rst
onsidered by J. Zinn. Let (T; d) be any
ompa
t metri
spa
e with diameter
D = D(T ) . Denote by C (T ) the spa
e of
ontinuous fun
tions on T with the supnorm k k1 and by
Lip(T ) the spa
e of Lips
hitz fun
tions f on (T; d) provided with the norm
Consider the
anoni
al inje
tion map j : Lip(T ) ! C (T ) . For every 1 p 2 , let (i ) be a p -stable
standard sequen
e (if p = 2 , (i ) = (gi ) , the orthogaussian sequen
e). Denote by Tp (j ) the smallest
onstant C su
h that for every nite sequen
e (xi ) in Lip(T ) ,
kk
kxi kpLip
!1=p
8 P
>
<(
>
:
kxi k2Lip)
if p = 2
390
The introdu
tion of those two type
onstants is motivated by the two possible denitions of p -stable operators as des
ribed at the end of Se
tion 9.2. From this se
tion a
tually, it
an be seen that T2 (j ) and
T20 (j ) are equivalent, that is, for some numeri
al
onstant K , K 1T2 (j ) T20 (j ) KT2(j ) . The se
ond
inequality is simply that Gaussian averages "dominate" the
orresponding Radema
her ones, while the rst
inequality is obtained by partial integration and moment equivalen
es of Gaussian averages. For the same
reason as the latter, for 1 p < 2 , Tp (j ) Kp Tp0 (j ) (
f. one portion of the equivalen
e (iii) in Proposition
9.12). In general however, the type
onstants Tp and Tp0 of general operators between Bana
h spa
es are
not equivalent when 1 p < 2 .
What we will dis
over however is that, for this parti
ular operator j , Tp (j ) and Tp0 (j ) are equivalent
for every 1 p 2 , and their niteness equivalent to the existen
e of a majorizing measure
ondition on
(T; d) for hq (x) = (log(1=x))1=q where q is the
onjugate of p ( h1 (x) = log(1 + log(1=x)) if p = 1 ).
Re
all that if m is a probability measure m on (T; d) , we let
(q) (T; d) = sup
m
t2T
and set
(q) (T; d)
(q) (T; d) = inf
m
where the inmum runs over all probability measures m on T . We then have the following theorem.
dX (s; t) = kXs Xt k2 = ( jxi (s) xi (t)j2 )1=2 . Then, sin
e X is subgaussian with respe
t to dX (
f.
i
(11.19)), for some numeri
al
onstant K ,
IEk
sup
t2T
xi
(t)2
!1=2
+ K (2)(T; dX ) :
391
Now, by denition of
IEk
K 0 (2) (T; d)
where we have used Lemma 12.1 (vi) in the last step. The result thus follows by homogeneity. Using Lemma
11.20, the proof is entirely similar for 1 p < 2 .
Let us now establish that
(q) (T; d) Kp Tp (j ) . It is easy to see that if A is a subset of T and j 0 the
anoni
al inje
tion from Lip(A) into C (A) , then Tp (j 0 ) Tp (j ) . On the other hand, we have shown in
the proof of Theorem 12.8 that
'" =
k1
X
k=k0 +1 B 2Bk
4 k "B IB :
k>`
4 k 2d(s; t) :
392
This shows that k'" k Lip 4 . The denition of ` shows that the two balls B1 = B (s; 4 ` 1) , B2 =
B (t; 4 ` 1 ) are dierent. Sin
e they belong to B`+1 , we have that
` 1 j"
4
` 1 j"
"B2 (t)j
B1 (s)
"B2 (t)j
B1 (s)
4 k
k>`+1
1 ` 1
4
:
` 1 j"
B1 (s)
"B2 (t)j :
1=p
!1=p
211=p 12 4
` 1
321 d(s; t) :
that
kx" kpLip
128 . Further, if (" )"2E is an independent family of standard p -stable random
"
P
variables and if Xt = " x" (t) , t 2 T , then we have just shown that dX (s; t) d(s; t) , for all s; t in T .
"2E
As announ
ed, this
on
ludes the proof of Theorem 12.17.
We
on
lude this
hapter with some observations and
onje
tures on Radema
her pro
esses. Re
all rst
that the various results on Gaussian pro
esses des
ribed in Se
tion 12.1
an be formulated in the language
of subsets of Hilbert spa
e (as, for example, next to Theorem 12.10). For example, if X = (Xt )t2T is a
P
Gaussian pro
ess given by Xt = gi xi (t) , where (xi (t)) is a sequen
e of fun
tions on T , we may identify
i
T with the subset of `2
onsisting of the elements (xi (t)) , t 2 T . Boundedness of the Gaussian pro
ess
X is then
hara
terized by the majorizing measure
ondition
(2) (T ) for the Hilbertian distan
e j j on
T `2 .
By Radema
her pro
ess X = (Xt )t2T indexed by a set T , we mean that for some sequen
e (xi (t))
P
P
of fun
tions on T , Xt = "i xi (t) , assumed to be almost surely
onvergent (i.e.
xi (t)2 < 1 ). As
i
i
in Chapter 4, let r(T ) = IE sup jXt j . A Radema
her pro
ess is subgaussian. If dX (s; t) = kXs Xt k2 ,
t2T
s; t in T , we thus know that r(T ) < 1 whenever there is a probability measure m on T su
h that
(2)
m
(T; dX ) < 1 . In order to present our observations, it is
onvenient (and fruitfull too) to identify as
before T with a subset of `2 . By (11.19), we
an write that
r(T ) jT j + K (2) (T )
393
where jT j = sup jtj , and
(2)(T ) is as before the majorizing measure
ondition on T
t2T
the
anoni
al metri
j j on `2 and K some numeri
al
onstant.
`2 with respe t to
From this result, one might wonder, as for Gaussian pro
esses, for some possible ne
essary majorizing
measure
ondition in order for a Radema
her pro
ess to be almost surely bounded (or
ontinuous). Denote
P
by B1 the unit ball of `1 `2 . Sin
e r(T ) sup jxi (t)j , a natural
onje
ture would be that, for some
t2T i
numeri
al
onstant K ,
T Kr(T )B1 + A
where A is a subset of `2 su
h that
(2) (A) Kr(T ) . This result would
ompletely
hara
terize boundedness of Radema
her pro
ess. Theorem 4.15 supports this
onje
ture. By the
onvex hull representation of
subsets A for whi
h
(2)(A) is
ontrolled (Theorem 12.10), one may look equivalently for a subset A of `2
su
h that A Conv(yn ) where (yn ) is a sequen
e in `2 su
h that, for all n , jyn j Kr(T )(log(n+1)) 1=2 .
Let us
all M -de
omposable a Radema
her pro
ess X = (Xt )t2T , or rather T identied with a subset
of `2 , su
h that, for some M and some A in `2 ,
(12:36)
MB1 + A
and
(2)(A) M :
In the last part of this
hapter, we would like to brie
y des
ribe some examples of M -de
omposable
Radema
her pro
esses whi
h go in the dire
tion of the pre
eding
onje
ture.
As a rst example, let us
onsider the
ase of a subset T of `2 for whi
h there is a probability measure m
(q)
su
h that
m
(T; kkp;1) < 1 , where 1 p < 2 and q is the
onjugate of p . As a
onsequen
e of Lemma
11.20 and Remark 12.11, there exists a sequen
e (z n ) in `2 su
h that, if M = Kp
(q) (T; k kp;1 ) where
Kp only depends on p , kz nkp;1 M (log(n + 1)) 1=q ( M log(1 + log n) if q = 1 ) and T Conv(z n ) .
We show that there exists then a sequen
e (yn ) in `2 with jyn j Kp0 M (log(n + 1)) 1=2 for all n , su
h
that,
T Kp0 MB1 + Conv(yn )
where Kp0 only depends on p . That is, T is Kp0 M -de
omposable. To
he
k this assertion, let us restri
t
for simpli
ity to the
ase q < 1 , q = 1 being similar. For every n ,
1=q
394
where (zin) denotes the non-in
reasing rearrangement of (jzin j) . Let i0 = i0 (n) be the largest integer
i 1 su
h that i (M=q)q log(n + 1) so that
i0
X
(12:37)
i=1
zin M :
Let then, for ea
h n , yn be the element of IRIN dened by yin = zin if zin
otherwise. Clearly
X
jyn j2 = (zin )2 Kp00 M 2 (log(n + 1)) 1
i>i0
IPfj
1
"i ani j > M g :
8
i
Let T Conv(an ) . Then T is KM -de
omposable where K is numeri
al. More pre
isely, one
an
nd a sequen
e (yn ) in `2 su
h that, for all n , jynj KM (log(n + 1)) 1=2 with the property that
T KMB1 + Conv(yn ) .
Proof. By Lemma 4.2, ( (ani )2 )1=2 2 2M for all n . Denote by K1 1 the numeri al onstant of
p
Lemma 4.9 and set M1 = 2 2K1 M . By this lemma, there exist, for ea
h n , un and vn in `2 su
h that
an = un + vn and
i
junij M1
and exp
K1M12
jvn j2
2IPfj
If, for " > 0 , N (") = Cardfn ; jvn j "g , it follows from the se
ond of these inequalities and the hypothesis
that N (") 41 exp(K1 M12="2 ) . We
an therefore rearrange (vn ) as a sequen
e (yn ) su
h that jyn j does
not in
rease. In parti
ular, for every N ,
Cardfn ;
jvn j jyN jg
1
K M2
exp 1N 21 :
4
jy j
395
396
Theorem 12.16 was known for a long time to follow from the majorizing measure
onje
ture. Its proof is
a
tually rather indire
t and it would be desirable to nd a dire
t argument. As indi
ated by G. Pisier [Pi6
and des
ribed by the results of [Ta12, its validity a
tually implies
onversely the existen
e of majorizing
measures. This would yield a new approa
h to the results of Se
tion 12.1. The type 2 property of the
anoni
al inje
tion map j : Lip(T ) ! C (T ) has been put into light by J. Zinn [Zi1 to
onne
t the JainMar
us
entral limit theorem for Lips
hitz pro
esses [J-M1 to the general type 2 theory of the CLT (
f.
Chapter 14). The majorizing measure version of Zinn's map for p = 2 was noti
ed in [He1 and in [Ju for
1 p < 2 (
f. also [M-P2, [M-P3). Theorem 12.17 was obtained in [Ta5.
Consider 1 < 1 , and an independent identi
ally distributed sequen
e (i ) , where the law of i
has a density a e jxj with respe
t to Lebesgue's measure ( a is the normalizing fa
tor). Building on the
ideas of [Ta18, in [Ta19 Theorem 12.8 is (properly reformulated) extended to the pro
esses (Xt )t2T , where
P
P
Xt = i xi (t) , and where (xi (t)) is a sequen
e of fun
tions on T su
h that x2i (t) < 1 . The still open
i
i
ase of Radema
her pro
esses would
orrespond to the
ase " = 1 ".
397
398
2 A; A
N
[
(ti + B )g :
i=1
399
Proof. (i) follows immediately from the denitions. (ii) If, for t in T , there exists ti in T su
h that
t 2 ti + B (0; ") B (0; ") , this means that t = ti + u v where u; v 2 B (0; ") . Hen
e, by translation
invarian
e,
d(t; ti ) = d(u v; 0) d(u; 0) + d(0; v) < 2"
so that N (T; d; 2") N (T; B (0; ") B (0; ")) . (iii) It is enough to
onsider the
ase N (T; A) < 1 . Then,
N
S
if T (ti + A) ,
i=1
jT j
N
X
i=1
jti + Aj = N jAj
whi
h gives the result. (iv) Assume jAj > 0 . Let ft1; : : : ; tM g be maximal in T under the
onditions
(ti + A) \ (tj + A) = ; , 8i 6= j . If t 2 T , by maximality, (t + A) \ (ti + A) 6= ; for some i = 1; : : : ; M .
M
S
jT 00 j
M
X
i=1
400
Proposition 13.2. Let be a Young fun
tion. In the pre
eding notations, let m be a probability
measure on T G and denote by D = D(T ) the d -diameter of T . Then
1
2
Z D
1
d" :
m(B (t; "))
Proof. Let us denote by M the right hand side of the inequality that we have to establish. Sin
e
1 (1=x) is
onvex, by Jensen's inequality,
M
Z D
Z D
1
jT j T
1
1
d(t)d"
m(B (t; "))
jT j
R
d" :
T m(B (t; "))d(t)
1
Hen e
M
Z D
jT j
To on lude, by (ii) and (iv) of Lemma 13.1, for every " > 0 ,
N (T; d; 2")
jT 00 j
jT 0 \ B (0; ")j
sup
t2T
Z
1
d"
T 00 (B (t; "))
Z
(Note the
omplete equivalen
e when T = G is
ompa
t.) To show (13.1), observe that, if t 2 T , t + T 0 \
B (0; ") T 00 \ B (t; ") . Hen
e, by translation invarian
e and (i) and (iii) of Lemma 13.1,
T 00 (B (t; "))
1
jT j
0
jT 00 j (T \ B (0; ")) jT 00 j N (T; d; ") :
401
Proposition 13.2 allows to state in terms of entropy the
hara
terization of almost sure boundedness
and
ontinuity of stationary Gaussian pro
esses. Before stating the result, it is
onvenient to introdu
e
some notations
on
erning entropy integrals. Let (T; d) be a pseudo-metri
spa
e with diameter D . For
1 q < 1 , we let
Z 1
E (q) (T; d) =
(log N (T; d; "))1=q d" :
0
E (1) (T; d) =
A pro
ess X = (Xt )t2G indexed by G is stationary if, for every u in G , (Xu+t )t2G has the same
distribution as X . If X is a stationary Gaussian pro
ess, its
orresponding L2 -metri
dX (s; t) = kXs
Xt k2 is translation invariant. As a
orollary to the majorizing measure
hara
terization of boundedness and
ontinuity of Gaussian pro
esses des
ribed in Chapter 12, and Proposition 13.2, we
an state:
Theorem 13.3. Let G be a lo
ally
ompa
t Abelian group and let T be a
ompa
t metrizable subset
of G of nonempty interior. Let X = (Xt )t2G be a stationary Gaussian pro
ess indexed by G . Then X has
a version with almost all bounded and
ontinuous sample paths on T G if and only if dX is
ontinuous
on G G and E (2) (T; dX ) < 1 . Moreover, there is a numeri
al
onstant K su
h that
K 1(E (2) (T; dX ) L(T )1=2D(T )) IE sup Xt KE (2) (T; dX )
t2T
where D(T ) is the diameter of (T; dX ) and L(T ) = log(jT 00 j=jT j) . Note that if T = G is
ompa
t,
L(T ) = 0 .
Su
ien
y in this theorem is simply Dudley's majoration (Theorem 11.17), together with the
ontinuity
of dX . Ne
essity and the left side inequality follow from Theorem 12.9 together with Proposition 13.2. (It
might be useful to re
all at this point the simple
omparison (11.17).)
Note the following di
hotomy
ontained in the statement of Theorem 13.3: stationary Gaussian pro
esses
are either almost surely
ontinuous or almost surely unbounded (a
ording to the niteness or not of the
entropy integral).
The
hoi
e of the
ompa
t set T does not ae
t the qualitative
on
lusion of Theorem 13.3. Indeed, let
a
tually (Xt )t2G be any stationary pro
ess. If T1 and T2 are two
ompa
t subsets of G with nonempty
402
interiors, then (Xt )t2T1 has a version with
ontinuous sample paths if and only if (Xt )t2T2 does. This is
obvious by stationarity sin
e ea
h of the sets T1 and T2
an be
overed by nitely many translates of the
other. Consequently, if G is the union of a
ountable family of
ompa
t sets, then (Xt )t2T has a version
with
ontinuous sample paths if and only if the entire pro
ess (Xt )t2G does. This applies in the most
important
ases su
h as G = IRn . Boundedness (latti
e-boundedness) of the stationary Gaussian pro
ess of
Theorem 13.3 over all G holds if and only if
1
This
an be shown by either repeating the arguments of the proof of Theorem 13.3 or by using the Bohr
ompa
ti
ation of G and the fa
t that under the pre
eding entropy
ondition, X has a version whi
h
is an almost periodi
fun
tion on G . The proof of this fa
t indi
ate further that, under this
ondition, a
stationary Gaussian pro
ess X = (Xt )t2G indexed by G admits an expansion as a series
Xt =
gn Re(an n (t)) +
where (an ) is a sequen
e of
omplex numbers in `2 , (
n ) a sequen
e of
ontinuous
hara
ters of G and
(gn ) , (gn0 ) independent standard Gaussian sequen
es. We refer to [M-P1, p. 134-138 for more details on
these
omments.
Theorem 13.3 is one of the main ingredients in the study of random Fourier series. Before turning to this
topi
in the subsequent se
tion, it is
onvenient for
omparison and possible estimates in
on
rete situations
to mention an equivalent of the entropy integral E (q) (T; d) for a translation invariant metri
d . Assume for
simpli
ity that T is a symmetri
subset of G and let (t) = d(t; 0) , t 2 T 0 . Consider the non-de
reasing
rearrangement of on [0; jT 0j (with respe
t to T 0 ); more pre
isely, for 0 < jT 0 j ,
I (p) (T; d) =
Z jT 0 j
(")
d"
000 1=p
" log 4jT" j
403
V G being as before, we agree to denote by k k = sup j j the sup -norm on the Bana
h spa
e C (V )
t2V
of all
ontinuous
omplex valued fun
tions on V (or on G when V = G ).
Let (a
)
2A be
omplex numbers su
h that
P
P
2A
(13:2)
or just
Xt =
2A
a g (t) ;
t 2 G:
404
The question of
ourse arises of the almost sure
ontinuity or uniform
onvergen
e of the series X on V .
Sin
e (g
) is a symmetri
sequen
e, these two properties are equivalent: if X is
ontinuous (or admits
a
ontinuous version) on V , then by It^o-Nisio's theorem (Theorem 2.1), X
onverges uniformly (for any
ordering of A ). The pro
ess dened by (13.2) is a (
omplex valued) Gaussian pro
ess indexed by G with
asso
iated L2 metri
0
1
dX (s; t) =
2A
ja
j2 j (s)
(t)j2 A
1=2
; s; t 2 G ;
whi
h is translation invariant. Sin
e X is
omplex valued, to enter the setting of Theorem 13.3, we use the
following. If we let
X
X
Xt0 =
g
Re(a
(t)) +
g
0 Im(a
(t)) ; t 2 G ;
2A
2A
where (g
0 ) is an independent
opy of (g
) , X 0 = (Xt0 )t2G is a real stationary Gaussian pro
ess su
h that
dX 0 = dX . The series X and X 0
onverge uniformly almost surely simultaneously. As a
onsequen
e of
Theorem 13.3, X 0 admits a version with almost all sample paths
ontinuous on V and therefore
onverges
uniformly almost surely on V if and only if E (2) (V; dX 0 ) = E (2) (V; dX ) < 1 , and thus the same holds for
X . That is, we have the following statement.
Theorem 13.4. Let X be the random Fourier series of (13.2). The following are equivalent:
(i) for some (all) ordering of A , the series X
onverges uniformly almost surely on V ;
(ii)
sup IEk
a
g
k2 < 1 ;
F A
2F
F nite
K
(13:3)
1 BE (2) (V; d
X)
L(V )1=2
2A
11=2 1
ja j2 A
C
A
(2)
(IEkX k2)1=2 K B
E (V; dX ) +
2A
11=2 1
ja j2 A
C
A
where we re
all that L(V ) = log(jV 00 j=jV j) where V 00 = V + V + V and kX k = sup jXt j .
t2V
405
Proof. If X
onverges uniformly in some ordering, then (ii) is satised by the integrability properties of
Gaussian random ve
tors (Corollary 3.2) and
onditional expe
tation. Let F be nite in A and denote by
P
X F the nite sum
a
g
. Then, as a
onsequen
e of Theorem 13.3 (
onsidering as indi
ated before the
2F
natural asso
iated real stationary Gaussian series), we have that (13.3) holds for X F , with thus a numeri
al
onstant K independent of F nite in A . Then (iii) holds under (ii) by in
reasing F to A . Finally,
and in the same way, if E (2) (V; dX ) < 1 , for any ordering of A , X
onverges in L2 with respe
t to the
uniform norm on C (V ) , and thus almost surely by It^o-Nisio's theorem: to see this, simply use a Cau
hy
argument in inequality (13.3) and dominated
onvergen
e in the entropy integral.
Note that we re
over from this statement the equivalen
e between almost surely boundedness and
ontinuity of Gaussian random Fourier series.
As the main question of this study, we shall be interested in similar results and estimates when the
Gaussian sequen
e (g
)
2A is repla
ed by a Radema
her sequen
e ("
)
2A or, more generally, by some
symmetri
sequen
e (
)
2A of real random variables. While we are dealing with Fourier series with
omplex
oe
ients, for simpli
ity however we only
onsider real probabilisti
stru
tures. The
omplex
ase
an
a
tually easily be dedu
ed. Re
all that, by the symmetry assumption, the sequen
e (
)
an be repla
ed by
("
) where ("
) is an independent Radema
her sequen
e. This is the setting we will adopt. By standard
symmetrization pro
edure, the results apply similarly to a sequen
e (
) of independent mean zero random
variables (
f. Lemma 6.3).
Assume therefore we are given a sequen
e of
omplex numbers (a
)
2A and a sequen
e (
)
2A of real
random variables satisfying
X
2A
ja j2 IEj j2 < 1 :
Yt =
2A
a " (t) ; t 2 G ;
where, as before, ("
) is a Radema
her sequen
e independent of (
) . We asso
iate to this pro
ess the L2
pseudo-metri
0
dY (s; t) =
2A
11=2
; s; t 2 G ;
406
Lemma 13.5. Let xi (t) be (
omplex) fun
tions on a set T su
h that jxi (t)j2 < 1 for every t in
i
T . Let 1 p 2 and equip T with the pseudo-metri
(fun
tional) dp dened by
d2 (s; t) =
if p = 2 and
jxi (s) xi
(t)j2
!1=2
2 11=2
X
IE sup
"i xi (t) A
t2T
P
(t)j2
Kp (D + E (q) (T; dp ))
1=2
where D = sup
jxi
or sup k(xi (t))kp;1 a
ording as p = 2 or p < 2 and where q = p=p 1
t2T i
t2T
P
is the
onjugate of p . Further, if E (q) (T; dp ) < 1 ,
"i xi (t)
has a version with
ontinuous paths
i
t2T
on (T; dp ) .
As announ
ed, this lemma applied
onditionally together with the translation invarian
e property allows
to evaluate random Fourier series of the type (13.4). The main results in this dire
tion is the following
theorem. Re
all that for V G we set L(V ) = log(jV 00 j=jV j) where V 00 = V + V + V .
Theorem 13.6. If E (2) (V; dY ) < 1 , the random Fourier series Y of (13.4)
onverges uniformly on V
with probability one. Further, for some numeri
al
onstant K ,
0
1=2
(IEkY k2 )1=2 K B
(1 + L(V ) )
2A
11=2
407
ja j2 IEj j2
!1=2
Denote by
0 the set, of probability one, of all ! 's for whi
h
d! (s; t) =
ja j2 j (!)j2 j (s)
18 :
ja
j2 j
(!)j2 < 1 . For ! in
0 , introdu
e
(t)j2
!1=2
; s; t 2 G :
d! (s; t) D(!) = 2
ja j2 j (!)j2
!1=2
< 1:
(13:5)
(!) (t)j2
Z D(!)
K D (! ) +
!1=2
(log N (V; d!
; "))1=2 d"
The idea is now to integrate this inequality with respe
t to the sequen
e (
) and use the translation
invarian
e properties to
on
lude. To this aim, let us set, for every integer n 1 ,
Wn = ft 2 V 0 ; dY (t; 0) 2 n g
where V 0 = V + V . For all ! in
0 , dene a sequen
e (bn (!))n0 of positive numbers by letting
b0 (!) = D(!) and, for n 1 ,
bn (!) = max 2 n ; 4
Wn
d! (t; 0)
dt
jWn j
(2 n if jWn j = 0) :
408
2
n+4
2 n+4
Z
dt
IEd2! (t; 0)
j
W
nj
Wn
Z
Wn
d2Y (t; 0)
1=2
dt 1=2
52 n;
jWn j
(13:6)
We are now ready to integrate in ! inequality (13.5). To this aim, we make use of the following elementary
lemma.
Lemma 13.7. Let f : (0; D ! IR+ be de
reasing. Let also (bn ) be a sequen
e of positive numbers
with b0 = D and bn ! 0 . Then
Z D
1
X
f (x) dx
bn f (bn+1 ) :
0
n=0
(log N (V; d!
; "))1=2 d"
1
X
n=0
409
2 11=2
X
IE" sup
a
"
(!)
(t) A
t2V
1
X
00
K D(!) + bn(!) log 2 jjVV jj N (V; dY ; 2
n=0
1=2 !
n 1)
for every ! in
1 . Sin
e (IEb2n )1=2 5 2 n , we have simply to integrate with respe
t to ! and we then
get, by the triangle inequality,
(IE sup jYt
t2V
j2 )1=2
1=2 !
1
X
1
j
V 00 j
n
n
1
K 4 + 5 2 log 2 jV j N (V; dY ; 2 )
n=0
whi
h yields the inequality of the theorem. A Cau
hy argument together with dominated
onvergen
e in the
entropy integral and It^o-Nisio's theorem proves then the almost sure uniform
onvergen
e of Y on V . The
proof of Theorem 13.6 is
omplete.
Theorem 13.6 expresses a bound for the random Fourier series Y very similar to the one des
ribed
previously for Gaussian Fourier series. A
tually, the
omparison between Theorem 13.6 and the lower bound
in (13.3) indi
ate that, for some numeri
al
onstant K ,
(13:7)
IEk
a "
k2
!1=2
IEk
a (IEj j2 )1=2 g k2
!1=2
a "
k2
!1=2
ja j2 IEj j2
a (IEj j2 )1=2 g k2
!1=2
!1=2 1
A
but we will not use this improved formulation in the sequel. Re
all that L(V ) 0 .) In parti
ular, we see
by the
ontra
tion prin
iple that
(13:8)
IEk
a " k2
!1=2
a g k2
!1=2
410
One might of
ourse wonder at this stage when an inequality like (13.8)
an be reversed. By the
ontra
tion
prin
iple in the form of Lemma 4.5,
IEk
a "
k2
!1=2
a "
k2
!1=2
If we try to exploit this information in order to reverse inequality (13.8), we are fa
ed with the question of
P
knowing whether the Radema
her series a
"
dominates in the sup-norm the
oresponding Gaussian
series
(13:9)
a "
k2
!1=2
K IEk
a g
k2
!1=2
(with K = (=2)1=2 ) but the other way does not hold in general, unless we deal with a Bana
h spa
e
of nite
otype (
f. (4.9) and Proposition 9.14). Although C (V ) is of no nite
otype, the more general
estimates (13.7) or (13.8) that we have obtained a
tually show that the inequality we are looking for is
satised here due to the parti
ular stru
ture of the ve
tor valued
oe
ients a
. The proof of this result
is similar to the argument used in the proof of Proposition 9.25 showing that the Radema
her and Gaussian
otype 2 denitions are equivalent. Further, this property is indeed related to some
otype 2 Bana
h
spa
e of remarkable interest whi
h we dis
uss next. The following proposition is the announ
ed result of the
equivalen
e of Gaussian and Radema
her random Fourier series.
a g
k2
!1=2
IEk
a "
k2
!1=2
(Re
all that by (13.9) the reserve inequality is satised with a numeri
al
onstant independent of V .)
P
P
Further, a
g
and a
"
onverge uniformly almost surely simultaneously.
Proof. The se
ond assertion follows from the inequalities and a Cau
hy argument and the integrability
properties of both Gaussian and Radema
her series. We
an thus assume we deal with nite sums. Let
> 0 to be spe
ied. By the triangle inequality,
IEk
a g k2
!1=2
IEk
a g Ifjg j g k2
!1=2
+ IEk
a g Ifjg j> g k2
!1=2
411
By the ontra tion prin iple, the rst term on the right of this inequality is smaller than
IEk
a " k2
!1=2
fjgj> g
)1=2
IEk
a g
k2
!1=2
where g is a standard normal variable. Let us then
hoose
> 0 in order that
1
K (1 + L(V )1=2 )(IEjgj2 Ifjgj>
g )1=2 :
2
This
an be a
hieved with
of the order of 1 + L(V )1=2 from whi
h the proposition then follows. (A
tually
a smaller fun
tion of L(V ) would su
e but we need not be
on
erned with this here.)
As a
orollary of Theorem 13.7 and Proposition 13.8, we
an now summarize the results on random Fourier
series Y = (Yt )t2G of the type
X
Yt =
a
(t) ;
t 2 G;
2A
P
Corollary 13.9. Let V be as usual a
ompa
t symmetri
neighborhood of the unit of G . Let Y =
(Yt )t2G be as just dened with asso
iated metri
d(s; t) =
ja j2 j (s) (t)j2
!1=2
; s; t 2 G :
Then Y
onverges uniformly on V almost surely if and only if the entropy integral E (2) (V; d) is nite.
Furthermore, for some numeri
al
onstant K ,
0
(K (1 + L(V )1=2 ))
1 inf IEj j
ja j2
!1=2
ja j2
!1=2
412
Note in parti
ular that Y
onverges uniformly almost surely if and only if the asso
iated Gaussian Fourier
P
series a
g
does (a spe
ial
ase of whi
h dis
ussed previously being of
ourse
onstitued by the
hoi
e
for (
) of a Radema
her sequen
e). Let us mention further that several of the
omments following Theorem
13.3 apply similarly in the
ontext of Corollary 13.9 and that the equivalen
es of Theorem 13.4 hold in the
same way. In parti
ular, boundedness and
ontinuity are equivalent.
The following is a
onsequen
e of Corollary 13.9.
Corollary 13.10. Let Y be as in Corollary 13.9 with IEj
j2 = 1 for all
in A . Then (Yt )t2V
satises the
entral limit theorem in C (V ) if and only if E (2) (V; d) < 1 .
P
Proof. ( a
g
(t))t2V is a Gaussian pro
ess with the same
ovarian
e stru
ture as (Yt )t2V . If
(Yt )t2V satises the CLT it is ne
essarily pregaussian so that E (2) (V; d) < 1 by (13.3). To prove su
ien
y,
onsider independent
opies of (Yt )t2V asso
iated to independent
opies (
i ) of the sequen
e (
) . Sin
e,
for all
,
!1=2
n
X
1
i
2
pn IEj
j
= (IEj
j2 )1=2 = 1 ;
i=1
the right hand side of the inequality of Corollary 13.9 together with an approximation argument shows that
(Yt )t2V satises the CLT in C (V ) (
f. (10.4)).
Turning ba
k to Proposition 13.8 and its proof, let us now expli
it a remarkable Bana
h algebra of
otype
2 whose
otype 2 property a
tually basi
ally amounts to inequality (13.8) and the
on
lusion of Corollary
13.9. Let us assume here for simpli
ity that G is (Abelian and)
ompa
t. Denote by its dis
rete dual
group. Introdu
e then the spa
e C a.s. = C a.s. (G) of all sequen
es of
omplex numbers a = (a
)
2 in
P
`2 su
h that the Gaussian Fourier series
a
g
(t) , t 2 G ,
onverges uniformly on G almost surely.
2
By what was des
ribed so far, we know that we get the same denition when the orthogaussian sequen
e
(g
) is repla
ed by a Radema
her sequen
e ("
) , or even some more general symmetri
sequen
e whi
h
enters the framework of Corollary 13.9. Alternatively, C a.s. is
hara
terized by E (2) (G; d) < 1 where
d(s; t) =
ja
j2 j (s)
(t)j2
!1=2
to the pre
eding probabilisti
denition. Equip now the spa
e C a.s. with the norm
0
[ a = IEk
11=2
a g k2 A
413
for whi
h it be
omes a Bana
h spa
e. By (13.9) and Proposition 13.8 an equivalent norm is obtained when
(g
) is repla
ed by ("
) . In the same way, moment equivalen
es of both Gaussian and Radema
her series
allow to
onsider Lp -norms for 1 p 6= 2 < 1 . Convenient also is to observe that
(13:10)
1
([[ Re(a) + [ Im(a)) [ a 2([[ Re(a) + [ Im(a))
4
where Re(a) = ( Re(a
))
, Im(a) = ( Im(a
))
. The right hand side is
lear by the triangle inequality.
The left hand side follows from the
ontra
tion prin
iple. Indeed, if (b
) and (
) are
omplex numbers
su
h that j
j = 1 for all
, then
IEk
b g
k2
!1=2
2 IEk
b g
k2
!1=2
b g
k2
!1=2
2 IEk
b g
k2
!1=2
For
= a
=ja
j and b
= Re(a
); Im(a
) , (13.10) easily follows using one more time the
ontra
tion
prin
iple.
It is remarkable that the spa
e C a.s. whi
h arises from a sup-norm has ni
e
otype properties. This is
the
ontent of the following proposition whi
h, as announ
ed, basi
ally amounts to inequality (13.8).
N
X
[ ai 2 C IE[[
i=1
"i ai 2 :
By observation (13.10), we need only prove this for real elements a1 ; : : : ; aN . Consider then the element a
of C a.s. dened for every
in
by a =
N
P
i=1
jai j2
N
X
IE[[
1=2
1
"i ai 2 [ a 2
2
i=1
414
N
P
i=1
the basi
orthogaussian sequen
e (g
) , let A1 ; : : : ; AN be disjoint sets with equal probability 1=N . Let,
for
in ,
N ai
p X
i
IA :
= N
j
a
i=1
j
Clearly
N
X
i=1
[ ai 2 = IEk
a g k2 :
Sin
e IEj
j2 = 1 for every
, the
on
lusion follows from (13.8). Proposition 13.11 is therefore established.
It is interesting to present some remarkable subspa
es of the Bana
h spa
e C a.s. = C a.s. (G) . Let G be
as before a
ompa
t Abelian group. A subset of the dual group of G is
alled a Sidon set if there is
a
onstant C su
h that for every nite sequen
e (
) of
omplex numbers
X
2
j j C k
2
k :
Sin
e the reverse inequality (with C = 1 ) is
learly satised, f
;
2 g generates, when is a Sidon
set, a subspa
e of C (G) isomorphi
to `1 . A typi
al example is provided by a la
unary sequen
e (in the
sense of Hadamard) in ZZ , the dual group of the torus group. As we have seen in Chapter 4, Se
tion 4.1, the
Radema
her sequen
e in the Cantor group is another example of Sidon set. If a = (a
)
2 is a sequen
e
of
omplex numbers vanishing outside some Sidon set of , then the norm [ a is equivalent to the `1
P
norm ja
j . `1 is of
otype 2 and it is remarkable that the norm [ preserves this property. On the
other hand, C a.s. is of no type p > 1 (sin
e this is not the
ase for `1 ).
The
onsideration of the spa
e C a.s. gives raise to another interesting observation. Let G be
ompa
t
P
Abelian. Any fun
tion f in L2 (G) admits a Fourier expansion
fb(
)
whi
h
onverges to f in L2(G) .
2
We denote by [ fb the norm in C a.s. of the Fourier transform fb = (fb(
))
2 of f . We rst note the
following. Let F be a
omplex valued fun
tion on CI su
h that
[ bh K1 (kf k + [ fb )
415
where we re
all that k k is the sup-norm (on G ). This property is an easy
onsequen
e of the
omparison
theorems for Gaussian pro
esses. For any t in G , set ft(x) = f (t + x) . If (Xt ) is the Gaussian pro
ess
P
Xt = fb(
)g
(t) , for any s; t in G ,
jjf jj = K1 (3kf k + [ fb ) ;
where K1 is the numeri
al
onstant whi
h appears in (13.11), for whi
h it be
omes a Bana
h spa
e. The
trigonometri
polynomials are dense in B (
f. Theorem 3.4). As a result, B is a
tually a Bana
h algebra
for the pointwise produ
t su
h that jjfhjj jjf jj jjhjj for all f; h in B . This
an be proved dire
tly or as a
onsequen
e of (13.11). Let F be dened as
F (x) =
Then, if f; h are in B with kf k , khk
applied with this F ,
2
x =2
x2 =2jxj2
if jxj 1 ;
ifjxj > 1 :
2K1 (2 + [ fb + [ b
[ fh
h ) :
jj jj .
Let A(G) be the algebra of the elements of C (G) whose Fourier transform is absolutely summable. The
pre
eding algebra B is an example of a (strongly homgeneous) Bana
h algebra with A(G) 6 B 6 C (G)
on whi
h all Lips
hitzian fun
tions of order 1 operate. One might wonder for a minimal algebra with these
416
properties. In this order of idea, the following algebra might be of some interest. Let Be be the spa
e of the
fun
tions f in C (G) su
h that
n
X
E sup ai gi ft(xi )
t2G
sup
i=1
; n 1 ; x1 ; : : : ; xn 2 G ;
n
X
i=1
a2i 1 < 1 :
It is not di
ult to see, as before, that this quantity (at the ex
eption perhaps of a numeri
al fa
tor) denes
a norm on Be for whi
h Be is a Bana
h algebra with A(B ) 6 Be 6 C (G) on whi
h all 1 -Lips
hitzian
fun
tions operate. Further, Be is smaller than B . To see it, let (Zi ) be independent random variables with
values in G and
ommon distribution (normalized Haar measure on G ). Then, if f 2 Be ,
n
X
1
sup p IE sup j gi ft (Zi )j < 1 :
n t2G i=1
n
Therefore, by the
entral limit theorem in nite dimension, it follows that the Gaussian pro
ess with L2 metri
(IEjfs (Z1 ) ft (Z1 )j2 )1=2 = kfs ft k2 ;
s; t 2 G ;
is almost surely bounded. But then (Theorem 13.4), f belongs to C a.s. whi
h yields the
laim.
A deeper analysis of the Bana
h algebra Be is still to be done. Is it in parti
ular the smallest on whi
h
the 1 -Lips
hitzian fun
tions operate?
417
13.3. Stable random Fourier series and strongly stationary pro
esses
In the pre
eding se
tions, we investigated stationary Gaussian pro
esses and random Fourier series of the
P
type a
where (
) is a symmetri
sequen
e of real random variables satisfying basi
ally sup IEj
j2 <
1 . We shall be interested here in possible extensions to the stable
ase and to random Fourier series as
before when (
) satises some weaker moment assumptions (a typi
al example of both topi
s being given
by the
hoi
e, for (
) , of a standard p -stable sequen
e).
Throughout this se
tion, G denotes a lo
ally
ompa
t Abelian group with dual group , identity 0 and
Haar measure () = jj . If X = (Xt )t2G is a stationary Gaussian pro
ess
ontinuous in L2 , by Bo
hner's
theorem, there is a measure m in whi
h represents the
ovarian
e of X in the sense that for all nite
sequen
es of real numbers (j ) and (tj ) in G ,
IEj
j2
j Xtj =
Let 0 < p 2 . Say that a p -stable pro
ess X = (Xt )t2G indexed by G is strongly stationary, or
harmonizable, if there is a nite positive Radon measure m
on
entrated on
su
h that, for all nite
sequen
es (j ) of real numbers and (tj ) of elements of G ,
(13:12)
IE exp i
j Xtj = exp
1
2
p
Z X
j
(tj )
j
dm( )A :
Going ba
k to the spe
tral representation of stable pro
esses (Theorem 5.2), we thus assume in this denition
of strongly stationary stable pro
esses a spe
ial property of the spe
tral measure m , namely to be
on
entrated on the dual group of G . This property is motivated by several fa
ts, some of whi
h will be
ome
lear in the subsequent developments. In parti
ular, strongly stationary stable pro
esses are stationary in
the usual sense; however, and refering to [M-P2,
ontrary to the Gaussian
ase not all stationary stable
pro
esses are strongly stationary.
It is worthwhile mentioning an example. Let e be a
omplex stable random variable su
h that, as
a variable in IR2 , e has for spe
tral measure uniform distribution on the unit
ir
le. That is, if e =
1 + i2 = (1 ; 2 ) and = 1 + i2 = (1 ; 2 ) 2 CI ,
(13:13)
IE exp i
Re(e)
= IE exp i(1 1 + 2 2 ) = exp
1 0p p
jj
2 p
418
R
1=p
Then
Xt =
2A
a e (t) ;
t 2 G;
denes a
omplex strongly stationary p -stable pro
ess. Its real and imaginary parts are real strongly stationary p -stable pro
esses in the sense of denition (13.12). The spe
tral measure is dis
rete in this
ase.
Strongly stationary stable pro
esses therefore in
lude random Fourier series with stable
oe
ients. Sin
e,
up to a
onstant depending on p only, Ree and Ime are standard p -stable real variables, this study
an
P
be shown to in
lude similarly random Fourier series of the type a
where (
) is a standard p -stable
sequen
e (real). We shall
ome ba
k to this from a somewhat simpler point of view later.
In the rst part of this se
tion, we extend to strongly stationary p -stable pro
esses, 1 p < 2 , the
Gaussian
hara
terization of Theorem 13.3. Ne
essity will follow easily from Se
tion 12.2 and Proposition
13.2. Su
ien
y uses the series representation of stable pro
esses (Corollary 5.3) together with ideas developed in the pre
eding se
tion on random Fourier series (
onditional estimates and integration in presense of
translation invariant metri
s). As usual, we ex
lude from su
h a study the
ase 0 < p < 1 sin
e the only
property that m is nite already ensures that a p -stable pro
ess, 0 < p < 1 , has a version with bounded
and
ontinuous paths. It is thus assumed hen
eforth that 1 p 2 , and a
tually also that p < 2 sin
e the
ase p = 2 has already been studied.
Let X = (Xt )t2G be a strongly stationary p -stable pro
ess with 1 p < 2 and with spe
tral measure
m in (13.12). For s; t in G , denote by dX (s; t) the parameter of the real p -stable variable Xs Xt , that
is
Z
dX (s; t) =
1=p
dX denes a translation invariant pseudo-metri
. Let V be a xed
ompa
t neighborhood of the unit
element 0 of G . We shall always assume that V is metrizable. dX is then
ontinuous on V V (by
dominated
onvergen
e) (and thus also on G G ). We know from Theorem 12.12 a general ne
essary
ondition for boundedness of p -stable pro
esses. Together with Proposition 13.2, it yields that if X has
419
a version with almost all sample paths bounded on V , then E (q) (V; dX ) < 1 where q = p=p
onjugate of p . Furthermore, for some
onstant Kp depending only on p ,
(13:14)
1 is the
where D(V ) is the diameter of (V; dX ) and L(V ) = log(jV 00 j=jV j) (V 00 = V + V + V ) . (When q = 1 we
agree that L(V )1=q = log(1+log(jV 00 j=jV j)) .) In the following, k sup jXt jkp;1 will be denoted for simpli
ity
t2V
by kX kp;1 .
This settles the ne
essity portion of this study of almost sure boundedness and
ontinuity of strongly
stationary p -stable pro
esses. We now turn to su
ien
y and show, as a main result, that the pre
eding
ne
essary entropy
ondition is also su
ient. As announ
ed, the proof makes use of various arguments
developed in Se
tion 13.2. We only prove the result for 1 < p < 2 . The
ase p = 1
an basi
ally be
obtained similarly with however some more
are. We refer to [Ta14 for the
ase p = 1 .
Theorem 13.12. Let X = (Xt )t2G be a strongly stationary p -stable pro
ess, 1 p < 2 . Let
q = p=p 1 . Then X has a version with almost all sample paths bounded and
ontinuous on V G if
and only if E (q) (V; dX ) < 1 . Moreover, there is a
onstant Kp depending on p only su
h that
Kp 1 (jmj1=p + E (q) (V; dX ) L(V )1=q D(V ))
Proof: Ne
essity and the left hand side inequality of the theorem have been dis
ussed above. Re
all the
series representation of Corollary 5.3. Let Yj be independent random variables distributed as m=jmj . Let
further wj be independent
omplex random variables all of them uniformly distributed on the unit
ir
le of
IR2 . Assume the sequen
es ("j ) , ( j ) , (wj ) , (Yj ) to be independent. Then, by Corollary 5.3 and (13.12),
X has the same distribution as
1
X
1=p
p (
0p ) 1 jmj1=p
"j Re(wj Yj (t)) ;
t 2 G;
j
j =1
where
Under
0p appears in (13.13). For simpli
ity in the notation, we denote again by X this representation.
E (q) (V; dX ) < 1 , we will show, exa
tly as in the proof of Theorem 13.6, that this series has a version
420
with almost all sample paths bounded and
ontinuous, satisfying moreover the inequality of the theorem.
By homogeneity, let us assume that jmj = 1 . Conditionally on ( j ) ,
(wj ) and (Yj ) , we apply Lemma 13.5. For every ! of the probability spa
e supporting these sequen
es,
denote by d! (s; t) the translation invariant fun
tional
(13:15)
for all s; t . On
e this has been observed, the rest of the proof is entirely similar to the proof of Theorem
13.6. By Lemma 13.5, letting D(!) = 2k( j 1=p (!))kp;1 ,
1
X
1=p
IE" sup
(!)"j
j
t2V j =1
(13:16)
Kp D(!) +
and, if this entropy integral is nite,
1
P
j =1
1=p
Re(wj (!)Yj (!; t))
Z D(!)
(log N (V; d!
; "))1=q d"
!
t2V
(with respe
t to ("j ) ) sample paths
ontinuous (sin
e d! is
ontinuous on V V ). Wn and bn (!) being
as in the proof of Theorem 13.6, we have from (13.15) that IEbn Kp2 n . Furthermore, from Lemma 13.7
and exa
tly in the same way,
Z D (! )
(log N (V; d!
; "))1=q d"
1
X
jV 00 j N (V; d ; 2
bn(!) log 2
X
jV j
n=0
n 1)
1=q
421
Integrating with respe
t to ! , it follows that, when E (q) (V; dX ) < 1 , for almost all! ! the entropy integral
1 1=p
P
on the left is nite and thus, by the pre
eding,
(!)"j Re(wj (!)Yj (!; t))
has a version with
j
j =1
t2T
ontinuous sample paths with respe
t to ("j ) . Therefore, by Fubini's theorem and the representation, X
has a version with
ontinuous paths on V . Furthermore, integrating (13.16) together with the fa
t that
IEbn Kp 2 n yields
Motivated by the previous result, we further investigate in the se
ond part of this se
tion random Fourier
series with the obje
tive of enlarging the
on
lusions of Theorem 13.6 or Corollary 13.9. In parti
ular, we
would like to study the
ase of a sequen
e (
) there not ne
essarily in L2 . One typi
al example is a
P
stable random Fourier series a
where (
) is a standard p -stable sequen
e. We have seen that this
example
an be shown to enter the previous setting. We now present some natural extensions in the
ontext
of random Fourier series.
As in Se
tion 13.2, G is a lo
ally
ompa
t Abelian group with unit 0 and dual group
ompa
t symmetri
neighborhood of 0 and A a
ountable subset of
P
, V a xed
a sequen
e of
omplex numbers su
h that ja
jp < 1 and let (
)
2A be a sequen
e of independent and
symmetri
real random variables. We are interested in the almost sure uniform
onvergen
e of the random
Fourier series Y = (Yt )t2G where
(13:17)
Yt =
2A
t 2 G;
a (t) ;
d(s; t) =
2A
11=p
ja jp j (s) (t)jp A
s; t 2 G :
The te
hnique of proof of Theorems 13.6 and 13.12 enables to extend the results of Se
tion 13.2 to random
variables
whi
h do not have nite se
ond moments.
422
Theorem 13.13. Assume that sup k
kp;1 < 1 . Then, if E (q) (V; d) < 1 where q = p=p 1 and d
is dened above, the random Fourier series Y of (13.17)
onverges uniformly on V with probability one.
Further, for some
onstant Kp depending on p only,
0
ja jp
!1=p
2A
a " (t) ;
t 2 G;
where ("
) is a Radema
her sequen
e independent of (
) . We then use Lemma 13.5
onditionally on (
)
with respe
t to the metri
d! (s; t) = k(ja
(!)(
(s)
(t))j)
2A kp;1 :
Sin
e the
are independent, we
an integrate with respe
t to ! and use Lemma 5.8 and the hypothesis
sup k
kp;1 < 1 . The proof is
ompleted similarly.
Note that if the sequen
e (
) is only a symmetri
sequen
e, the pre
eding theorem holds similarly but
with sup k
kp instead of Lp;1 moments. The argument is similar but, to integrate d! , sin
e the
need
not be independent, we simply use that
d! (s; t)
ja jp j (!)jp j (s)
(t)jp
!1=p
If the tails of the random variables
are
lose to the tail of a standard p -stable variable, 1 p < 2 ,
then the entropy
ondition E (q) (V; d) < 1 is also ne
essary for the random Fourier series Y of (13.17) to
be almost surely bounded. More pre
isely, assume that for some u0 > 0 and > 0 ,
IPfj
j > ug u p
for all u > u0 and all
. Hen
e, by (5.2), if (
) is a standard p -stable sequen
e,
inf
IPfj
j > ug=IPfj
j > ug
423
a by Lemma 4.6. But now we deal with a stable pro ess and the omplex version
of (13.14) yields the announ
ed
laim. This approa
h
an of
ourse also be used to dedu
e Theorem 13.13
from Theorem 13.12.
Finally, the various
omments developed in the Gaussian setting next to Theorem 13.3 also apply in this
P
stable
ase. Similarly for the equivalen
es of Theorem 13.4 in the
ontext of stable Fourier series a
.
Theorem 13.14. Let X = (Xt )t2G be a stationary Gaussian pro
ess with values in B . Then, for
some numeri
al
onstant K ,
1
(IEkX0k + sup IE sup jf (Xt )j) IE sup kXt k K (1 + L(V )1=2 )(IEkX0k + sup IE sup jf (Xt )j) :
2
t2V
kf k1 t2V
kf k1 t2V
424
Further, X has a version with almost all
ontinuous paths on V if and only if kXs
on V V and
lim sup IE sup jf (Xt )j = 0 :
!0 kf k1 t2V
Xt k2 is ontinuous
Z
!0 kf k1 0
(and kXs
Xt k2 is ontinuous on V
Proof. We only show boundedness and the inequalities of the theorem. Continuity follows similarly
together with the pre
eding observation. Let B10 be the unit ball of B 0 . We
onsider X as a pro
ess
indexed by B10 G . By Theorem 12.9, the real Gaussian pro
ess X0 = (f (X0 ))f 2B10 indexed by B10 has a
majorizing measure; that is, there exists a probability measure m on (B10 ; dX0 ) su
h that
(13:18)
sup
f 2B10
1
log
1
m(B (f; "))
1=2
where, as in Chapter 12, B (f; ") is the ball of radius " with respe
t to the metri
on the spa
e whi
h
ontains its
enter f , that is, dX0 (f; g) = kf (X0 ) g(X0 )k2 , f; g 2 B10 . (We use further this
onvention
about balls in metri
spa
es below.) We intend to use (13.1) so let V 00 be restri
ted normalized Haar
measure on V 00 G . If we bound X
onsidered as a (real) pro
ess on B10 V with the majorizing measure
integral for m V 00 (on B10 V 00 B10 V ), we get from Theorem 11.18 and Lemma 11.9 (whi
h applies
similarly for the fun
tion (log(1=x))1=2 ) that,
(13:19)
IE
sup
(f;t)2B10 V
f (Xt ) K
sup
(f;t)2B10 V 0
1
1
log
m V 00 (B ((f; t); "))
1=2
d"
where B ((f; t); ") is the ball for the L2 pseudo-metri of X on B10 G , i.e.
425
where we re all that df (X ) (s; t) = kf (Xs) f (Xt )k2 . It follows that, for all (f; t) in B10 V and all " > 0 ,
m V 00 (B ((f; t); 2")) m(B (f; "))V 00 (Bdf (X) (t; "))
where Bdf (X) (t; ") is the ball with respe
t to the metri
df (X ) . Therefore,
0
1
1
log
m(B (f; "))
1=2
d" + sup
B10 V
log
!1=2
d"A :
The rst term on the right of this inequality is
ontrolled by (13.18). We use (13.1) (whi
h applies similarly
with the fun
tion (log(1=x))1=2 ) to see that the se
ond term is smaller than or equal to
1=2
1 jV 00 j
d" :
sup
log
jV j N (V; df (X ) ; ")
f 2B10 0
Z
Summarizing, we get from Theorem 13.3 that for some numeri
al
onstant K ,
IE sup kXt k K (IEkX0 k + sup IE sup jf (Xt )j + L(V )1=2 sup (IEf 2 (X0 ))1=2 ) :
t2V
f 2B10 t2V
f 2B10
This inequality is stronger than the upper bound of the theorem. The minoration inequality is obvious. The
proof is, therefore,
omplete.
One interesting appli
ation of Theorem 13.14
on
erns Gaussian random Fourier series with ve
tor valued
oe
ients. Let A be a xed
ountable subset of the dual group of
hara
ters
of G . Let (g
)
2A be an
orthogaussian sequen
e and (x
)
2A be a sequen
e of elements of a Bana
h spa
e B . We assume that B is
P
a
omplex Bana
h spa
e. Suppose that the series g
x
is
onvergent. Dene then (using the
ontra
tion
Xt =
2A
g x (t) ;
t 2 G:
As in the s
alar
ase, one might wonder for the almost sure uniform
onvergen
e of the series (13.20) (in the
sup-norm sup k k ) or, equivalently (by It^o-Nisio's theorem), the almost sure
ontinuity of the pro
ess X
t2V
on V . Theorem 13.14 implies the following.
426
Corollary 13.15. In the pre
eding notations, there is a numeri
al
onstant K su
h that
X
X
1
IE
g
x
+ sup IE sup f (x
)g
(t)
kf k1 t2V
2
X
IE sup
g
x
(t)
t2V
!
X
X
1
=
2
K (1 + L(V ) ) IE
g
x
+ sup IE sup f (x
)g
(t)
kf k1 t2V
Further,
p < 2 . These
questions are not yet answered. By the equivalen
e of s
alar Gaussian and Radema
her Fourier series
(Proposition 13.8), it is plain from Corollary 13.15 that a Radema
her series
the
orresponding Gaussian one provided
" x and
this holds for all sequen
es (x
) in B if and only if B is of nite
otype (Theorem 9.16) but in general
P
g x ((4.8)). We however onje ture that Corollary 13.15 and its inequality
also hold when (g
) is repla
ed by ("
) (note of
ourse that the left hand side inequality is trivial). This
onje
ture is supported by the fa
t that it holds for Radema
her pro
esses whi
h are Kr(T ) -de
omposable
in the terminology of Se
tion 12.3; this is
he
ked immediately reprodu
ing the argument of the proof of
Theorem 13.14. The
ase of a p -stable standard sequen
e, 1 p < 2 , in Corollary 13.15 is also open.
Stationary real Gaussian (and strongly stationary p -stable) pro
esses are either
ontinuous or unbounded.
This follows from the
hara
terizations we des
ribed and extends to the
lasses of random Fourier series
studied there. To
on
lude, we analyze this di
hotomy for general random Fourier series with ve
tor valued
oe
ients.
427
onvergent for one (or, by symmetry, all) ordering of A ,
onsider the random Fourier series X = (Xt )t2G
given by
(13:21)
Xt =
2A
x (t) ;
t 2 G:
Let V be as usual a
ompa
t neighborhood of 0 in G . The random Fourier series X is said to be almost
N
P
surely uniformly bounded if for some ordering of A = f
n; n 1g the partial sums
n x
n
n , N 1 ,
n=1
are almost surely uniformly bounded with respe
t to the norm supt2V k k . Sin
e (
) is a symmetri
sequen
e, by Levy's inequalities, the pre
eding is independent of the ordering of A and is equivalent to the
boundedness of X as a pro
ess on V . Similarly, the random Fourier series X of (13.21) is almost surely
uniformly
onvergent if for some (or all by It^o-Nisio's theorem) ordering A = f
n ; n 1g , the pre
eding
partial sums
onverge uniformly almost surely. Equivalently, X denes an almost surely
ontinuous pro
ess
on V with values in B . The next theorem des
ribes how these two properties are equivalent for s
alar
random Fourier series of the type (13.21) and similarly for B -valued
oe
ients if B does not
ontain an
isomorphi
opy of
0 . The proof is based on Theorem 9.29 whi
h is identi
al for
omplex Bana
h spa
es.
Proof. If (ii) does not hold, there exists a series (13.21) su
h that, for some ordering A = f
n ; n 1g ,
n x
n
n is an almost surely bounded series whi
h does not
onverge. Let us set for simpli
ity n =
n
n
and xn = x
n for all n . By Remark 9.31, there exist ! and a sequen
e (nk ) su
h that (nk (!)xnk
nk ) is
equivalent in the norm sup kk to the
anoni
al basis of
0 . Note that knk (!)xnk k = sup knk (!)xnk
nk (t)k
t2V
t2V
so that, in parti
ular (sin
e
nk (0) = 1 ),
P
In the same way, for every nite sequen
e (k ) of
omplex numbers with jk j 1 ,
X
k nk (!)xnk
C
428
for some
onstant C . We
an then apply Lemma 9.30 to extra
t a further subsequen
e from (nk (!)xnk )
whi
h will be equivalent to the
anoni
al basis of
0 . This shows that (i) ) (ii). To prove the
onverse
impli
ation, we exhibit a random Fourier series of the type (13.21) (a
tually Gaussian) with
oe
ients in
0 whi
h is bounded but not uniformly
onvergent. Let G be the
ompa
t Cantor group f 1; +1gIN and
set V = G . The
hara
ters on G
onsist of the Radema
her
oordinate maps "n (t) . On some (dierent)
probability spa
e, let (gn ) be a standard Gaussian sequen
e. For every n , let further I (n) denote the set
of integers f2n + 1; : : : ; 2n+1 g . Dene then X = (Xt )t2G by
Xt =
2 n
i2I (n)
gi "i (t)A en ;
t 2 G;
where (en ) is the
anoni
al basis of
0 . X is a (Gaussian) random Fourier series with values in
0 . It is
almost surely bounded. To see it, note that
0
1
N
X
X n
gi "i (t)A en
sup sup
2
N t2G
n=1
i2I (n)
i2I (n)
X
n
g
"
(
t
)
i
i
i2I (n)
jgi j
i2I (n)
gi
i2I (n)
9
=
Hen
e the
laim by the Borel-Cantelli lemma. From exa
tly the same argument, X is not almost surely
uniformly
onvergent. The proof of Theorem 13.16 is
omplete.
429
of the results of Se
tion 12.1 and the key point in the subsequent investigation of random Fourier series.
The equivalen
e of boundedness and
ontinuity of stationary Gaussian pro
esses was known previously as
Belaev's di
hotomy [Bel (see also [J-M3) (a similar result for random Fourier series was proved by Billard,
see [Ka1). The basi
Theorem 13.6 (in the
ase G = IR ) is due to M. B. Mar
us [Ma1, extended later in
[M-P1. The proof we present is somewhat dierent and simpler; it has been put forward in [Ta14. It does
not use non-de
reasing rearrangements as presented in [M-P1 (see also [Fer6). The equivalen
e between
Gaussian and Radema
her random Fourier series was put forward in [Pi6 and [M-P1. The remarkable
Bana
h spa
e C a.s. (G) and asso
iated Bana
h algebra C a.s. (G) \ C (G) have been investigated by G.
Pisier [Pi6, [Pi7. He further provided an harmoni
analysis des
ription of C a.s. as the predual of a spa
e
of Fourier multipliers. A Sidon set generates a subspa
e isomorphi
to `1 in C (G) . As a remarkable result,
it was shown
onversely by J. Bourgain and V. D. Milman [B-M that if a subset of
is su
h that
the subspa
e C of C (G) of all fun
tions whose Fourier transform is supported by is of nite
otype
(i.e. does not
ontain `n1 's uniformly), then must be a Sidon set. (A prior
ontribution assuming C
of
otype 2 is due to G. Pisier [Pi5). For further
on
lusions on random Fourier series, in parti
ular in
non-Abelian groups, examples and quantitative estimates, we refer to [M-P1.
The results of Se
tion 13.3 are taken from [M-P2 for the
ase 1 < p < 2 . The pi
ture is
ompleted
in [Ta14 with the
ase p = 1 (and with a proof whi
h inspired the proofs presented here). The
omplex
probabilisti
stru
tures are
arefully des
ribed in [M-P2. Extensions to random Fourier series with innitely
divisible
oe
ients and -radial pro
esses are studied in [Ma4. Further extensions to very general Random
Fourier series and harmoni
pro
esses are obtained in [Ta17.
The study of stationary ve
tor valued Gaussian pro
ess was initiated by X. Fernique to whom Theorem
13.14 is due [Fer10 (see also [Fer12). He further extended this result in [Fer13. Sin
e the
on
lusion does
not involve majorizing measures, one might wonder for a proof that does not use this tool. Theorem 13.14
was re
ently used in [I-M-M-T-Z and [Fer14. Theorem 13.16 is perhaps new.
Finally, related to the results of this
hapter, note the following. Various
entral limit theorems (Corollary
13.10) for random Fourier series
an be established [M-P1 with appli
ations of the te
hniques to the empiri
al
hara
teristi
fun
tion [Ma2. A law of the iterated logarithm for the empiri
al
hara
teristi
fun
tion
an
also be proved [Led1, [La. Gaussian and Radema
her random Fourier quadrati
forms are studied and
hara
terized in [L-M with the results of Se
tion 13.2 and 13.4. In parti
ular, it is shown there how random
Fourier quadrati
forms with either Radema
her or standard Gaussian sequen
es
onverge simultaneously.
430
431
14.1. The
entral limit theorem for Lips
hitz pro
esses
Let (T; d) be a
ompa
t metri
spa
e and denote by C (T ) the separable Bana
h spa
e of all
ontinuous
fun
tions on T equipped with the sup-norm k k1 . A Borel random variable X with values in C (T ) may
be denoted in the pro
esses notation as X = (Xt )t2T = (X (t))t2T and (X (t))t2T has all its sample paths
ontinuous on (T; d) . If X is a random variable, we denote as usual by (Xi ) a sequen
e of independent
opies of X and let Sn = X1 + + Xn , n 1 .
432
A subset K of C (T ) is relatively
ompa
t if and only if it is bounded and uniformly equi
ontinuous
(Arzela-As
oli). Equivalently, this is the
ase if there exists t0 in T and a nite number M su
h that
jx(t0 )j M for all x in K and for all " > 0 there exists = (") > 0 su
h that jx(s) x(t)j < " for all x
in K and s; t in T with d(s; t) < . Combining with Prokhorov's Theorem 2.1 and the nite dimensional
CLT, it follows that a random variable X = (X (t))t2T satises the CLT in C (T ) if and only if IEX (t) = 0
and IEX (t)2 < 1 for all t and, for ea
h " > 0 , there is = (") > 0 su
h that
(
(14:1)
Sn (s)
pnSn (t) > " < " :
Sin
e the spa
e C (T ) has no non-trivial type or
otype, and does not satisfy any kind of Rosenthal's
inequality (
f. Chapter 10), the results that we
an expe
t on the CLT in C (T )
an only
on
ern spe
ial
lasses of random variables. We
on
entrate on the
lasses of subgaussian and Lips
hitz variables, the rst
of whi
h naturally extends the
lass of Gaussian variables (whi
h trivially satisfy the CLT).
Re
all that a
entered pro
ess X = (X (t))t2T is said to be subgaussian with respe
t to a metri
d on
T if for all real numbers and all s; t in T ,
IE exp (X (s) X (t)) exp
2
d(s; t)2 :
2
Changing if ne
essary d into a multiple of it, we may require equivalently that kX (s) X (t)k 2 d(s; t)
for all s; t in T (or IPfjX (s) X (t)j > ud(s; t)g C exp( u2 =C ) for all u > 0 and some
onstant C ).
We have seen in Se
tion 11.3 that if (T; d) satises the majorizing measure
ondition
lim sup
Z
!0 t2T 0
1
log
m(B (t; "))
1=2
d" = 0
for some probability measure m on T , then the subgaussian pro
ess X has a version with almost all sample
paths
ontinuous on (T; d) . It therefore denes (a
tually its version whi
h we denote in the same way) a
Radon random variable in C (T ) . Note that by the main result of Chapter 12 and existen
e of majorizing
measures for bounded and
ontinuous pro
esses, the pre
eding
ondition is (essentially) equivalent to the
existen
e of a Gaussian random variable G in C (T ) su
h that kG(s) G(t)k2 d(s; t) for all s; t in T .
Now, under one of these (equivalent) assumptions, it is easily seen that the subgaussian pro
ess X also
p
satises the CLT in C (T ) . Indeed, by independen
e and identi
al distribution of the summands, Sn = n is
433
seen, for every n , to be also subgaussian with respe
t to d . Then, from Proposition 11.19, we dedu
e that
for every " > 0 , one
an nd > 0 depending only on "; T; d su
h that, uniformly in n ,
Sn (s)
IE sup
d(s;t)<
Hen e, X satises the CLT by (14.1). We have therefore the following result.
Theorem 14.1. Let X be a Borel random variable in C (T ) whi
h is subgaussian with respe
t to d .
Assume there is a probability measure m on (T; d) su
h that
lim sup
!0 t2T
Z
log
1
m(B (t; "))
1=2
d" = 0 :
Theorem 14.2. Let X be a Borel random variable in C (T ) su
h that IEX (t) = 0 and IEX (t)2 < 1
for all t in T . Assume there is a positive random variable M in L2 su
h that for all ! and all s; t in T ,
Z
!0 t2T 0
1
log
m(B (t; ")
1=2
d" = 0
434
as ("i Xi ) where ("i ) is a Radema
her sequen
e
onstru
ted on some dierent probability spa
e. There is
further a sequen
e (Mi ) of independent
opies of M su
h that jXi (!; s) Xi (!; t)j Mi (!)d(s; t) for all
i , all ! , and all s; t in T . By the subgaussian inequality (4.1), for every ! , every integer n and every
u > 0 , and all s; t in T ,
(
IP"
p1n
n
X
"i (Xi (!; s)
i=1
Xi (!; t))
>u
0
B
2 exp B
0
n
2 P
i=1
2
2
n d(s; t)
C
C
A
u2
2 exp B
u2
n
P
i=1
Mi (!)2
C
C
A
where IP" is, as usual, integration with respe
t to ("i ) . Let then a > 0 to be spe
ied and set for every
integer n and every t in T ,
n
1 X
):
Y n (t) = p
" X (t)I( P
n 2
n i=1 i i
Mj a2 n
j=1
From the pre
eding, it
learly follows that for all s; t in T , all n and u > 0 ,
IPfjY n (s) Y n (t)j > a ud(s; t)g 2 exp( u2=2) :
That is to say, for some numeri
al
onstant K , the pro
esses ((Ka) 1 Y n (t))t2T are subgaussian with
respe
t to d . Therefore, under the majorizing measure
ondition of the theorem, we know from Proposition
11.19 that for all > 0 there exists > 0 depending only on ; T; d; m su
h that, uniformly in n ,
IE sup jY n (s) Y n (t)j < a :
(14:2)
d(s;t)<
n
P
j =1
IP
sup
d(s;t)<
Mj2 > a2 n
Sn (s)
pnSn (t) > "
" 1
+ IE sup jY n (s) Y n (t)j :
2 " d(s;t)<
435
If we then
hoose = (") > 0 small enough in order for (14.2) to be satised with = "2 =2a , we nd
that X satises (14.1) and therefore the CLT. The proof of Theorem 14.2 is
omplete.
Note that if the
ontinuous majorizing measure
ondition in Theorem 14.2 is weakened into the
orresponding bounded one, then we
an only
on
lude in general to the bounded CLT for the Lips
hitz variable
X . That the
ontinuous majorizing measure
ondition is ne
essary is made
lear by the example of the random variable X = ("n =(log(n + 1))1=2 ) on C (IN [ f1g) whi
h is Lips
hitzian with respe
t to the distan
e
of the bounded, but not
ontinuous, Gaussian sequen
e (gn =(log(n + 1))1=2 ) .
Although C (T ) is not of type 2 , it is interesting to mention that Theorem 14.2 on Lips
hitz random
variables
an be related to the general results on the CLT in type 2 spa
es of Chapter 10. A
tually, it
rather
on
erns operators of type 2 and more pre
isely the
anoni
al inje
tion map j : Lip(T ) ! C (T )
investigated in Se
tion 12.3. Re
all we denote by Lip(T ) the spa
e of Lips
hitz fun
tions x on T equipped
with the norm
kxk Lip = D 1 kxk1 + sup jx(sd)(s; tx)(t)j
s=
6 t
where D = D(T ) is the diameter of (T; d) . We have seen in Theorem 12.17 that if there is a (bounded)
majorizing measure on (T; d) for the fun
tion (log 1=u)1=2 , then j is an operator of type 2 and that its
type 2
onstant T2 (j ) satises T2 (j ) K
(2)(T; d) for some numeri
al
onstant K . Let now X be
Lips
hitzian with respe
t to d as in Theorem 14.2. Then IEkX k2Lip < 1 and sin
e j is type 2 , one might
wish to use the CLT result for operators of type 2 (Corollary 10.6). There is however a small problem here
sin
e Lip(T ) need not be separable and X not a Radon random variable in this spa
e. This
an be turned
around in several ways. For example, from Proposition 9.11 for operators, we already have that, for every
n,
(14:3)
n
X
p1n IE
j (Xi )
i=1
In parti
ular, X already satises the bounded CLT in C (T ) . Now, if there is a probability measure m on
(T; d) su
h that,
(14:4)
lim sup
!0 t2T
Z
log
1
m(B (t; "))
1=2
d" = 0 ;
it is not di
ult to see that the proof of Theorem 12.17
an be modied to show that for every " > 0 there
exists a nite dimensional subspa
e F of C (T ) su
h that if TF is the quotient map C (T ) ! C (T )=F , then
436
T2 (TF j ) < " . Applying (14.3) to TF j then easily yields the CLT. In this last step however, this approa
h
basi
ally amounts to the original proof of Theorem 14.2. As an alternate, but also somewhat
umbersome
argument, one
an show that under (14.4) there exists a distan
e d0 on T su
h that d(s; t)=d0 (s; t) ! 0
when d(s; t) ! 0 and for whi
h still
(2) (T; d0 ) < 1 . Sin
e the balls for the norm in Lip(T; d) are
ompa
t
in Lip(T; d0 ) , the Lips
hitz random variable X of Theorem 14.2 takes its values in some separable subspa
e
of Lip(T; d0 ) . Corollary 10.6
an then be applied.
Sin
e a random variable X satisfying the CLT in a Bana
h spa
e B does not ne
essarily verify IEkX k2 <
2
1 but rather tlim
!1 t IPfkX k > tg = 0 (
f. Lemma 10.1), it was
onje
tured for some time that the
hypothesis M in L2 in Theorem 14.1
ould possibly be weakened into M in L2;1 , i.e. sup t2 IPfM >
t>0
tg < 1 . The next result shows how this is indeed the
ase. It is assumed expli
itely that X is pregaussian
sin
e this does not follow anymore from the Lips
hitz assumption when M is not in L2 . The proof relies
on inequality (6.30) and Lemma 5.8.
Theorem 14.3. Let X be a pregaussian random variable in C (T ) . Assume there is a positive random
variable M in L2;1 su
h that for all ! and all s; t in T
Z
log
1
m(B (t; "))
1=2
d" = 0 ;
Z
log
1
(B ((s; t); "))
1=2
d" = 0 :
437
We now simply proje
t on the diagonal. For ea
h
ouple (s; t) in T T , one
an nd (by a
ompa
tness
argument) a point '(s; t) in T su
h that de((s; t); ('(s; t); '(s; t)) 2de((s; t); (u; u)) for all u in T . Then,
if d(s; u) and dX (t; u) are both < " , it follows by denition of '(s; t) that d('(s; t); u) and dX ('(s; t); u)
are < 3" . Hen
e B ((u; u); ") ' 1 (B (u; 3")) where B (u; 3") is the ball in T of
enter u and radius 3"
for the metri
max(d; dX ) . Therefore, letting m
e = '() , m
e (B (u; 3")) (B ((u; u); ")) and thus
lim sup
Z
!1 t2T 0
1
log
m
e (B (t; "))
1=2
d" = 0 :
It follows from this dis
ussion that, repla
ing d by max(d; dX ) , we may and do assume in the following
that dX d .
We
an now turn to the proof of Theorem 14.2. Instead of refering to (6.30), it is simpler, sin
e we will
only be
on
erned with real variables, to state and prove again the inequality we will need.
Lemma 14.4. Let (Zi ) be a nite sequen
e of independent real symmetri
random variables in L2 .
Then, for all u > 0 ,
8
<X
IP Zi
:
Proof. Set =
IEZi2
i
denition of k(Zi )k2;1 that
> u 4k(Zi)k2;1 +
1=2
Therefore, if we let A = u
(
X
IP Zi
!1=2 19
=
A
IEZi2
;
4 exp( u2=6) :
X
Zi
X
X
Zi IfjZi jAg +
Zi IfjZi j>Ag
i
i
X
2
Zi IfjZi jAg + (Zi ) 22;1 :
A
j j
1 k(Z
i )k2;1 ,
)
> u(4k(Zi)k2;1 + )
(
X
IP Zi IfjZi jAg
fjZij Ag
jZi j jZi j ^ 1 :
2Au +
2u
> u(2Au + ) :
438
Hen
e, by symmetry of the variables Zi and the
ontra
tion prin
iple in the form of (4.7) (applied
onditionally on the Zi 's),
(
X
IP Zi
(
X
2IP "i
jZi j ^ 1 > u
2u
where ("i ) is an independent Radema
her sequen
e. We need now simply apply Kolmogorov's inequality
(Lemma 1.6) to get the result. Lemma 14.4 is proved.
Provided with this lemma, the proof of Theorem 14.3 is very mu
h like the proof of Theorem 14.2,
substituing the inequality of Lemma 14.4 to the subgaussian inequality. Sin
e M is in L2;1 , by Lemma
5.8, one
an nd, for ea
h " > 0 , a = a(") > 0 su
h that, for every n ,
p
"
IPfk(Mj )jn k2;1 > a ng :
2
Let, for all n and t in T ,
Y n (t) =
p1n
n
X
i=1
439
Theorem 14.5. Let 1 p < 2 and q = p=p 1 . Let Y = (Y (t))t2T be a random variable in C (T )
su h that IEjY (t)jp < 1 for all t and su h that for all ! and all s; t in T ,
Z
1
log
m(B (t; "))
!0 t2T 0
1=q
d" = 0
(if q < 1 ; if q = 1 , use the fun
tion log+ log ). Then, the distribution of Y is the spe
tral measure
of a p -stable random variable with values in C (T ) .
Proof. It is similar to the proof of Theorem 14.2. For notational onvenien e, we restri t ourselves to
the
ase q < 1 . Re
all the series representation of stable random ve
tors and pro
esses (Corollary 5.3).
Let (Yj ) be independent
opies of Y , ("j ) be a Radema
her sequen
e and assume as usual that ( j ) ,
1 1=p
P
("j ) , (Yj ) are independent. For ea
h t , sin
e IEjY (t)jp < 1 , the series
"j Yj (t) is almost surely
j
j =1
onvergent (and denes a p -stable real random variable). It will be enough to show that for ea
h " > 0
one
an nd > 0 su
h that
1
X
1=p
IE sup
"j (Yj (s)
j
d(s;t)< j =1
(14:5)
1
P
Yj (t))
< ":
1=p
The series
.
j =1
j =1
To establish (14.5), we rst note that by independen
e, the
ontra
tion prin
iple and (5.8),
1
X
1=p
IE sup
"j (Yj (s)
j
d(s;t)< j =1
Yj (t))
1
X
IE sup
IE sup j 1=p "j (Yj (s)
j
j 1
d(s;t)< j =1
1
X 1=p
Kp IE sup j
"j (Yj (s) Yj (t))
d(s;t)< j =1
1=p
Yj (t))
440
where Kp only depends on p . Using Lemma 1.7, for every ! on the spa
e supporting (Yj ) , and every s; t
in T and u > 0 ,
8
1
<X
IP" j 1=p "j (Yj (!; s)
:
j =1
Yj (!; t))
9
=
2 exp
;
>u
uq
where (Mj ) is a sequen
e of independent
opies of M and where we have used that jYj (!; s) Yj (!; t)j
Mj (!)d(s; t) . Under the majorizing measure
ondition of the statement, we dedu
e from Theorem 11.14
that for ea
h " > 0 , one
an nd > 0 su
h that, uniformly in ! ,
1
X
IE" sup j 1=p "j (Yj (!; s)
d(s;t)< j =1
Yj (!; t))
"k(j
j (! ))kp;1 :
1=p M
Integrating with respe t to ! using Corollary 5.9 implies (14.5) and, as announ ed, the on lusion.
Pn (!) =
n
1X
;
n i=1 Xi (!)
! 2
; n 2 IN
441
asso
iated metri
. If f is in L1 = L1(P ) , we denote further P (f ) = E (f ) = fdP . We need also
onsider
the random spa
es Lp (Pn ) , 1 p < 1 , with their norms
n
X
kf kn;p = n1 jf (Xi )jp
i=1
!1=p
where f is a fun
tion on S , and denote by dn;p the asso
iated random distan
es.
By
lass of fun
tions on S , we will always mean here a family F of (real) measurable fun
tions f on
(S; S ) su
h that kf (x)kF = sup jf (x)j < 1 for all x in S . (For any family (a(f ))f 2F of numbers indexed
f 2F
by a
lass F , we set, with some abuse, ka(f )kF = sup ja(f )j .) Given P on (S; S ) , the (
entered) empiri
al
f 2F
pro
esses based on P and indexed by a
lass F L1 (P ) are dened as
(Pn
P )(f ) =
n
1X
(f (Xi ) P (f )) ;
n i=1
2 F ; n 2 IN :
As always in this book, we do not enter the various and possibly intri
ated measurability questions that the
study of empiri
al pro
esses raises. In order not to hide the main ideas we intend to emphasize here, we shall
assume all
lasses F to be
ountable. We
ould instead require a separability assumption on the pro
esses
((Pn P )(f ))f 2F .
Sin
e we are assuming that kf (x)kF < 1 for every x in S , the maps f ! f (Xi ) , i 2 IN , dene
random elements in the spa
e `1 (F ) of bounded fun
tions F ! IR equipped with the sup-norm kkF . In
this study of empiri
al pro
esses, we are therefore dealing with random variables taking their values in the
non-separable (unless F is nite) Bana
h spa
e `1 (F ) entering, sin
e we are assuming F
ountable, our
general setting of innite dimensional random variables (
f. Se
tion 2.3). Many results presented throughout
this book therefore apply in this empiri
al setting.
Limit properties are of
ourse the main topi
in the study of empiri
al pro
esses as a way to approximate
a given law P by empiri
al data Pn . We have the following denitions. A
lass F as before is said to be
a Glivenko-Cantelli
lass for P , or P satises the strong law of large numbers uniformly on F , if, with
probability one,
lim kP (f ) P (f )kF = 0 :
n!1 n
This denition extends the
lassi
al result due to Glivenko and Cantelli a
ording to whi
h the
lass F of the
indi
ator fun
tions of the intervals [0; t , 0 t 1 , is a Glivenko-Cantelli
lass for every probability P on
442
[0; 1 . Sin
e weak
onvergen
e is involved, the denition of the
entral limit property in this non-separable
p
framework requires some more
are. Write for
onvenien
e n = n(Pn P ) , n 2 IN . Then a
lass F
of fun
tions on S is said to be a Donsker
lass for P , or P satises the
entral limit theorem uniformly
on F , if there is a Gaussian Radon probability measure
P on `1 (F ) su
h that for every real bounded
ontinuous fun
tion ' on `1 (F ) ,
lim
n!1
'(n )dIP =
'd P :
The use of the upper integral takes into a
ount the measurability questions. By the nite dimensional CLT,
the probability measure
P is the law of a Gaussian pro
ess GP indexed by F with
ovarian
e given by
IEGP (f )GP (g) = P (fg) P (f )P (g) ;
f; g 2 F :
Further,
P being Radon on `1 (F ) is equivalent to say that GP admits a version with almost all sample
paths bounded and
ontinuous on F with respe
t to the metri
k(f P (f )) (g P (g))k2 , f; g 2 F (
f.
[G-Z3). If this property is realized the
lass F is said to be P -pregaussian so that a P -Donsker
lass
is of
ourse P -pregaussian. As before, these denitions extends the
lassi
al Kolmogorov-Smirnov-Donsker
theorem for the
lass F of the indi
ator fun
tions of the intervals [0; t , 0 t 1 ; the Gaussian pro
ess
GP appears as a generalization of the Brownian bridge (with P Lebesgue measure on [0; 1 ). We note for
further purposes that if GP is
ontinuous in the previous sense and kP (f )kF < 1 there exists a Gaussian
pro
ess WP with L2 -metri
given by IEjWP (f ) WP (g)j2 = kf gk22 = d2 (f; g)2 , f; g in F (the analog
of the Brownian motion), whi
h is almost surely
ontinuous on (F ; d2 ) . We may simply take for example
WP (f ) = GP (f ) + P (f ) where is a standard normal variable independent of GP . To
on
lude nally
this set of denitions, we should introdu
e Strassen
lasses satisfying the law of the iterated logarithm. Sin
e
we will basi
ally only be
on
erned with the CLT here, we leave this to the interested reader (
f. e.g. [K-D,
[Du5, [D-P).
As for the CLT in the spa
e of
ontinuous fun
tions (
f. the pre
eding se
tion), a
lass F is a P -Donsker
lass if and only if the pro
esses n satisfy a Prokhorov type asymptoti
equi
ontinuity
ondition. We refer
to [Du4, [Du5, [G-Z2, [G-Z3 for
omplete des
ription and proof of the following statement whi
h extends
(14.1) to this empiri
al framework. It is already expressed in its randomized version (
f. Proposition 10.4)
whi
h will be useful in the sequel. For every > 0 , we let F = ff g ; f; g 2 F ; d2 (f; g) < g .
443
Theorem 14.6. Let F be a
lass of fun
tions on (S; S ; P ) su
h that kP (f )kF < 1 . Then F is a
Donsker
lass for P if and only if (F ; d2 ) is totally bounded and for every " > 0 there exists > 0 su
h
that
9
8
n
<
X
(14:6)
n
1
X
p
lim
lim
sup
IE
"
f
(
X
)
i
i
!0 n!1
n i=1
F
=0
Theorem 14.7. Let F be a uniformly bounded
lass of fun
tions on (S; S ; P ) . Then,
Donsker
lass if and only if it is P -pregaussian and, for some (or all) " > 0 ,
n
X
"i f (Xi )=
i=1
pn
F";n
F is a P -
! 0 in probability :
Proof. Assume without loss of generality that kf k1 1 for all f in F . Only su
ien
y requires a
proof. Let " > 0 be xed. Sin
e F is P -pregaussian, we know that WP is a Gaussian pro
ess whi
h has a
ontinuous version on (F ; d2 ) . Therefore, by Sudakov's minoration (Corollary 3.19), nlim
!1
n (") = 0 where
" 1=2
n (") = p
log N
n
F ; d2 ; 12
!!1=2
" 1=2
pn
:
444
n
pn
> 3= 2IP <
X
p
"i > f (Xi )= n
;
:
i=1
F
i=1
8
n
<
X
+ IP
"i f (Xi )=
:
F";n
>
9
=
;
9
=
pn
> :
;
i=1
G
(14:8)
pn
> = = 0 :
;
i=1
G
1=2
( n
X
i=1
exp( nkhk22=50)
exp( "pn=50) :
Hen
e, by (14.7),
(14:9)
lim sup IP(A("; n)
) lim sup( CardG ("; n))2 exp( " n=50) = 0 :
n!1
n!1
Z!;n(f ) =
p1n
n
X
i=1
gi f (Xi (!)) ;
2G:
445
Sin
e ! 2 A("; n) ,
learly IEg jZ!;n (f ) Z!;n(f 0 )j2 4d2 (f; f 0 ) . Now WP has d2 as asso
iated L2 -metri
and possesses a
ontinuous version on (F ; d2 ) . It then
learly follows, from Lemma 11.16 for example, that
lim IE kZ (f )kG
!0 g !;n
=0
whi
h therefore holds for all n and ! in A("; n) . Standard
omparison of Radema
her averages to Gaussian
averages
ombined with (14.9) then implies (14.8) and thus the
on
lusion. Theorem 14.7 is established.
The se
ond result of this se
tion investigates further the in
uen
e of pregaussianness in the study of
Donsker
lasses F (no more ne
essarily uniformly bounded). While we only used Sudakov's minoration
before, we now take advantage of existen
e of majorizing measures (Chapter 12). The result we present
indi
ates rather pre
isely how the pregaussian property a
tually
ontrols a whole "portion" of F . In the
remaining part, no
an
ellation (one of the main features of the study of sums of independent random
variables) o
urs. For
larity, we rst give a quantitative rather than a qualitative statement. If P is
a probability on (S; S ) and F a
lass of fun
tions in L2 = L2(P ) , re
all the Gaussian pro
ess WP =
(WP (f ))f 2F . For
lasses of fun
tions F ; F1; F2 , we write F F1 + F2 to signify that ea
h f in F
an
be written as f1 + f2 where f1 2 F1 , f2 2 F2 .
Theorem 14.8. There is a numeri
al
onstant K with the following property: for every P -pregaussian
lass F su
h that kf kF 2 L1 = L1(P ) and for every n , there exist
lasses F1n ; F2n in L2 = L2 (P ) su
h
that F F1n + F2n and
(i)
(ii)
n
X
IE
f (Xi ) =
i=1
n
X
IE
gi f (Xi )=
n
X
j pn
K IEkWP (f )kF + IE
"i f (Xi )=pn
Fn
1
pn
K IEkW (f )k :
P
F
i=1
i=1
F2n
Proof. We may and do assume that F is a nite
lass. By Theorem 12.6, there exists an ultrametri
distan
e d2 on F and a probability measure m on (F ; ) su
h that
(14:10)
sup
f 2F
1
log
1
m(B (f; "))
1=2
where B (f; ") are the balls for the metri
. K is further some numeri
al
onstant, possibly
hanging from
line to line below, and eventually yielding the
onstant of the statement. We use (14.10) as in Proposition
446
11.10 and Remark 11.11. Denote by `0 the largest ` for whi
h 2 ` D where D is the d2 -diameter of
F . For every ` `0 , let B` be the family of -balls of radius 2 ` . For every f in F , there is a unique
element B of B` with f 2 B . Let then ` (f ) be one xed point of B and let ` (f` (f )g) = m(B ) . Let
P
further =
2 `+`0+1 ` whi
h denes a probability measure. We note that d2 (f; ` (f )) 2 ` for all
``0
f and ` and that ` 1 ` = ` 1 . From (14.10),
(14:11)
1=2
X
2` `0
sup
2 ` log
(f` (f )g)
f 2F ``0
K IEkWP (f )kF
(where we have used the denition of `0 ). Let now n be xed (so that we do not spe
ify it every time we
should). For every f in F and ` > `0 , set
p
a(f; `) = n2
Given f in
2` `0
log
(f` (f )g)
1=2
F and x 2 S , let
`(x; f ) = supf8j ` ; jj (f )(x) j 1 (f )(x)j a(f; j )g :
`
Dene then f2 by f2 (x) = `(x;f ) (f )(x) and f1 = f f2 and let F1 = F1n = ff1 ; f 2 Fg , F2 = F2n =
ff2 ; f 2 Fg , with the obvious abuse in notation. The
lasses F1n and F2n are the
lasses of the expe
ted
de
omposition and we thus would like to show that they satisfy (i) and (ii) respe
tively.
We start with (ii). Set F2 F2 = ff2 f20 ; f2 ; f20 2 F2 g and u = IEkWP (f )kF . We work with F2 F2
rather than F2 sin
e the pro
ess bounds of Chapter 11 are usually stated in this way. By denition of u ,
this will make no dieren
e. We evaluate, for every t > 0 (or only t t0 large enough), the probability
8
<
n
X
IP IEg
gi f (Xi )=
:
i=1
F2 F2
9
=
> tu :
;
In a rst step, let us show that this probability is less than IP(A(t)
) where, for K2 to be spe
ied later,
A(t) = f8` `0 ; 8f 2 F ;
k(` (f ) ` 1 (f ))Ifj` (f )
` 1 (f )ja(f;`)g kn;2
K2 1 t2 `g
(re
all the random norms and distan
es k kn;2 , dn;2 ). Let f; f 0 in F and denote by j the largest ` with
` (f ) = ` (f 0 ) . Then `(x; f ) j if and only if `(x; f 0 ) j . That is, we
an write for every x in S that
f2 (x) f20 (x) = (`(x;f ) (f )(x) j (f )(x))If`(;f )jg (x)
(`(x;f 0 ) (f 0 )(x) j (f 0 )(x))If`(;f 0 )jg (x)) :
447
It follows that
`j
k(` (f ) ` 1 (f ))Ifj` (f )
`j
` 1 (f )ja(f;`)g kn;2
k(` (f 0 ) ` 1 (f 0 ))Ifj` (f 0 )
8
<
n
X
IP IEg
gi f (Xi )=
:
i=1
F2 F2
9
=
> tu
IP(A(t) )
for K2 well
hosen from (14.10) and the
onstant of Theorem 11.18. We need therefore evaluate IP(A(t)
) .
To this aim, we use exponential inequalities in the form, for example, of Lemma 1.6. Note that k`(f )
` 1 (f )k2 3 2 ` . Re
entering, we dedu
e from Lemma 1.6 that, for all f in F , and ` > `0 ,
IPfk(` (f ) ` 1 (f ))Ifj` (f ) ` 1 (f )ja(f;`)gkn;2 > K2 1 t2 `g exp( tn2 2` a(f; `) 2 )
for all t t1 large enough (independent of n , f and ` ). By denition of a(f; `) , this probability is
estimated by
2` `0
exp t log
:
(f` (f )g)
If
2 , exp( t log
) (
t2 ) 1 as soon as t
max(t1 ; t2 ) , we have obtained that
IP(A(t)
)
where we have used that `
then yields
` = `
1 X X ` `0
1
2 (f` (f )g) 2
2
t `>`0 f (f )g
t
`
n
X
IE
gi f (Xi )=
i=1
pn
F2 F2
t0 + t1 u
0
448
F , kf2k2 kf k2 + 2
`0
5u .
The main observation to establish (i) is the following: sin
e j`(x;f )+1 (f )(x) `(x;f ) (f )(x)j > a(f; ` + 1) ,
for every f1 in F1 ,
kf1k1 = E jf j
``0
E (jf
kf1k1
``0
X
``0
a(f; ` + 1)
1 kf
a(f; ` + 1) 1 3 2 2`
K1 pun
for some numeri
al
onstant K1 , where the last inequality is (14.11) (re
all that u = IEkWP (f )kF ). It is
then easy to
on
lude. Set
n
X
v = IE
"i f (Xi )= n
:
i=1
F
Sin e
i=1
pn
v + Ku :
F1
From the
omparison properties for Radema
her averages (Theorem 4.12),
n
X
IE
"i
i=1
jf (Xi )j=pn
2(v + Ku) ;
F1
i=1
jf (Xi )j IEjf (Xi )j)=pn
4(v + Ku) :
F1
449
It is worthwhile mentioning that the proof of Theorem 14.8 a
tually yields more than its statement. We
have shown indeed that, with high probability, the
lass F2n equipped with the random distan
es dn;2 is
a Lips
hitz image of (F ; ) whi
h is
ontrolled by the pregaussian hypothesis. The
lass F1n is
ontrolled
in L1 (Pn ) . In this sense, Theorem 14.8 may appear as a random geometri
des
ription of the
entral
limit property. If F is P -Donsker, then F is de
omposed in two
lasses, the rst for whi
h the random
distan
es dn;2 are
ontrolled by the (ne
essary) P -pregaussian property, the se
ond being
ontrolled in
the k kn;1 random norms for whi
h no
an
ellation o
urs. Conversely, su
h a de
omposition
learly
ontains the Donsker property. Note tha the levels of trun
ation
hosen in the proof of Theorem 14.8 for
p
this de
omposition
orrespond, when F is redu
ed to one point, to the
lassi
al level n .
To draw a possible qualitative version of Theorem 14.8, let us state the following (see also [Ta4, [G-Z3).
Re
all F = ff g ; f; g 2 F ; d2 (f; g) < g .
Corollary 14.9. Let F be P -pregaussian. Then, for all > 0 and every integer n , one
an nd
lasses F1n () , F2n () in L2 (P ) su
h that F F1n () + F2n () and
n
X
lim lim sup IE
gi f (Xi )=
!0 n!1
i=1
and
n
X
lim sup lim sup IE
!0 n!1
i=1
jf (X )j=pn
pn
n
F1 ()
n
F2 ()
=0
n
X
K lim sup lim sup IE
"i f (Xi )=
!0 n!1
i=1
pn
F
n
X
lim
lim
sup
IE
!0 n!1
i=1
jf (Xi )j=pn
F1n()
= 0:
450
en v
The se ond part of the proposition follows from the fa t that CardfB
A ; CardB < vg =
P n
j<v
and an easy estimate of the latter. It indi
ates in parti
ular that we pass from the a priori information that
Card(C \ A) < 2n to a polynomial growth of this
ardinality. This se
tion is devoted to the appli
ations to
empiri
al pro
esses indexed by VC
lasses of this basi
result.
We may note that if B A is su
h that Card(C \ A) = 2 CardB , then CardB < v . Proposition
14.10 therefore follows from the more general following result (by letting U = C \ A ) whose proof uses
rearrangement te
hniques.
Proof. The idea is to nd a simple operation (symmetrization) that will make U more regular while at
the same time not de
reasing the number of sets shattered by U . One then applies this operation until the
set U is so regular that the result is obvious. Given x in A , we dene Tx(U ) = fTx(U ) ; U 2 Ug where
for U in U , Tx(U ) = U nfxg if x 2 U and U nfxg 62 U and Tx (U ) = U otherwise. The rst observation
is that
(14:13)
CardTx(U ) = CardU :
451
To show this, it su
es to establish that Tx is one-to-one on U . Suppose that Tx(U1 ) = Tx (U2 ) for U1 ; U2
in U . Then, by denition of the operation Tx , U1 nfxg = U2 nfxg . Sin
e U1 = U2 when x 2 Tx (U1 ) , let us
assume that x 62 Tx (U1 ) and U1 6= U2 and pro
eed to a
ontradi
tion. Suppose for example that x 2 U1 ,
x 62 U2 . Then, sin
e U1 nfxg = U2 2 U , Tx(U1 ) = U1 , so x 2 Tx (U1 ) whi
h is a
ontradi
tion. This shows
(14.13). Let us now establish that if Tx(U ) shatters B , then U shatters B . If x 62 B , Tx(U ) and U
have the same tra
e on B . If x 2 B , for B 0 B nfxg there is T 2 Tx(U ) su
h that T \ B = B 0 [ fxg .
T is of the form Tx (U ) for some U in U . Sin
e x 2 T , both U and U nfxg belong to U , so U shatters
P
B . We
an now
on
lude the proof of the proposition. Let w(U ) =
CardU . Let U 0 su
h that U 0 is
U 2U
obtained from U by appli
ations of some transformations Tx , and su
h that w(U 0 ) is minimal. Then, for
ea
h U in U 0 , x in U , we must have U nfxg 2 U 0 for otherwise w(Tx (U 0 )) < w(U 0 ) . This means that
U 0 is hereditary in the sense that if B 0 B 2 U 0 , then B 0 2 U 0 . In parti
ular, U 0 shatters ea
h set it
ontains so that the result of the proposition is obvious for U 0 . Sin
e by (14.13), CardU 0 = CardU and
U shatters more sets than U 0 , the proof is
omplete.
Let now (S; S ) be a measurable spa
e and
onsider a
lass
(S; S ) , we let, for A; B in S ,
C S . If Q is a probability measure on
Theorem 14.12. Let C S be a VC
lass. There is a numeri
al
onstant K su
h that for all
probability measures Q on (S; S ) and all 0 < " 1 ,
1
:
log N (C ; dQ ; ") Kv(C ) 1 + log
"
Proof. Let Q and " be xed. Let N be su
h that N (C ; dQ ; ") N . There exist A1 ; : : : ; AN in C
su
h that dQ (Ak ; A` ) " for all k 6= ` . If (Xi ) are independent random variables distributed a
ording
to Q , IPfXi 62 Ak 4A`g 1 "2 and thus
IPf(Ak 4A`) \ fX1 ; : : : ; XM g = ;g (1 "2 )M
452
eM v
v
where v = v(C ) , at least when M v . Take M = [2" 2 log N + 1 so that N 2 (1 "2 )M < 1 . Assume
rst that log N v ( 1) so that v M 4" 2 log N . Then the inequality N (eM=v)v yields
log N
2v log 4"2e ;
v sin
e " 1 . Sin
e N N (C ; dQ ; ") is arbitrary,
To agree with the notations and language of the previous se
tion, we identify a
lass C S with the
lass F of indi
ator fun
tions IC , C 2 C and thus write k kC for k kF . We also assume that we deal
only with
ountable
lasses C in order to avoid the usual measurability questions. This
ondition may be
repla
ed by some appropriate separability assumption. The next statement is one of the main results on VC
lasses. It expresses that VC
lasses are Donsker for all underlying probability distributions.
Proof. Let P be a probability measure on (S; S ) . As a rst simple
onsequen
e of Theorem 14.12,
is totally bounded in L2 = L2(P ) . By Theorem 14.6, it therefore su
es to show that
n
X
sup "i (IC
dP (C;D)<
(14:14)
!0 n!1
i=1
p
ID )(Xi )= n > " = 0
453
! 2
, n 2 IN . For every ! and n , the random (in the Radema
her sequen
e ("i ) ) pro
ess
"i IC (Xi (!))= n
i=1
C 2C
is subgaussian with respe
t to dPn (!) . Sin
e Theorem 14.12 a
tually implies that
lim sup
!0 Q
Z
it is plain that Proposition 11.19 yields a
on
lusion whi
h is uniform over the distan
es dPn (!) in the sense
that for every " > 0 , there exists = (") > 0 su
h that for all n and !
IE"
sup
dPn (!) (C;D)<
(14:15)
n
X
p1n "i (IC
i=1
ID )(Xi (!))
< "2
where, as usual, IE" is partial integration with respe
t to ("i ) . From this result, the proof will be
ompleted
if the random distan
es dPn (!)
an be repla
ed by dP , at least on a large enough set of ! 's. In the same
way as we have (14.15), if C is VC,
n
1
X
sup p IE
"i IC (Xi )
< 1 :
n
i=1
n
C
n
1
X
sup p IE
(IC (Xi ) P (C ))
< 1 :
n
i=1
n
C
The same property holds for C4C = fC 4C 0 ; C; C 0 2 Cg sin
e it is also VC by Proposition 14.10. Hen
e,
given " > 0 and = (") > 0 so that (14.15) is satised, there exists n0 su
h that IP(A(n)) " for all
n n0 where
A(n) = fk(Pn P )(C 4C 0 )kC4C > 2 =4g :
We
an then easily
on
lude. For all n n0 , using (14.15),
n
X
sup
"i (IC
dP (C;D)<=2 i=1
(
IP
" + IP
2" :
A(n) ;
p
ID )(Xi )= n > "
n
X
sup "i (IC
dPn (C;D)<
i=1
p
ID )(Xi )= n > "
454
(14:16)
for all probability measures P on (S; S ) where we re
all that n = n(Pn P ) . This property implies a
uniform strong law of large numbers in the sense that for some sequen
e (an ) of positive numbers de
reasing
to 0 and any P
1
sup k(Pn P )(C )kC < 1 almost surely :
n an
This may be obtained for example from Theorem 8.6 (or the "bounded" version of Theorem 10.12) whi
h
yield the best possible an = (LLn=n)1=2 . One may also invoke the SLLN result in the form of Theorem
7.9 for example. (Re
all that sin
e we are dealing with indi
ators, the
orresponding random variables in
`1 (C ) are uniformly bounded.)
It is remarkable that these uniform limit properties a
tually
hara
terize VC
lasses. Following (14.16),
suppose for example that we are given a
lass C in S su
h that for some nite M ,
sup IEkn (C )kC M
(14:17)
for all probability measures P on (S; S ) . If we then re
all the Gaussian pro
esses GP with
ovarian
e
P (C \ D) P (C )P (D) , C; D 2 C , introdu
ed in Se
tion 14.2, we also have, by the nite dimensional CLT,
that
IEkGP (C )kC M
(14:18)
k
P
GP (C ) =
p1
k
X
k i=1
gi (xi (C ) P (C )) ;
C 2C;
455
(14:19)
i=1
p
(M + 1) k :
Suppose now that C is not a VC
lass. Then, for every k , there exists a subset A = fx1 ; : : : ; xk g of S of
ardinality k su
h that Card(C \ A) = 2k . Therefore, as is obvious, for all = (1 ; : : : ; k ) in IRk
k
X
(14:20)
i=1
ji j
k
X
2
i xi (C )
i=1
Integrating this inequality along the orthogaussian sequen
e (gi ) leads to a
ontradi
tion with (14.19) when
k is large enough. Therefore C is ne
essarily a VC
lass under (14.18) and thus a fortiori under (14.17).
(By an argument
lose in spirit to the
losed graph theorem as in Proposition 14.14 below, it is a
tually
enough to have that C is P -pregaussian for every P .)
The next proposition strengthens this
on
lusion, showing in parti
ular that the
on
lusion is not restri
ted
to the CLT.
Proposition 14.14. Let C be a (
ountable)
lass in S . Assume there exists a de
reasing sequen
e of
positive numbers (an ) tending to 0 su
h that for every probability P on (S; S ) , the sequen
e (k(Pn
P )(C )kC =an) is bounded in probability. Then C is a VC
lass.
Proof. We may assume that supn (an n) 1 < 1 . By Homann-Jrgensen's inequalities (Proposition
6.8),
1
sup IEk(Pn P )(C )kC < 1 :
n an
From Lemma 6.3, we see that, for all n ,
n
X
IE
"i (IC (Xi )
i=1
Therefore, if we set
P (C ))
n
X
2IE
(IC (Xi )
i=1
P (C ))
n
1
X
IE
"i IC (Xi )
;
(P ) = sup
n nan
i=1
C
1
1
+ 2 sup IEk(Pn
a
nan
n n
(P ) sup p
n
P )(C )kC :
456
Hen
e (P ) < 1 for all P . We would like to show a
tually that there is some
onstant M su
h that
(P ) M
(14:21)
To this aim, let us rst show that if P 0 and P 1 are two probability measures on (S; S ) , and if P =
P 0 + (1 )P 1 , 0 1 , then (P ) (P 0 ) . Let (Xi0) (resp. (Xi1 ) ) be independent random
variables with
ommon distribution P 0 (resp. P 1 ). Let further (i ) be independent of everything that was
introdu
ed before and
onsisting of independent random variables with law IPfi = 0g = 1 IPfi = 1g = .
Then (Xi ) has the same distribution as (Xii ) . In parti
ular, by the
ontra
tion prin
iple,
n
X
IE
"i IC (Xi )
i=1
n
X
IE
"i IC (Xi0 )Ifi =0g
i=1
i=1
n
X
IE
"i IC (Xi0 )
i=1
and thus the announ
ed inequality (P ) (P 0 ) . This observation easily implies (14.21). Indeed, if it
is not realized, one
an nd a sequen
e (P k ) of probabilities on (S; S ) su
h that (P k ) 4k for all k . If
1 k k
P
we then let P =
2 P , (P ) 2 k (P k ) 2k for all k ,
ontradi
ting (P ) < 1 .
k=1
We
an now
on
lude the proof of Proposition 14.14. If C is not VC, there exists, for all k , A =
k
fx1 ; : : : ; xk g in S su
h that (14.20) holds. Take then P = k1 P xi . Fix then n large enough so that
i=1
n > 4Mnan , whi
h is possible sin
e an ! 0 . Consider k > 2n2 in order that IP(
0 ) 1=2 where
0 = f8i 6= j n ; Xi 6= Xj g :
Then, sin
e (P ) M , we
an write by (14.20) that
Mnan
n
X
IE
"i IC (Xi )
i=1
C
Z
X
n
"i IC (Xi )
i=1
n2 IP(
0 ) n4
457
As in Se
tion 14.1, the ni
e limit properties of empiri
al pro
esses indexed by VC
lasses may be related
to the type property of a
ertain operator between Bana
h spa
es. Denote by M (S; S ) the Bana
h spa
e of
bounded measures on (S; S ) equipped with the norm kk = jj(S ) . Let C S ;
onsider the operator
j : M (S; S ) ! `1 (C ) dened by j () = ((C ))C 2C . We denote by T2 (j ) the type 2
onstant of j , that
is the smallest
onstant C su
h that for all nite sequen
es (i ) in M (S; S ) ,
X
IE
"i j (i )
C
ki
k2
!1=2
ji (C ) i
(D)j2
!1=2
dQ (C; D)
for all C; D
. Therefore,the entropy version of inequality (11.19) together with Theorem 14.12 applied to
P
the pro
ess
"i i (C )
where C S is VC yields
i
C 2C
Z 1
X
IE
"i j (i )
1 + K
(log N (C ; dQ ; "))1=2 d"
0
i
C
1 + K 0 (v(C ))1=2
where K; K 0 are numeri
al
onstants. Sin
e v(C ) 1 , the right side inequality of the theorem follows. To
prove the
onverse inequality, set v = v(C ) . Sin
e T2 (j ) 1 , we
an assume that v 2 . By denition of
v , there exists A = fx1 ; : : : ; xv 1 g in S su
h that Card(C \ A) = 2v 1 . Then
vX1
IE
"i j (xi )
i=1
T2 (j )(v 1)1=2 ;
458
and, by (14.20),
Therefore T2 (j ) (v
1
(v
2
1) T2 (j )(v
1)1=2 :
From this result together with the limit theorems for sums of independent random variables with values in
Bana
h spa
es with some type (or for operators with some type) (
f. Chapter 7, 8, 9, 10), one
an essentially
dedu
e again Theorem 14.13 and the
onsequent strong limit theorems for empiri
al pro
esses indexed by
VC
lasses. Moreover, one
an note that
some type p > 1 , simply be ause if this is realized, we are in a position to apply Proposition 14.14. Finally,
property (14.20) makes it
lear that the notion of VC
lass is related to `n1 spa
es. the following statement
is the Bana
h spa
e theory formulation of the previous investigation.
Theorem
14.16.
Let x1 ; : : : ; xn be fun
tions on some set T taking the values 1 . Let r(T ) =
n
P
IE sup "i xi (t) . There exists a numeri
al
onstant K su
h that for all k su
h that k r(T )2 =Kn , one
t2T i=1
an nd m1 < m2 < < mk in f1; : : : ; ng su
h that the set of values fxm1 (t); : : : ; xmk (t)g , t 2 T , is
exa
tly f 1; +1gk . In other words, the subsequen
e xm1 ; : : : ; xmk generates in `1 (T ) a subspa
e isometri
to `k1 .
Proof. Let
M=
n
X
1 + xi (t)
IE sup "i
2
t2T
i=1
2 f1; : : : ; ng ; xi (t) = 1g , t 2 T .
Therefore, by denition of v(C ) , the
on
lusion of the theorem is fullled for all k < M 2 =K 2n . Note that
p
p
r(T ) 2M + n . Sin
e we may assume M n (otherwise there is nothing to prove), we see that when
k r(T )2 =K 0n for some large enough K 0 , we have that k < M 2 =K 2n in whi
h
ase we already know the
on
lusion holds.
459
As announ
ed, this
hapter only presents a few examples of the empiri
al pro
ess methods and their
appli
ations. Our framework is essentially the one put forward in the work of E. Gine and J. Zinn [G-Z2,
[G-Z3 itself initiated by R. Dudley [Du4. Some general referen
es on empiri
al pro
esses are the notes and
books [Ga, [Du5, [Pol, [G-Z3. The interested reader will
omplete appropriately this
hapter and this
short dis
ussion with those referen
es and the papers
ited there.
The
entral limit theorems for subgaussian and Lips
hitz pro
esses (Theorems 14.1 and 14.2) are due to
N. C. Jain and M. B. Mar
us [J-M1. R. Dudley and V. Strassen [D-S introdu
ed entropy in this study and
established Theorem 14.2 with M uniformly bounded. Another prior partial result to Theorem 14.2 may
be found in [Gin (where the te
hnique of proof is a
tually
lose to the nowadays bra
keting arguments - see
below). These authors worked under the metri
entropy
ondition; the majorizing measure version of these
results was obtained in [He1. In [Zi1, J. Zinn
onne
ts the Jain-Mar
us CLT for Lips
hitz pro
esses with
the type 2 property of the operator j : Lip(T ) ! C (T ) . The analog of theorem 14.2 for random variables
in
0 is studied in [Pau, [He4, [A-G-O-Z, [Ma-Pl. A stronger version of Theorem 14.3 is established in
[A-G-O-Z where it is shown that the
on
lusion a
tually holds for lo
al Lips
hitz pro
esses, namely pro
esses
X in C (T ) su
h that for all t in T and " > 0 ,
The proof of this result relies on bra
keting te
hniques in the
ontext of empiri
al pro
esses. (The arguments
of proof are related to Theorem 14.8 and the trun
ations used there; a similar de
omposition is developed from
whi
h the lo
al Lips
hitz
onditions provides the
ontrol of the
orresponding L1 (Pn ) -portion.) Bra
keting
was initiated in [Du4; further results are obtained in [Oss, [A-G-Z, [L-T4. In those last two arti
les,
analogous results for the LIL are dis
ussed, improving upon [Led1. The simple proof of the (weaker)
Theorem 14.3 and the inequality of Lemma 14.4 are due to B. Heinkel [He7 (see also [He8). Theorem 14.5
is taken from [M-P3.
The equi
ontinuity
riterion for Donsker
lasses is due to R. Dudley [Du4; its randomized version (as
stated here as Theorem 14.6) is taken from [G-Z2. E. Gine and J. Zinn made
lever use of the Gaussian
randomization and the Gaussian pro
ess te
hniques together with exponential bounds to a
hieve remarkable
progress in the understanding of the Donsker property. Theorem 14.7 is theirs [G-Z2. Theorem 14.8 and the
random geometri
des
ription of Donsker
lasses have been obtained in [Ta4, motivated by the investigation
and prior results in [G-Z2. We refer to [G-Z3 for an alternate exposition and more details. Further
460
statements in this spirit appear in [L-T4. Donsker
lasses of sets are investigated in [G-Z2, [G-Z3, [Ta6
(see also [V-C2).
Vapnik-Chervonenkis
lasses of sets were introdu
ed in [V-C1 and were shown there to satisfy uniform
laws of large numbers. CLT, LIL and invarian
e prin
iple for VC
lasses have been established respe
tively
in [Du4, [K-D, [D-P. Our exposition of this se
tion is based on the observations by G. Pisier [Pi14.
Proposition 14.10 was established, independently, in [V-C1, [Sa, [Sh. The proof based on Proposition
14.11 seems to be due to P. Frankl [Fr. We learned it from V. D. Milman. The main Theorem 14.12 on
the uniform entropy
ontrol of VC
lasses has been observed by R. Dudley [Du4 to whom Theorem 14.13 is
due. Th at VC
lasses are a
tually
hara
terized by uniform limit properties of the empiri
al measures was
noti
ed in a parti
ular
ase (for the Donsker property) in [D-D and
ompletely understood via the map j
and Theorem 14.15 by G. Pisier [Pi14. Theorem 14.16 is also taken from [Pi14. Universal Donsker
lasses
of fun
tions do not seem to have similar ni
e des
riptions; for some results
onne
ted with type 2 map,
f.
[Zi4. Let us also mention to
on
lude the extension of the VC denition to
lasses of fun
tions (VC graphs)
with in parti
ular a ni
e
hara
terization of the Donsker property [Ale2 in the spirit of the best possible
onditions for the CLT in Bana
h spa
es (
f. Chapter 10). See [A-T for the
orresponding LIL result.
461
462
Lemma 15.1. There exists a subset H of 2B2N of ardinality at most 5N su h that B2N
ConvH .
Proof. It is similar to the proof of Lemma 9.5. Let N be xed. For 0 < < 1 , let He be maximal in
B2 su
h that jx yj > for all x; y in He . Then the balls of radius =2 with
enters in He are disjoint
and
ontained in (1 + =2)B2 . Comparing the volumes yields
CardHe
N
volB2 1 +
N
volB2
2
x=
1
X
k=0
k hk
where (hk ) He . Take then = 1=2 , H = 2He and the lemma follows.
As a
onsequen
e of this lemma, note that He = 21 H of the pre
eding proof is su
h that He
CardHe 5N and
B2N ,
463
Let T be a
onvex body of IRN , that is T is a
ompa
t
onvex symmetri
(about the origin) subset of
IRN with nonempty interior. As usual, denote by (gi ) an orthonormal Gaussian sequen
e. We let (as in
Chapter 3)
N
X
where t = (t1 ; : : : ; tN ) in IRN and
N is the
anoni
al Gaussian measure on IRN . The result of this
se
tion des
ribes a way of nding subspa
es F of IRN whose interse
tion with T has a small diameter as
soon as the
odimension of F is large with respe
t to `(T ) . This result is one of the main steps in the proof
of the remarkable quotient of a subspa
e theorem of V.D. Milman [Mi2. As for Dvoretzky's theorem, we
present two proofs of the results, both of them based on Gaussian variables. The rst one uses isoperimetry
and Sudakov's minoration, the se
ond one the Gaussian
omparison theorems.
For gij , 1 i N , 1 j k , k N , a family of independent standard normal variables, we
denote by G the random operator IRN ! IRk with matrix (gij ) . If S is a subset of IRN , diamS =
supfjx yj ; x; y 2 S g . If F is a ve
tor subspa
e of a ve
tor spa
e B , the
odimension of F in B is the
dimension of the quotient spa
e B=F .
Theorem 15.2. Let T be a
onvex body in IRN . There exists a numeri
al
onstant K su
h that for
all k N
`(T )
IP diam(T \ KerG) K p
1 exp( k=K ) :
k
In parti
ular, there exists a subspa
e F of IRN of
odimension k (obtained as F = KerG(!) for some
appropriate ! ) su
h that
`(T )
diam(T \ F ) K p :
k
1st proof of Theorem 15.2. We start with an elementary observation. For every x in IRN and all
u > 0,
(15:1)
eu2 k=2
:
k
k
P
We may assume by homogeneity that jxj = 1 . Then jG(x)j2 has the distribution of
gi2 . For every
i=1
> 0,
!
k=2
k
X
1
2
2
k
:
IE exp gi = (IE exp( g1 )) =
1 + 2
i=1
464
Therefore,
IPfjG(x)j2
< u2 g = IP
exp
k
X
i=1
gi2
> exp(
u2 )
k=2
1
exp(u2 ) :
1 + 2
Lemma 15.3. Under the previous notations, for every integer k and u > 0 ,
u2
IPfsup jG(x)j > 4`(T ) + ug 5k exp
8R2
x2T
where R = sup jxj .
x2T
Proof. By Lemma 15.1 (or rather its immediate
onsequen
e), there exists H in B2k of
ardinality less
than 5k su
h that
jG(x)j 2 sup jhG(x); hij
h2H
for all x in IRN . It therefore su
es to show that for every jhj 1 ,
u
u2
(15:2)
IPfsup jhG(x); hij > 2`(T ) + g exp
:
2
8R2
x2T
By
the Gaussian
rotational invarian
e and denition of G , the pro
ess (hG(x); hi)x2T is distributed as
N
P
jhj gi xi
. Then (15.2) is a dire
t
onsequen
e of Lemma 3.1. (Of
ourse, we need not be
on
erned
i=1
x2T
here with sharp
onstants in the exponential fun
tion and the simpler inequality (3.2) for example
an be
used equivalently.) Lemma 15.3 is established.
We
an now
on
lude this rst proof of Theorem 15.2. By Sudakov's minoration (Theorem 3.18),
sup "(log N (T; "B2N ))1=2 K1 `(T )
">0
for some numeri
al
onstant K1 . Therefore, there exists a subset S of T of
ardinality less than exp(K12 k)
su
h that the Eu
lidean balls of radius k 1=2 `(T ) and
enters in S
over T . Let T = 2T \ (k 1=2 `(T )B2N )
and dene the random variables
jG(x)j :
A = sup jG(x)j ;
B = inf
x2S jxj
x2T
465
ku2
;
8
< ug exp(K12 k)
eu2 k=2
:
k
Therefore, the set fA 14`(T ); B K2 1 kg has a probability larger than 1 2 exp( 2k) 1 exp( k) .
On this set of ! 's, take x 2 T \ KerG(!) . There exists y in S with jx yj k 1=2 `(T ) . Sin
e
G(!; x) = 0 , we
an write that
p
A(!) `(T )
+ p
B (!)
k
(14K2 + 1) `p(T ) :
k
Hen
e diam(T \ KerG(!)) K`(T )= k with K = 2(14K2 +1) . This
ompletes the rst proof of Theorem
15.2.
2nd Proof of Theorem 15.2. It is based on Corollay 3.13. Let S be a
losed subset of the unit
sphere S2N 1 of IRN . Let (gi ) , (gi0 ) be independent orthogaussian sequen
es. For x in S and y in the
Eu
lidean unit sphere S2k 1 of IRk , dene the two Gaussian pro
esses
Xx;y = hG(x); yi + g =
N X
k
X
i=1 j =1
gij xi yj + g
Yx;y =
N
X
i=1
gi xi +
k
X
j =1
gj0 yj :
466
1,
so that this dieren
e is always non-negative and equal to 0 when x = x0 . By Corollary 3.13, for every
> 0,
IPf inf sup Yx;y > g IPf inf sup Xx;y > g :
x2S y2S k 1
x2S y2S k 1
2
2
(15:3)
By denition of Xx;y and Yx;y , it follows that the right hand side of this inequality is majorized by
1
IPf inf jG(x)j + g > g IPf inf jG(x)j > 0g + exp( 2 =2)
x2S
x2S
2
while the left hand side is bounded below by
80
11=2
>
k
< X
IP gj;2 A
>
: j =1
sup
N
X
x2S i=1
9
>
=
gi xi >
>
;
N
X
x2S i=1
gi xi >
N
X
IPfZk > 2g 1 IE sup gi xi
x2S i=1
k ;2
P
j =1
gj
!1=2
= IEZk2
. We an write
k
+
Zk2 dIP
102
fZk2 k=102 g
k
+ (IEZk4 )1=2 (IPfZk2 k=102g)1=2 ;
102
p20 IE sup
N
X
k x2S i=1
gi xi :
467
1
IPf inf jG(x)j > 0g
x2S
2
Hen
e, if we
hoose r = K`(T )= k for K numeri
al large enough, we see from the pre
eding inequality
that IPf inf jG(x)j > 0g > 0 . There exists therefore an ! su
h that jG(!; x)j > 0 for all x in S . That
x2S
is, if we let F = KerG(!) (whi
h is of
odimension k ), S \ F = ; . By denition of S = r 1 T \ S2N 1 ,
p
this implies that, for every x in T \ F , jxj < r = K`(T )= k . The qualitative
on
lusion of the theorem
already follows. To improve the pre
eding argument into the quantitative estimate, we n eed simply
ombine
it with
on
entration properties. We indeed improve the minoration of the right hand side of (15.3) in the
following way. Let m and M be respe
tively medians of Zk = (
k ;2
P
g )1=2
j =1
> 0,
(
N
P
N
X
sup gi xi >
x2S i=1
(
IPfZk m g IP sup
N
X
x2S i=1
(
gi xi > m 2
N
X
x2S i=1
By Lemma 3.1, if m M
gi xi > M + (m M
2) :
1
exp( 2 =2)
2
1
exp[ (m M
2
2)2 =2 :
3
expf (m M )2 =18 :
2
We have seen previously that m k=10 . On the other hand, if S is as before r 1 T \ S2N
N
X
2
gi xi `(T )
r
x2S i=1
2IE sup
1,
468
so that
!2 3
5
The
on
lusion of the theorem follows. Let us observe again that the simpler inequality (3.2) may be used
instead of Lemma 3.1.
Note that this se
ond proof may be rather simplied yielding moreover best
onstants in the statement
of the theorem by the use of Theorem 3.16. Take Xx;y = hG(x); yi and
Yx;y =
For all x; x0 in S and y; y0 in S2k
IEjYx;y
1,
N
X
i=1
gi xi + jxj
k
X
j =1
gj0 yj :
we have
hy; y0 i)
hy; y0i)
1,
1
`(T )
r
k
P
where ak = IEZk = IE(( gj0 2 )1=2 ) . By the law of large numbers, ak is of the order of
j =1
that
1
IPf inf jG(x)j = 0g IPf inf jG(x)j IE inf jG(x)j `(T ) ak g
x2S
x2S
x2S
r
k . Write then
1
exp
a
2 k
`(T )
r
2 #
As before, this yields the on lusion of the theorem, with, as announ ed, improved numeri al onstants.
469
P 2
t
i;j
ij
!1=2
<
i;j
gi gj tij
P
t2T
gi gj tij j ,
d!0 (s; t) =
X
X 0 0
B
gj (! )(sij
i j
2 1=2
tij ) C
A
do not have the property that was essential in Se
tion 12.2, i.e. that IP0 f!0; d!0 (s; t) < "g is very small for
" > 0 small.
Let us redu
e to de
oupled
haos and set
`(2) (T ) =
X
0
IE sup gi gj tij
t2T i;j
(With respe
t to the notation of Se
tion 15.1, the 2 in `(2) (T ) indi
ates that we are dealing with
haos of
order 2 .) By the study of Se
tion 13.2 we know that, at least for symmetri
(tij ) , this redu
tion to the
de
oupled setting is no loss of generality in the understanding of when T denes an almost surely bounded
haos pro
ess. A rst step in this study would be an analog of Sudakov's minoration. As we dis
ussed it in
Se
tion 11.3 on su
ien
y, there are two natural distan
es to
onsider. The rst one is the usual L2 -metri
js tj and the se
ond one is the inje
tive metri
or norm given by
where th =
hj tij
jhj1
470
We rst investigate an instru
tive example. Denote, for n xed, by `2 (n n) the subset of `2 (IN IN)
onsisting of the elements (tij ) for whi
h tij = 0 if i or j > n . Let T be the unit ball of `2 (n n) for
the inje
tive norm k k_ . Clearly
n
X
sup
gi gj0 tij
t2T i;j =1
n
X
i=1
11=2
!1=2 0
n
X
gi2
gj0 2 A
j =1
so that `(2) (T ) n .
Proof. (ii) is obvious by volume
onsiderations. We give a simple probabilisti
proof of (i). Let
("ij )1i ; jn be a doubly-indexed Radema
her sequen
e. For jhj ; jh0 j 1 , by the subgaussian inequality
(4.1), for every u > 0 ,
9
8
=
<X
u2
IP hi h0j "ij > u 2 exp
:
;
:
2
i;j
By Lemma 15.1, there exists H
CardH 5n ,
IP
8
<
8h; h0 2 H ;
X
0
h
h
"
i j ij
i;j
p= 1
>4 n :
;
By denition of kk_ and H , it follows that IPfk("ij )k_ 4 ng 1=2 . Let ij , 1 i; j n , be a family
of 1 . Then (j"ij ij j2 ) is a sequen
e of random variables taking the values 0 and 1 with probability
1=2 . Re
entering, Lemma 1.6 implies that for some
> 0 ,
IP
8
<X
:
i;j
j"ij ij j2
n2 =
exp(
n2 ) :
4;
That is IPfj("ij ij )j n=2g exp(
n2 ) . So one needs at least 21 exp(
n2 ) balls of radius n=2 in the
p
p
Eu
lidean metri
j j to
over fk("ij )k_ 4 ng 4 nT . Therefore, one needs at least 12 exp(
n2 ) balls
p
of radius n=8 to
over T . The proof of Proposition 15.4 is
omplete.
471
"(log N (T; k k_ ; "))1=2 n `(2)(T )
2
2
sin
e, as we have seen, `(2)(T ) n . It is natural to
onje
ture that these inequalities are best possible, i.e.
that for any subset T in `2 (IN IN) ,
sup "(log N (T; j j; "))1=4 K`(2)(T )
(15:4)
">0
and
for some numeri
al K . Re
ently (15.4) has been proved in [Ta16 (relying on an appropriate version of
Theorem 15.2), where it is also proved that for > 2
sup "(log N (T; k k_ ; "))1= K ()`(2) (T ) :
">0
We would like now to present a simple result that is somewhat related to these questions.
Proposition 15.5. Let (gi ) , (gj0 ) , (geij ) be independent standard Gaussian sequen
es. Then, if
(xij )1i;jn is a nite sequen
e in a Bana
h spa
e,
(15:4)
n
X
IE
geij xij
i;j =1
1=2
2
i;j =1
i j ij
i;j =1
n
pnIE
X
g g0 x
gik gj0 xij
e
i;j;k=1
n
pnIE
X
0
g
g
x
=
IE
i j ij
n
X
n
X
= IE
"k geik "j gj0 xij
i;j;k=1
472
Jensen's inequality with respe
t to partial integration in ("i ) shows then that
n
X
IE
geik gj0 xij
i;j;k=1
n
X
IE
gik gj0 xij
e
i;j =1
The ontra tion prin iple in (gj0 ) ( f. (4.8)) and symmetry then imply the result.
E=
0 < < 1:
(assumed to be nite). Set further R = sup jtj . An element t in IRN has
oordinates t = (t1 ; : : : ; tN ) .
t2T
Theorem 15.6. Under the previous notations, there is a numeri
al
onstant K su
h that for all p 1
and 1 m N ,
X
i ti
sup max
t2T CardI m
i2I
KR
"
p
1
m + p log
1=2
1
+ K log
1=2
E:
The inequality of the theorem is equivalent to say (Lemma 4.10) that for some
onstant K and all u > 0
(
(15:5)
"
1
IP sup max
i ti > u + K R m + log
K exp
1=2
#)
u2
1
log
:
KR2
P
We will establish (15.5) using the entropi
bound (11.4) for the ve
tor valued pro
ess i ti , I f1; : : : ; N g ,
i2I
CardI m , t 2 T , with respe
t to the norm
X
max
i ti :
CardI m
i2I
473
To this aim, the next
ru
ial lemma will indi
ate that the in
rements of this pro
ess satisfy the appropriate
regularity
ondition.
As usual, if t = (t1 ; : : : ; tN ) 2 IRN , k(ti )k2;1 denotes the weak `2 norm of the sequen
e (ti )iN . Re
all
that k(ti )k2;1 jtj .
IP
max
Cardm
i2I
i ti > u
K exp
u2 1
log
:
K
Proof: Let (Zi )iN be the non-in
reasing rearrangement of the sequen
e (i ti )iN so that
m
X
max
i ti = Zi :
CardI m
i=1
i2I
Note that sin
e k(ti )k2;1 1 , and i = 0 or 1 , we also have that k(i ti )k2;1
i 1 . By the binomial estimate (Lemma 2.5), for every i and u > 0 ,
IPfZi > ug = IP
Sin
e k(ti )k2;1 1 ,
N
X
j =1
8
N
<X
:
j =1
9
=
Ifj tj >ug i
IPfj tj > ug
=
N
X
j =1
N
X
j =1
ei
N
X
j =1
1=2 ,
1i
IPf1 > u j g
IPf1
> u2 j g IE
(15:6)
1 , that is Zi i
1
= 2:
u2
u
e i
:
u2 i
Without loss of generality, we
an assume that m = 2p . Let u > 0 be xed. Let j 1 be the largest
su
h that u2 2e1042j and take j = 0 if u2 < 2e104 . (We do not attempt to deal with sharp numeri
al
onstants.) We observe that, if j 1 ,
2j
X
i=1
Zi
2j
X
u
i 1=2 2 2j=2 :
2
i=1
474
i>2j
Zi
p
X
`=j
2` Z2` :
( m
X
i=1
Zi > u
8
p
<X
IP :
`=j
p
X
u
>
IPf2` > Z2` > u`g
2 ; `=j
2`Z2`
p
P
`=j
9
=
`j
u
w` 3 10(2p+1)1=2 :
4
`p
p
P
`=j
IP
i=1
Zi > u
`
p
X
e2` 2
u2`
`=j
p
X
exp
`=j
2` log
u2`
e2`
x
x 1
log :
Therefore, the rst term (` = j ) of the sum on the right of (15.7) gives raise to an exponent of the form
2j log
u2j
e2j
2j log
provided that
vj2
e2j
2
= 2j log
u2
e1042j
u2
e1042j
2
14 eu104 log 1
4:
p
(15:8)
for K 4e104 .
exp
2j log
u2j
e2j
!#
exp
u2 1
log
K
475
(15:9)
that is,
log
u2`
e2`
u2`
e2`
u2` 1
6 ` 1
2 log
;
5
e2` 1
2
35 log eu2` ` 11 :
If u` 1 = w` 1 , then u` = w` and this inequality is trivially satised sin
e by denition of w` , the interior
of the logarithm is
onstant. If u` 1 = v` 1 , we note the following:
u2`
e2`
2
2
2
2
ev`2` = 14 ev2` ` 1 1 = 41 eu2` ` 1 1 14 ew2`` 11 23 :
Using that log(x=4) (3 log x)=5 when x 25 , (15.9) is thus satised.
We
an now
on
lude the proof of Lemma 15.7. By (15.7), (15.8) and (15.9), we have that
(
IP
m
X
i=1
Zi > u
k 0
k 1
"
k
k u2 1
log
3 K
exp
exp
2 exp
6
5
u2
1
log
3K
u2 1
log
K
at least if u2 log(1=) 3K . The inequality of Lemma 15.7 follows with (for example) K = 12e104 sin
e
there is nothing to prove if u2 log(1=) 3K .
i2I
ti )
u2
:
K
K denotes a numeri
al
onstant not ne
essarily the same ea
h time it appears below. From the pre
eding,
for all u > 0 ,
(
)
!
1 1=2
u2
IP D(s; t) > u + K m log
js tj K exp K :
476
!
1 1=2
1
+ m log
IP(A)
where we re
all that 2 (x) = exp(x2 ) 1 . We are therefore in a position to apply Remark 11.4 to the
random distan
e D(s; t) (
f. Remark 11.5). It follows that, for all measurable sets A ,
Z
A s;t2T
1
1
+ R m log
IP(A)
1=2
+E
!)
u2
1 1=2
IP sup D(s; t) > u + K R m log
+E
K exp
:
KR2
s;t2T
1
IP D(0; t) > u + KR m log
1=2 )
K exp
u2
KR2
for all u > 0 , inequality (15.5) follows. The proof of Theorem 15.6 is thus
omplete.
Note of
ourse that we
an repla
e the entropy integral by sharper majorizing measure
onditions.
477
Theorem 15.8. There is a numeri
al
onstant K with the following property: for every 0 < < K 1
and N K= , whenever A = (aij ) is an N N matrix with aii = 0 for all i there exists a subset of
f1; : : : ; N g su
h that Card N and
p
kR ARt k K kAk :
The following restri ted invertibility statement is an immediate onsequen e of Theorem 15.8.
Corollary 15.9. There is a numeri
al
onstant K with the following property: for every 0 < " 1 ,
1 and N K
" 2 , whenever A is an N N matrix of norm kAk
and with only 1 's on
the diagonal, there exists a subset of f1; : : : ; N g of
ardinality Card "2 N=K
su
h that R ARt
restri
ted to R `N
2 is invertible and its inverse satises
Proposition 15.10. Let 0 < < 1 and N 8= . Then, for all N N matri
es A = (aij ) with
aii = 0 , there exists f1; : : : ; N g su
h that Card N=2 and
p
kR ARt k2!1 50kAk N
where
Before proving this proposition, let us show how to establish then Theorem 15.8 from this result. We
need the following se
ond step whi
h
laries the passage through the norm k k2!1 .
Proof. Consider u : `m
1 ! `n2 , kuk1!2 = kuk2!1 . By the "little Grothendie
k theorem" (
f. [Pi15),
if 2 (u ) is the 2 -summing norm of u ,
2 (u ) (=2)1=2 kuk1!2 :
478
m
P
Therefore, by Piets
h's fa
torization theorem (
f. e.g. [Pie, [Pi15), there exists (i )im , i > 0 ,
i =
i=1
1 , su
h that for all x = (x1 ; : : : ; xm ) in `m
1,
m
1=2
X
i x2i
ju (x)j 2 ku k1!2
i=1
!1=2
1=2
kuRt k2!2 2 kuk1!2
p
kR ARt k2!1 50kAk N :
Apply then Proposition 15.11 to u = R ARt . It follows that one
an nd with Card
N=4 and
p
1=2
50kAk N 50(2)1=2kAk :
kR ARt k2!2 Card
12 Card
Proof of Proposition 15.10. Let 0 < < 1 and let i be independent with distribution IPfi =
1g = 1 IPfi = 0g = . Let A(!) be the random operator IRN ! IRN with matrix (i (!)j (!)aij ) . We
use a de
oupling argument in the following form. For I f1; : : : ; N g , let
BI =
Sin
e
X
IE
i j aij ei
i62I;j 2I
ej
2!1
1 X X
4 X
aij = N
a
N
2 I i62I;j2I
2 i;j ij
4 X
IEkA(!)k2!1 N
B :
2 I I
479
j 2I
ej
X
= sup
i j hj aij
jhj1 i62I j2I
2!1
X
j hj aij . Therefore,
X
i jdi (h)j :
BI = IE sup
jhj1 i62I
Let (i0 ) be an independent
opy of (i ) . Working
onditionally on j , j0 , j 2 I , we get by
entering and
Jensen's inequality that
BI
X
IE sup (i
jhj1 i62I
X
IE sup (i
jhj1 i62I
X
+ sup
jhj1 i62I
X
+ sup
jhj1 i62I
jdi (h)j
jdi (h)j :
sup
jdi (h)j kAk N :
jhj1 i62I
On the other hand, if ("i ) is a Radema
her sequen
e independent of (i ) , by symmetry
X
IE sup (i
jhj1 i62I
X
2IE sup "i i di (h)
jhj1 i62I
j :
By the
omparison properties of Radema
her averages (Theorem 4.12), we have further that
X
IE sup "i i di (h)
jhj1 i62I
j
X
2IE sup "i i di (h)
jhj1 i62I
BI
X
4IE sup "i i di (h) +
jhj1 i62I
p
kAk N :
480
2
X
j "i i aij
j 2I i62I
If we integrate this expression with respe
t to the Radema
her sequen
e and then with respe
t to the variables
i , i 62 I , we obtain
0
1
Sin e
P 2
a
ij
j 2I
j
i62I
a2ij A :
BI
2 11=2
X
C
4B
IE
sup
"
d
(
h
)
i i i A
jhj1 i62I
+ kAk N
p
4(2 kAk2 N )1=2 + kAk N
p
5kAk N :
IEkA(!)k2!1 20kAk N :
In parti
ular,
p
1
IPfkA(!)k2!1 50kAk N g > :
2
Sin e learly
IP
N
X
i=1
i
N
2
1
> ;
2
there exists ! in the interse
tion of these two events; = fi N ; i (!) = 1g then fullls the
on
lusion
of Proposition 15.10. The proof is
omplete.
481
there is a subspa
e F of `N
p with d(E; F ) 1 + ? Here d(E; F ) is the Bana
h-Mazur distan
e between
Bana
h spa
es dened as the innum of kU k kU 1 k over all isomorphisms U : E ! F (more pre
isely, the
logarithm of d is a distan
e); d(E; F ) = 1 if E and F are isometri
. Partial results in
ase E = `n2 or
E = `np , 1 p < 2 , follow from the general study on Dvoretzky's theorem and the stable type in Chapter
9.
The results we present here are taken from [B-L-M and [Ta15. They are at this point dierent when
p = 1 or p > 1 so that we distinguish these
ases in two separate statements. In the rst one, we need
the
on
ept of K -
onvexity
onstant [Pi11, [Pi16. If E is a (nite dimensional) Bana
h spa
e, denote
by K (E ) the norm of the natural proje
tion from L2 (E ) = L2 (
; A; IP; E ) onto the span of the fun
tions
P
"i xi where ("i ) is a Radema
her sequen
e on (
; A; IP) . Thus, if f 2 L2(E ) , we have
i
X
"i IE("i f )
L2 (E )
K (E )kf kL (E) :
2
It has been noti
ed in [TJ2 that then the same inequality holds when ("i ) is repla
ed by a standard
Gaussian sequen
e (gi ) . We use this freely below. It is known further and due to G. Pisier [Pi8 that
K (E ) C (log(n + 1))1=2 if E is a subspa
e of dimension n of L1 ( C numeri
al).
We
an now state the two main results.
Theorem 15.12. There are numeri
al
onstants 0 and C su
h that for any n -dimensional subspa
e
E of L1 and any 0 < < 0 , we have
N (E; ) CK (E )2 2 n :
In parti
ular
N (E; ) C 2 n log(n + 1) :
Theorem 15.13. Let 1 < p < 1 . There are numeri
al
onstants 0 and C su
h that for any
n -dimensional subspa
e E of Lp and any 0 < < 0 , we have
N (E; ) Cp 2 np=2 (log n)2 log( 1 n)
if p 2 and
N (E; ) C
p 1
; log(
1 n)
482
if 1 < p 2 .
Common to the proofs of these theorems is a basi
random
hoi
e argument. We rst develop it in general.
We agree to denote below by
a -nite measure on (S; ) (hopefully with no
onfusion when (S; ; ) varies). We rst observe that,
given > 0 , a nite dimensional subspa
e E of Lp = Lp ([0; 1; dt) is always at a distan
e (in the sense
of Bana
h-Mazur) less than 1 + of a subspa
e of `M
p for some (however large) M . This
an be seen in
a number of ways, e.g. using that kf E k f kp
respe
t to the k -th dyadi
subalgebra of [0; 1 .
Zx =
M
X
i=1
(1 + "i )jxi
jp
M
X
i=1
kxkpp :
jp
jxi =
M
X
i=1
"i jxi jp :
AE =
M
X
sup "i xi p
x2E1
AE 1=2 ,
i=1
j j :
d(E; U" (E )) 1 +
12
A :
p E
483
36
IEAE :
p
In order to apply su
essfully this result, one must therefore ensure that IEAE is small. The next lemma
is one of the useful tools in this order of ideas. It is an immediate
onsequen
e of a result of D. Lewis [Lew.
In this lemma, if we split ea
h atom of of mass a 2=M in [aM=2 + 1 equal pie
es, we
an assume
that ea
h atom of has mass 2=M and that is now supported by f1; : : : ; M 0g where M 0 is an
integer less than 3M=2 . Also we
an assume that i = (fig) > 0 for all i M 0 . We always use Lemma
15.15 in this
onvenient form below.
Let F be as before and F1 be the unit ball of F
will be to show that
(15:11)
M0
X
E = IE sup i "i
x2F1 i=1
jx(i)j
Lp() ! `M
p
x = (x(i))iM 0
! (1i =p x(i))iM 0 ;
0
then IEAG = E and G is isometri
to F . Applying Proposition 15.14 to G in `M
p , we see that if
0
1
E 1=6 , exists a subspa
e H of `M
p with M1 M =2 3M=4 su
h that
(15:12)
36
:
p E
This is the pro
edure we will use to establish Theorems 15.12 and 15.13. When p = 1 , we estimate E
by the K -
onvexity
onstant K (E ) of E while, when p > 1 , we use Dudley's entropy majorizing result
(Theorem 11.17) to suitably bound E .
484
Proof of Theorem 15.12. The main point is the following proposition. In this proof, p = 1 .
Proposition 15.16. Let E be as obtained in (15.11). Then
n 1=2
M
E CK (E )
for some numeri
al
onstant C .
Proof. By an appli
ation of the
omparison properties for Radema
her averages (Theorem 4.12) and
omparison with Gaussian averages (4.8),
E
M0
X
2IE sup i "i x(i)
x2F1 i=1
M0
X
2IE sup i gi x(i)
x2F1 i=1
(We may of
ourse also invoke the Gaussian
omparison theorems; (Theorem 4.12) is however simpler.)
We denote by h; i the s
alar produ
t in L2 () . There exists f in L1(
; A; IP; F ) = L1 (F ) of norm
1 su
h that
n
X
sup h
x2F1 j =1
Thus
n
X
gj j ; xi = h
n
X
j =1
gj j ; f i :
n
X
IE sup h gj j ; xi = h j ; IE(gj f )i :
x2F1 j =1
j =1
Setting yj = IE(gj f ) , we have by denition of K (F ) = K (E ) ,
n
X
g
y
j j
j =1
K (E ) :
L2 (F )
Now
2
n
X
gj yj
j =1
L2 (F )
2
Z X
n
IE gj yj (t) d(t)
j =1
yj (t)2 A d(t) :
n
X
j =1
485
Sin e
n
P
j =1
2
j
h j ; yj i =
n
X
j =1
n
X
j =1
yj (t)2 A
d(t) K (E ) :
n
X
Set vi = Ifig so that (i 1=2 vi )iM 0 is an orthonormal basis of L2 () ( i = (fig) ). Sin
e (n1=2 j )jn
is an orthonormal basis of F L2 () , the rotational invarian
e of Gaussian distribution indi
ates that
(15:14)
n
X
IE sup h gj
x2F1 j =1
n1=2
j;
M
X
xi = IE sup h i 1=2 gi vi ; xi :
x2F1 i=1
M
X
M
X
= IE sup h gi vi ; xi
x2F1 i=1
imax
1=2 IE
M 0 i
M
X
sup h i 1=2 gi vi ; xi
x2F1 i=1
1=2
2Mn K (E ) :
486
n
Mj
1=2
and we stop at j0 , the rst for whi
h Mj0 C22 K (E )2 2 n . Indeed, suppose that j < j0 and that
M0 ; : : : Mj , H 0 ; : : : ; H j have been
onstru
ted. Note that
j
Y
(15:15)
`=0
n
1 + C2 K (E )
M`
1=2 !
j
Y
`=0
(j `)=2
3
1 + C2 K (E )
4
n
Mj
1=2 !
e10 2
(sin
e 10
2 ).
K (H j ) (1 + )2 e10 K (E ) 8K (E ) ;
and thus, by Proposition 15.16,
H j
C1
K (H j )
n
Mj
1=2
8C1 K (E ) Mn
j
1=2
61
j+1 with
so that, by (15.12), there exist Mj+1 3Mj =4 and a subspa
e H j+1 of `M
1
K (H j )
1 + C2 K (E ) Mn
n
Mj
1=2
1=2
This proves the indu tion pro edure. The result then follows. We have that
d(H 0 ; H j0 )
jY
0 1
j =0
n
1 + C2 K (E )
Mj
1=2 !
e10
487
(by (15.15)) and thus d(E; H j0 ) (1 + )e10 . The proof of Theorem 15.12 is therefore
omplete.
We now turn to the
ase p > 1 and the proof of Theorem 15.13.
Proof of Theorem 15.13. We rst need the following easy
onsequen
es of Lemma 15.15.
Lemma 15.17. Let F be as given by Lemma 15.15. If x 2 F , then
max jx(i)j nmax(1=p;1=2) kxkp :
iM 0
n
X
IE
gj j
j =1
Cr1=2
Proof. If x =
(15:16)
n
P
j =1
j j , kxk2 = n
jx(i)j
1=2
n
P
j =1
2j
!1=2
0
11=2 0
11=2
n
n
X
X
2
2j A
j (i) A
j =1
j =1
= n1=2 kxk2 :
This already gives the result for p 2 sin e then kxk2 kxkp . When p 2 ,
kxk22 max
jx(i)j2 p kxkpp n1
i
and thus kxk2 n(1=p) (1=2) kxkp . By (15.16), the rst
laim in Lemma 15.17 is established in the
ase
n
P
2
p 2 as well. The se
ond
laim immediately follows from Jensen's inequality and the fa
t that
j = 1.
j =1
Re
all that i = (fig) > 0 , i
15.18,
X
IE sup i "i
x2F1 i62J
jx(i)j
i62J
i nmax(1;p=2)
3 max(1;p=2)
n
:
2M
Hen
e, by the triangle inequality and the
ontra
tion prin
iple,
(15:17)
E
3 max(1;p=2)
2
n
+
2M
M
1=2
X
IE sup 1i =2 "i
x2F1
i2J
jx(i)j :
488
P 1=2
i2J
(x; y) =
i2J
i (jx(i)jp
jy(i)jp )2
!1=2
and use Dudley's entropy integral to bound it appropriately. We therefore need to evaluate various entropy
numbers. J being xed as before, for x = (x(i))iM 0 in Lp () , we set
kxkJ = max
jx(i)j
i2J
and agree to denote by BJ the
orresponding unit ball. In these notations, let us rst observe the following.
If x; y 2 F , kxkp ; kykp 1 , then
(x; y) 2pn(p
(15:18)
2)=4 kx
ykJ
if p 2
and
2
(x; y) 6kx ykp=
J
(15:19)
if p 2 :
ap bp p(ap
Thus
i2J
1 + bp 1 )ja
bj :
2)=2 kx
yk2J
i2J
2 jx(i)jp
i (jx(i)jp + jy(i)jp )
!(2p 2)=p
max(jx(i)jp ; jy(i)jp )
i
i2J
(kxkpp + kykpp)(2p 2)=p kx
yk2p p 4 :
i2J
i jx(i)
2) and = p=(2
y(i)jp
!(2 p)=p
p) shows
489
C
n log M
u2
Proof. Let r > 1 and r0 be the
onjugate of r . By (3.15), for some
onstant C and all u > 0 ,
u(log N (BF;2; uBF;r ))1=2
M0
X 1=2
C IE sup i gi x(i)
x2BF;r0 i=1
As in (15.14), sin
e (n1=2 j )jn is an orthonormal basis of F , the rotational invarian
e of Gaussian
measures implies that the expe
tation on the right of the pre
eding inequality is equal to
n
X
IE sup h gj n1=2 j ; xi
x2BF;r0 j =1
n
X
= n1=2 IE
gj j
j =1
Therefore, the se
ond assertion in Lemma 15.17 shows that, for some numeri
al
onstant C and all r > 1
and u > 0
(15:20)
C
rn :
u2
It is then easy to
on
lude the proof of Proposition 15.18. Sin
e p 2 , BF;p BF;2 . One the other hand,
if x 2 BF;r for some r ,
0
M
X
i=1
i jx(i)jr 1
and thus jx(i)jr i 1 M 2 if i 2 J . Therefore, BF;r eBJ if r = log M 2 . Hen e, for this hoi e of r ,
u
N (BF;p ; uBJ ) N (BF;2 ; BF;r )
e
490
Then note that sin e n 1=2 BF;p BJ (Lemma 15.17), by simple volume onsiderations,
2 n
N (BF;p ; uBJ ) N (BF;p ; un 1=2 BF;p ) 1 +
u
Together with Proposition 15.18, we get that
Z 2pn
Z
1
=
2
(log N (BF;p ; uBJ )) du
1
n
2 n 1=2
n log 1 +
du
u
0
p
Z 2 n
du
+
(Cn log M )1=2 :
u
1
p=2
n
Cp2
1=2
An iteration on the basis of (15.12) similar to the one performed in the proof of Theorem 15.12 (but simpler)
then yields the
on
lusion in
ase p 2 .
We turn next to the
ase 1 < p 2 . It relies on the following analog of Proposition 15.18 that will
basi
ally be obtained by duality (after an interpolation argument).
Proposition 15.19. Let 1 < p 2 and let F Lp () be as given by Lemma 15.15. Then, for every
0 < u 2n1=p ,
1
C
log N (BF;p ; uBJ ) p n max
; log M
u
p 1
where C is numeri
al.
491
Proof. Let q = p=p 1 be the
onjugate of p . Let v 2n(2 p)=2p . Let further h q and dene ,
0 1 , by
1 1
=
+ :
q
2
h
For x; y in BF;2 , by Holder's inequality,
v 1=
log N (BF;2 ; vBF;q ) log N BF;2 ;
BF;h
2
Chn v2
2=
Here and below, C denotes some numeri
al
onstant, not ne
essarily the same ea
h time it appears. Sin
e
1
p
=
2 p
2p
;
(2 p)h
v 2p=(2 p)
v 2p=(2 p)
The proof of (3.16) of the equivalen
e of Sudakov and dual Sudakov inequalities indi
ates that we have in
the same way
(15:21)
v 2p=(2 p)
492
Let us hoose
v = 2p=2
u (2 p)=2
(so that v 2n(2 p)=2p sin
e u 2n1=p ). By (15.21) applied to the rst term on the right of the pre
eding
inequality and (15.20) to the se
ond (for r = log M 2 ) , we get that, for some numeri
al
onstant C (re
all
that 1 < p 2 ),
log N (BF;p ; uBJ ) Cu p n(h + log M ) :
Sin
e we may assume that n M , by denition of h = h(n) , the proof of Proposition 15.19 is
omplete.
The proof of Theorem 15.13 for 1 < p 2 is then
ompleted exa
tly as before for p 2 . The pre
eding
proposition together with Dudley's theorem ensures similarly that
E
1
n
C (log n)2 max
; log M
M
p 1
1=2
An iteration on the basis of (15.12) on ludes the proof in the same way.
As an example of
onstru
tion, we
onstru
t in this se
tion expli
it majorizing measures on ellipsoids.
The
onstru
tion is based on the evaluation of the entropy integral for produ
ts of balls.
Let (ai ) be a sequen
e of positive numbers with
(
P 2
a
E = x2H;
X x2
i
2
a
i
i
1 :
493
= IE
gi2 a2i
a2i 1 ;
we know by Theorem 12.8 that there is a majorizing measure (for the fun
tion (log(1=x))1=2 ) on E with
respe
t to the `2 metri
(that
an a
tually be made into a
ontinuous majorizing measure). One may wonder
for an expli
it des
ription of su
h a majorizing measure. This is the purpose of this se
tion.
What will a
tually be expli
it is the following. Let Ik , k 0 , be the disjoint sets of integers given by
Ik = fi ; 2 k
Note that sin
e
P 2
a
1 , we have that
E0 = x 2 H ;
We will exhibit a probability measure m on
1
22k
i2Ik
x2i 1 :
p 0
3E su
h that, for all x in E ,
log
< ai 2 k g :
(15:22)
1
m(B (x; "))
1=2
d" C
p
where C is numeri
al and B (x; ") is the (Hilbertian) ball of
enter x and radius " > 0 in 3E 0 . Sin
e
E E 0 , we
an then use Lemma 11.9 to obtain a majorizing measure on E (however less expli
it). It
an
be shown further to be a
ontinuous majorizing measure. We leave this to this interested reader.
P
Let U be the set of all sequen
es of integers n = (nk )k0 su
h that nk k for all k and 2 nk le3 .
k
For su
h a sequen
e n = (nk ) , let (n) be the produ
t of balls
(
(n) = x 2 H ; 8k ;
i2Ik
22k x2i
2
nk
The family f(n) ; n 2 U g
overs E 0 . Indeed, given x in E 0 and k an integer, let mk be the integer
su
h that
X
2 mk 1 <
22k x2i 2 mk :
i2Ik
494
p
Then x 2 (n) with n = (nk ) , nk = min(k; mk ) . Note
onversely that (n) 3E 0 for every n in
U . The main step in this
onstru
tion will be to show that the produ
ts of balls (n) satisfy the entropy
onditions uniformly over all n in U ; that is, for some
onstant C and all n in U ,
X
(15:23)
2 2k CardIk 4 and
i2Ik
x2i 2 `k :
2 nk
In addition, we may assume that the sequen
e (2`k CardIk ) is in
reasing. This property will allow to easily
sele
t the balls with small entropy in the produ
t .
For any integer p , let k(p) be the smallest su
h that
X
kk(p)
Then
2 `k
2
2p 2 :
N ( ; 2 pB2 ) N (p ; 2 p 1 B2 )
where p is the produ
t k<k(p) B (k) of the nite dimensional Eu
lidean balls
(
i2Ik
x2i
2
`k
We agree further to denote in the same way by B2 the unit ball of `2 and of the nite dimensional
spa
e `N
2 for the
orresponding dimension (
lear from the
ontext). Let us now re
all that, by volume
onsiderations, for every " > 0 ,
(15:25)
N (B (k) ; "B2 )
CardIk
2 2 `k =2
:
1+
"
495
It is easily seen further that if ("k )k<p are positive numbers with
N (p ; 2 p 1 B2 )
(15:26)
k<k(p)
k<k(p)
"2k 2 2p
2,
then
N (B (k) ; "k B2 ) :
"2k = 2 `k
where j is su
h that k(j
k<k(p)
by denition of k(j
4(p j ) 1
"2k =
j p
j p
j p
4(p j ) 1
4(p j ) 1
22j 4p 1
k(j 1)k<k(j )
X
2 `k
2 `k
kk(j 1)
2 2p 2
1) . We are thus in a position to apply (15.26). Together with (15.25), it yields that
log N (; 2 p B2 )
k<k(p)
X
j p
k(j 1)k<k(j )
(15:27)
uj =
so that
(15:28)
k(j 1)k<k(j )
2 j
k(j 1)k<k(j )
11=2
CardIk A
(2 `k CardIk )1=2
k(j 1)k<k(j )
CardIk uj (2`k(j)
CardIk(j) 1 )1=2 :
496
By denition of k(j ) ,
k>k(j ) 1
2 `k > 2 2j
X
2.
Hen e
2 `k > 2 2j
Therefore
2 2j (2`k(j)
(2j +1) 2
= 2 2j
3:
CardIk(j) 1 )1=2 23
23
2 `k A (2`k(j)
CardIk(j) 1 )1=2
(2 `k CardIk )1=2
23 (uj + uj+1 )
where we have used again that (2`k CardIk ) is in
reasing. Therefore, by (15.28),
X
Sin e
uj
2 j
k(j 1)k<k(j )
11=2
CardIk A
2 2j uj (2`k(j)
j
X
23=2 (uj (uj
j
CardIk(j) 1 )1=2
+ uj+1 ))1=2 :
p
2 3 by (15.24), the announ
ed
laim (15.23) follows from Cau
hy-S
hwarz inequality and
(15.27).
We now make use of this result (15.23) to exhibit a
on
rete majorizing measure satisfying (15.22).
Re
all we denote by U the set of all sequen
es of integers n = (nk )k0 , nk 0 , su
h that nk k for
P
all k and 2 nk 3 . For every j 0 , let 'j be the restri
tion map from ININ onto INj+1 , i.e.
k
'j ((nk )) = (nk )kj . Set Uj = 'j (U ) and note that CardUj (j + 1)! . As for the elements of U , for
every n = (nk )kj in Uj , we denote by (n) the (nite dimensional) produ
t of balls
(
(n) = x 2 H ; 8k j ;
i2Ik
22k x2i
2
nk ;
8k > j ; 8i 2 Ik ; xi = 0 :
For every j and n in Uj , let then (x(j; n)) be a family of points in (n) of
ardinality N ((n) , 2 j B2 ) ,
su
h that the Eu
lidean balls of
enter in (x(j; n)) and radius 2 j
over (n) . Consider then
m=
X X
j 0 n2Uj
497
p
p
where x is point mass at x . Sin
e (n) 3E 0 for every n in U , m is a measure on 3E 0 su
h that,
by
onstru
tion, jmj 1 . Now, if x is in E E 0 , there exists n in U with x 2 (n) . For every j 0 ,
one
an nd x(j ) in ('j (n)) with jx x(j )j 2 j . Then, by denition of m ,
m(B (x; 2 j+1 )) m(B (x(j ); 2 j ))
Hen
e, by (15.23) (and E 0 B2 ), the announ
ed result (15.22) is
learly established. This
on
ludes the
expli
it
onstru
tion of a majorizing measure on ellipsoids we wanted to present.
kT (xi
)k2
!1=2
X
C IE
"i xi
kT (xi
)k2
!1=2
C sup
s2S i
jxi (s)j :
kxk2;1 =
498
This quasi-norm denes the Lorentz spa
e L2;1 () . It is known (and easy to see,
f. [S-W) that k k2;1 is
equivalent to a norm and, for simpli
ity, we will use below that kk2;1 as dened above behaves like a norm.
The
anoni
al inje
tion C (S ) ! L2;1 () (or L1 () ! L2;1 () ), for any , is (2; 1) -summing. Indeed,
by Cau
hy-S
hwartz,
!2
Z kxk1
kxk22;1 =
((jxj > t))1=2 dt
0
kxk1
jxjd :
kxi k22;1
!2
jxi (s)j
[G. Pisier has shown
onversely [Pi17 that an operator T : C (S ) ! B that is (2; 1) -summing (i.e.
satisfying (15.29)) fa
tors through L2;1() , i.e. there exists a probability measure on S su
h that for all
x in C (S ) ,
kT (x)k KC kxk2;1 ;
where K is a numeri
al
onstant.
It is a natural question whether the
anoni
al inje
tion C (S ) ! L2;1 () is also of
otype 2 . The answer
to this question turns out to be no [Ta10. We nonetheless have the following rather remarkable result of
[MS1.
Theorem 15.20. Consider a probability spa
e (S; ; ) where is assumed to be nite with N
atoms. Then the
otype 2
onstant C2 (j ) of the
anoni
al inje
tion j : L1 () ! L2;1() satises
C2 (j ) K log(1 + log N )
where K is numeri
al.
When is uniform measure on N points, it
an be shown that C2 (j ) K 1(log(1 + log N ))1=2 . We
onje
ture that in Theorem 15.20 the term log(1 + log N )
an be repla
ed by (log(1 + log N ))1=2 . From the
subsequent proof, this would be the
ase if the
onje
ture on Radema
her pro
esses presented at the end of
Chapter 12 were true.
499
Proof. Our proof of Theorem 15.20 relies on Sudakov's minoration for Radema
her pro
esses (Theorem
4.15) that
an be reformulated as follows.
P
Lemma 15.21. Consider a nite sequen
e (xi ) in L1 (S; ; ) where is nite su
h that IEk "i xi k1
i
k
1 . Then, for all k , one
an nd a subalgebra 0 of that has at most 22 atoms and 0 -measurable
fun
tions x0i on S su
h that, for all i , xi = x0i + yi + zi where
X
0
IE
"i xi
and
yi
j j
X
2
zi
= sup
= sup
s
1;
jyi (s)j K1
zi (s)2 K1 2 k=2
Proof. There is no loss of generality to assume that S is nite and that is the algebra of all its
subsets. Assume (xi ) = (xi )iM . By Theorem 4.15, the subset f(xi (s))iM ; s 2 S g of IRM
an be
k
overed by 22 translates of the ball K1 (B1 + 2 k=2 B2 ) where B1 = B1M and B2 = B2M are respe
tively
k
the `1 and `2 unit balls of IRM . Thus, we
an nd a partition of S in at most 22 sets A su
h that,
given A , there exists sA 2 S with
k=2 B
2) :
For s in A , set then x0i (s) = xi (sA ) . The
on
lusion is then obvious.
As a
onsequen
e of this lemma, note that by the triangle inequality
X
(15:30)
Sin
e
kxi k22;1
!1=2
kx0i k22;1
!1=2
kyi k22;1
!1=2
kzik22;1
k P jyi jk1 K1 , the fa
t that j is (2; 1) -summing already indi
ates that
i
kyi k22;1
!1=2
K1 :
!1=2
500
kxi k22;1
!1=2
K2 (log(N
+ 1))1=2
1=2
2
xi
for all nite sequen
es (xi ) of fun
tions on (S; ; ) where K2 is numeri
al.
P
On
e this has been established, it follows together with Lemma 15.21 and (15.30) that if IEk "i xi k1
i
1 , for all k ,
(15:31)
kxi k22;1
!1=2
kx0 k2
!1=2
i 2;1
k
where (x0i ) are fun
tions whi
h are measurable with respe
t to a subalgebra 0 of with at most 22
P
k+1
atoms and satisfy IEk "i x0i k1 1 . If has less than 22 atoms, (15.31) reads as
kxi k22;1
!1=2
kx0i k22;1
!1=2
+ K3
for some numeri
al K3 . Iterative use of this property shows that if (xi ) is a nite sequen
e in L1 (S; ; )
P
k
where has less than 22 atoms with IEk "i xi k 1 , then, for some numeri
al
onstant K ,
i
kxi k22;1
!1=2
K (k + 1) :
Proof of Lemma 15.22. It relies on two observations. First, if x is in L2;1() , and ea
h atom of
has mass a > 0 , then
(15:32)
2:
kxk2;1 1 +
1+
Z a 1=2
Z
dt
(t(jxj > t))1=2 p
t
1=2
Z a 1=2
dt
t
!1=2
501
p
kxkL ; () 2(1 + log( 2N ))1=2 kxkL () :
2 1
xi (s)2 1 for all s , kxi k2L2() 1 from whi
h the
on
lusion then
learly follows. The lemma
i
i
is established.
When
Problem 2. Consider a Gaussian measure on a separable Bana
h spa
e of unit ball B1 . Consider
the fun
tion on IR+ , F (t) = (tB1 ) . It follows from (1.2) that log F is
on
ave; thus it has right and left
derivatives at every point. It is shown in [By that these derivatives are equal so that F is dierentiable.
(The proof of [Ta2 is erroneous). One may wonder how regular F is. Is it thus dierentiable? A
tually,
in all the examples we know the fun
tion F has an analyti
extension in a se
tor j argz j < (think for
example of Wiener measure on C [0; 1 ). This is a fas
inating fa
t, sin
e a priori one would think that the
regularity of F should be related to the speed at whi
h F (t) goes to zero when t ! 0 .
Problem 3. Consider a lo
ally
onvex Hausdor topologi
al ve
tor spa
e E and a Radon measure
on E equipped with its Borel -algebra that is Gaussian in the sense that the law of every
ontinuous linear
fun
tional is Gaussian under . It is known that there is a
ompa
t metrizable set K with (K ) > 0 . But
does there exist a
ompa
t
onvex set K for whi
h (K ) > 0 ? An equivalent formulation is the following.
502
Consider the
anoni
al Gaussian measure
N on IRN and a
ompa
t set B IRN su
h that
N (B ) > 0 .
S
Let E be the linear spa
e generated by B , i.e. E = Bn where
n
Bn = [ n; nB + [ n; nB + + [ n; nB
|
{z
n times
Problem 4. Following Corollary 8.8 (Chapter 8), are type 2 spa
es the only spa
es B in whi
h the
onditions IE(kX k2=LLkX k) < 1 and IEf (X ) = 0 , IEf 2 (X ) < 1 for all f in B 0 are also su
ient for
X to satisfy the bounded (say) LIL? It
an be seen from Proposition 9.19 that a Bana
h spa
e with this
property is ne
essarily of type 2 " for all " > 0 (see [Pi3).
Problem 5. Theorem 8.10
ompletely des
ribes the
luster set C (Sn =an ) of the LIL sequen
e in Bana
h
spa
e. Using in parti
ular this result, Theorem 8.11 provides a
omplete pi
ture of the limits in the LIL when
Sn =an ! 0 in probability. One might wonder what these limits be
ome when (Sn =an ) is only bounded in
probability, that is when X only satises the bounded LIL. What is in parti
ular (X ) = lim sup kSn k=an ?
n!1
Example 8.12 suggests that this investigation
ould be di
ult.
Problem 6. Try to
hara
terize Bana
h spa
es in whi
h every random variable satisfying the CLT also
satises the LIL. We have seen in Chapter 10, after Theorem 10.12, that
otype 2 spa
es have this property,
while
onversely if a Bana
h spa
e B satises this impli
ation, B is ne
essarily of
otype 2 + " for every
" > 0 [Pi3. Are
otype 2 spa
es the only ones?
Problem 7. Theorem 10.10 indi
ates that in a Bana
h spa
e B satisfying the inequality Ros(p) for
2
some p > 2 , a random variable X satises the CLT if and only if it is pregaussian and tlim
!1 t IPfkX k >
tg = 0 . Is it true that, if, in a Bana
h spa
e B , these best possible ne
essary
onditions for the CLT are also
su
ient, then B is of Ros(p) for some p > 2 ? This
ould be in analogy with the law of large numbers
and the type of a Bana
h spa
e (Corollary 9.18).
Problem 8. More generally on Chapter 10 (and Chapter 14), try to understand when an innite
dimensional random variable satises the CLT. This is the
ourse related to one of the main questions of
503
Probability in Bana
h spa
es: how to a
hieve e
iently tightness of a sum of independent random variables
in terms for example of the individual summands?
Problem 9. Try to
hara
terize almost sure boundedness and
ontinuity of Gaussian
haos pro
esses
of order d 2 . See Se
tion 11.3 and Se
tion 15.2 in this
hapter for more details and some (very) partial
results. As
onje
tured in Se
tion 15.2, an analog of Sudakov's minoration would be a rst step in this
investigation. Re
ently, some positive results in this dire
tion have been obtained by the se
ond author
[Ta16.
Problem 10. Re
all the problem des
ribed in Se
tion 15.6 of this
hapter of the expli
it
onstru
tion
of a majorizing measure on ConvT when there is one on T .
Problem 11. Almost sure boundedness and
ontinuity of Gaussian pro
esses are now understood via
the tool of majorizing measures (Se
tion 12.1). Try now to understand boundedness and
ontinuity of p stable pro
esses when 1 p < 2 . In parti
ular, sin
e the ne
essary majorizing measure
onditions of Se
tion
12.2 are no more su
ient when p < 2 , what are the additional
onditions to investigate? From the series
representation of stable pro
esses, this question is
losely related to Problem 8. The paper [Ta13 des
ribes
some of the di
ulties in su
h an investigation.
Problem 12. Is it possible to
hara
terize boundedness (and
ontinuity) of Radema
her pro
esses as
onje
tured in Se
tion 12.3?
Problem 13. Is there a minimal Bana
h algebra B with A(G) 6 B 6 C (G) on whi
h all Lips
hitzian
fun
tions of order 1 operate? What is the
ontribution to this question of the algebra Be dis
ussed at the
end of Se
tion 13.2. Con
erning further this algebra Be , try to des
ribe it from an Harmoni
Analysis point
of view as was done for C a.s. by G. Pisier [Pi6.
Problem 14. In the random Fourier series notations of Chapter 13, is it true that
X
IE sup
x
(t)
K
X
X
IE
x
+ sup IE sup
kf k1 t2V
!
f; x
(t)
for every (nite) sequen
e (x
) in a Bana
h spa
e B when (
) is either a Radema
her sequen
e ("
) or a
standard p -stable sequen
e (
) , 1 < p < 2 (and also p = 1 but for moments less than 1 )? The
onstant
K may depend on V as in the Gaussian
ase (Corollary 13.15).
504
Theorem 15.2 originates in the work of V. D. Milman on almost Eu
lidean subspa
e of a quotient (
f.
[Mi2, [Mi-S, [Pi18). V. D. Milman used indeed a (weaker) version of this result to establish the remarkable
fa
t that if B is a Bana
h spa
e of dimension N , there is a subspa
e of a quotient of B of dimension
[
(")N whi
h is (1 + ") -isomorphi
to a Hilbert spa
e. A. Pajor and N. Tom
zak-Jaegermann [P-TJ
improved Milman's estimate and established Theorem 15.2 using the isoperimetri
inequality on the sphere
and Sudakov's minoration. The rst proof presented here is the Gaussian version of their argument and
is taken from [Pi18. The se
ond proof is due to Y. Gordon [Gor4 with quantative improvements kindly
ommuni
ated to us by the author.
Proposition 15.5 was shown to us by G. Pisier. Se
tion 15.3 presents a dierent proof of the sharp
inequality that J. Bourgain [Bour uses in his deep investigation on (p) -sets.
Theorem 15.8 is taken from the work by J. Bourgain and L. Tzafriri [B-T1 (see also [B-T2 for more
re
ent information). The simpli
ation in the proof of Proposition 15.10 was noti
ed by J. Bourgain at the
light of some arguments used in [Ta15.
Embedding subspa
es of Lp into `N
p was
onsidered in spe
ial
ases in [F-L-M, [J-S1, [Pi12, [S
h3,
[S
h4 (among others). In parti
ular, a breakthrough was made in [S
h4 by G. S
he
htman who used empiri
al distributions to obtain various early general results. S
he
htman's method was rened and
ombined
with deep fa
ts from Bana
h spa
e theory by J. Bourgain, J. Lindenstrauss and V. D. Milman [B-L-M. In
[Ta15, a simple random
hoi
e argument is introdu
ed that simplies the probabilisti
part of the proofs
of [B-L-M. The
ru
ial Lemma 15.15 is taken from the work by D. Lewis [Lew. Theorem 15.12 was obtained in this way in [Ta15. It is not known if the K -
onvexity
onstant K (E ) is ne
essary. The entropy
omputations of the proof of Theorem 15.13 are taken from [B-L-M.
The proof of the existen
e of a majorizing measure on ellipsoids was the rst step of the se
ond author
on the way of his general solution of majorizing measures (Chapter 12). A renement of this result (with a
simplied proof)
an be found in [Ta20, where it is shown to imply several very sharp dis
repan
y results.
The results of Se
tion 15.7 are due to S. J. Montgomery-Smith [MS1 (that
ontains further developments).
The proofs are somewhat simpler than those of [MS1 and taken from [MS-T.