Doob's estimate for coherent random variables and maximal operators on trees

Abstract

Let $\xi$ be an integrable random variable defined on $(\Omega ,\mathcal{F},\mathbb{P})$. Fix $k\in {\mathbb{Z}}_{+}$ and let $\{{\mathcal{G}}_i^j{\}}_{1\le i\le n,1\le j\le k}$ be a reference family of sub-$\sigma$-fields of $\mathcal{F}$, such that $\{{\mathcal{G}}_i^j{\}}_{1\le i\le n}$ is a filtration for each $j\in \{1,2,\dots ,k\}$. In this article we explain the underlying connection between the analysis of the maximal functions of the corresponding coherent vector and basic combinatorial properties of the uncentered Hardy-Littlewood maximal operator. Following a classical approach of Grafakos, Kinnunen and Montgomery-Smith, we establish an appropriate version of the celebrated Doob's maximal estimate.