ISOPERIMETRY AND PROCESSES

IN PROBABILITY IN BANACH SPACES

Probability in Bana h spa es is a bran h of modern Mathemati s whi h emphasizes the geometri and
fun tional analyti aspe ts of Probability theory. Its probabilisti sour es may be found in the study of
regularity of random pro esses (espe ially Gaussian pro esses) and limit theorems for sums of independent
ve tor valued random variables whi h are the two main topi s of this book. Bana h spa e theory forms its
fun tional ba kground and Probability in Bana h spa es has strong and fruitful onne tions with Geometry
of Bana h spa es and the nowadays alled lo al theory of Bana h spa es.
Probability in Bana h spa es started in the early fties with the study, by R. Fortet and E. Mourier, of the
law of large numbers and the entral limit theorem for sums of independent identi ally distributed Bana h
spa e valued random variables. Important ontributions to the foundations of probability distributions
on ve tor spa es, toward whi h A. N. Kolmogorov already pointed in 1935, were at the time those of L.
Le Cam and Y. V. Prokhorov and the Russian s hool. A de isive step to the modern developments of
Probability in Bana h spa es was the introdu tion by A. Be k (1962) of a onvexity ondition on normed
linear spa es equivalent to the validity of the extension of a lassi al law of large numbers of Kolmogorov.
This geometri line of investigation was pursued and amplied by the S hwartz s hool in the early seventies.
The on epts of radonifying and summing operators and the landmark work of B. Maurey and G. Pisier
on type and otype of Bana h spa es onsiderably in uen ed the developments of Probability in Bana h
spa es. Other noteworthy a hievements of the period are the early book (1968) of J.-P. Kahane, who
systemati ally developed the ru ial idea of symmetrization, and the study by J. Homann-Jrgensen of sums
of independent random variables. Simultaneously, the study of regularity properties of random pro esses, in
parti ular Gaussian pro esses, saw great progress in the late sixties and early seventies with the introdu tion
of entropy methods. Pro esses are understood here as random fun tions on some abstra t index set T ,
in other words as a family X = (Xt )t2T of random variables. In this setting of what might appear as
Probability with minimal stru ture, the major dis overy of R. Dudley (1967) was the idea of analyzing
regularity properties of a Gaussian pro ess X through the geometry of the index set T for the L2 -metri
k Xs Xt k2 indu ed by X itself. These foundations of Probability in Bana h spa es led to rather intense
a tivity for the last fteen years. In parti ular, the Dudley-Fernique theorems on regularity properties of
Gaussian and stationary Gaussian pro esses allowed the denitive treatment by M.B. Mar us and G. Pisier
of regularity of random Fourier series initiated in this line by J.-P. Kahane. Limit theorems for sums of
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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 denitive 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 denes 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-dened
innite 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 innite 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.

Chapter 1. Isoperimetri inequalities and the on entration of measure phenomenon

1.1. Some isoperimetri inequalities on the sphere, in Gauss spa e and on the ube
1.2. An isoperimetri inequality for produ t measures
1.3. Martingale inequalities
Notes and referen es

Chapter 1. Isoperimetri inequalities and the on entration of measure phenomenon

In this rst hapter, we present the isoperimetri inequalities whi h now appear as the ru ial on ept
in the understanding of various on entration inequalities, tail behaviors and integrabililty theorems in
Probability in Bana h spa es. These inequalities often arise as the nal and most elaborated forms of
previous, weaker (but already e ient) inequalities whi h will be mentioned in their framework throughout
the book. In these nal forms however, the isoperimetri inequalities and asso iated on entration of measure
phenomena provide the appropriate ideas for an in-depth omprehension of some of the most important
theorems of the theory.
The on entration of measure phenomenon whi h roughly des ribes how a well-behaved fun tion is almost
a onstant on almost all the spa e an moreover be seen as the explanation for the two main parts of this work:
the rst one deals with \ni e" fun tions applying isoperimetri inequalities and on entration properties, the
se ond tries to determine onditions for a fun tion to be \ni e".
The on entration of measure phenomenon has been mainly put forward by the lo al theory of Bana h
spa es in the study of Dvoretzky's theorem on almost Eu lidian se tions of onvex bodies. Following [G-M,
[Mi-S, the basi idea may be des ribed in the following way. Let (X; ; ) be a ( ompa t) metri spa e
(X; ) with a Borel probability measure  . The on entration fun tion (X; r); r > 0 , is dened as
1
(X; r) = supf1 (Ar ); (A)  ; A  X; A Borelg
2
where Ar denotes the  -neighborhood of order r of A i.e.

Ar = fx 2 X ; (x; A) < rg:

For many families (X; ; ) , the on entration fun tion (X; r) turns out to be extremely small when r
in reases to innity. A typi al and basi example is given by the Eu lidian unit sphere S N 1 in IRN
equipped with its geodesi distan e  and normalized Haar measure N 1 for whi h it an be shown (see
below) that
  1=2
(S N 1 ; r) 
exp( (N 2)r2 =2) (N  3):
8
Hen e, the omplement of the neighborhood of order r of a set of probability bigger than 1=2 de reases
extremely rapidly when r be omes large. This is what is now usually alled the on entration of measure

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

leads in the Poin are limit when N in reases to innity to an isoperimetri

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

innity. 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 innite dimension
and of radius square root of innity ( 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

measure on the sphere

onverges weakly when N goes to innity 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 innite dimensional Gaussian measures.
Let us denote therefore by N the anoni al Gaussian probability measure on IRN with density

N (dx) = (2) N=2 exp( jxj2 =2)dx:

Denote further by  the distribution fun tion of this measure in dimension 1, i.e.
(t) = (2)


1=2

Z t

exp( x2 =2)dx; t 2 [1; +1;

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)

 1 ( N (A + (1 )B ))   1 ( N (A)) + (1 ) 1 ( N (B ))

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)

log N (A + (1 )B )   log N (A)) + (1 ) log N (B ):

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

Pk;N1 (A + (1 )B )  Pk;N1 (A) + (1 )Pk;N1 (B )

10

so that, by Brunn-Minkowski (in IRk ),

volk (Pk;N1 (A + (1 )B ))  ( volk (Pk;N1 (A))) ( volk (Pk;N1 (B )))1  :
If we subtra t 1 on ea h side of this inequality, multiply then by k and let it tend to innity, we see that
we obtain (1.2) sin e it is easily he ked that the Poin are limit also indi ates that
lim volk (Pk;N1 (A)) = N (A)

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 innite dimensional Gaussian measures. These extensions will usually
be des ribed below in their appli ations. Let us however brie y indi ate one innite dimensional result whi h
will be useful to re ord here. On IRIN , onsider the measure = 1 whi h is the innite 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

k f k Lip = supf jf (xjx) fyj(y)j ; x; y 2 IRN g:

Let us denote further by Mf a median of f for N ; i.e. Mf is a number su h that N (f  Mf ) and
N (f  Mf ) are both bigger than 1=2 . Applying the se ond on lusion of Theorem 1.2 to those two sets
of measure bigger than 1=2 and noti ing that for t > 0 ,
(ff  Mf g \ ff  Mf g)t  fjf

Mf j  t k f k Lip g;

11

we get that, for all t > 0

(1:4)

N (jf

Mf j > t)  2 (t= k f

k Lip )  exp( t2 =2 k f k2Lip ):

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 satises 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,

N (f > t)  exp( t)

 exp( t)

exp(f )d N

Z Z

exp[(f (x) f (y))d N (x)d N (y)

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 ,

x() = x sin  + y os ; x0 () = x os  y sin :

We have

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,

N (f > t)  exp( t)

Z Z


< 5f (x); y > d N (x)d N (y) :
exp
2

Performing integration in y ,

N (f > t)  exp( t)

 exp

 2 2


j 5 f j2 d N
8

2 2
k
f k2Lip :
t +
8
exp

If we then minimize in  ( = 4t=2 k f k2Lip ) , we nally get

N (f > t)  exp( 2t2 =2 k f k2Lip )

for every t > 0 . For f not ne essarily of mean zero, and applying the result to
for t > 0 ,

N (jf

(1:5)

Ef j > t)  2 exp( 2t2=2 k f

f as well, it follows that,

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

Ef j > t)  2 exp( t2 =2 k f k2Lip ):

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

while, given (1.6), if t is hosen su h that

2 exp( t2 =2 k f

k2Lip) < 21 ;

for example t = 2 k f k Lip , we get from (1.6) that

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

 N (f  Mf0 )  N (f > Mf + t)  (t= k f k Lip) < 12

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:

Similarly, the orresponding inequality (1.4) for  also holds with k f

right hand side. For a proof of (1.7), simply note that by Theorem 1.2,

k Lip instead of k f k Lip in the

 1 ( N ((' 1 (A))r ))   1 ((A)) + r

and, by the Lips hitz property of ' , learly (' 1 (A))r  ' 1 (A r ) from whi h the result follows. Inequality
(1.5) and its simple proof may be extended similarly (see [Pi16).

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

reasons. A dierent way has to be taken. Denote by N = ( 21 1 + 21 +1 )

N the anoni al probability
measure (Haar measure ) on the (Cantor) group f 1; +1gN . Consider the normalized Hamming metri d
on

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 , set, for x 2 f 1; +1gN ,

dA (x) = inf fjx yj; y 2 ConvAg

where ConvA is the onvex hull (in [ 1; +1N ) of A .

Theorem 1.3. For any non-empty subset A of

Z

f 1; +1gN ,

exp(d2A =8)dN

  1(A) :
N

15

Proof. We rst onsider the ase where Card A = 1 . Then

Z
N  
X
N i=2
exp(d2A =8)dN = 2 N
e
i=0 i
=

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)

d2A ((x; 1))  42 + d2A+1 (x) + (1 )d2A 1 (x):

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) :

It is elementary to see that for 0   < 1 ,

2
1 + e =2 (1 )

 2 4 :

For the value of  ,



2
4
2
1
v
= 1
1 = N (A+1 ) + N (A
2 +1 2 
+
v+1 v 1

1)

1
:
N +1 (A)

The proof of Theorem 1.3 is omplete.

As announ ed, Theorem 1.3 ontains a on entration estimate for Lipshitzian fun tions similar to the one
we des ribed before for Gaussian measures. This appli ation is one of the main interests of Theorem 1.3.
However, with respe t to the pre eding inequalities, one main additional assumption is that the inequality
will only on ern onvex Lips hitzian fun tions f (on IRN ) with Lips hitz onstant k f k Lip . Let Mf
denote a median of f with respe t to N . Then, for every t > 0 ,
(1:9)

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

tg . As before we see that when dB (x)

N (dB > t= k f

k Lip )  12

 t= k f k Lip , then

17

by denition of the median. But, again by Chebyshev's inequality and Theorem 1.3, we get

N (B )  2 exp( t2 =8 k f

k2Lip ):

These two inequalities together then imply (1.9).

Theorem 1.3 and the subsequent on entration inequality (1.9) a tually do not depend on N and easily
extend to the ase of Haar measure  = ( 12 1 + 12 +1 )
IN on f 1; +1gIN . For example, on erning (1.9),
if f on IRIN is onvex and Lips hitzian in the sense that

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)

for all t > 0 .

Compared with the orresponding inequalities (1.4) and (1.6) the oe ient 8 in (1.9) does not seem
best possible. It is not known whether 2 an be rea hed, something whi h the argument of the proof of
Theorem 1.3 annot a omplish. Let us note further that the onvexity assumption on f in (1.9) annot be
dropped. This is made lear by the following example. Let

A = fx 2 f 1; +1gN ;

N
P
i=1

xi  0g and dene f (x) = inf fjx yj; y 2 Ag . Clearly

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.

1.2. An isoperimetri inequality for produ t measures

The pre eding isoperimetri inequalities and on entration phenomena will be applied in the next hapters
to the study of integrability properties and tail behaviors of Gaussian and Radema her series with ve tor

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

H (A; q; k) = fx 2 E N ; 9x1 ; : : : ; xq 2 A su h that Card fi  N ; xi 62 fx1i ; : : : ; xqi gg  kg:

The set H (A; q; k) an be thought of in an isoperimetri way as some neighborhood of A whose elements
are determined by a xed number q of points in A with at most k free oordinates. This an be made
somewhat more pre ise in the terminology of the beginning of this hapter. For an element x in (E N )q ,
denote its oordinates by x = (x1 ; : : : ; xq ) = (x` )`q where x` 2 E N and, as before, x` = (x`i )iN .
Between elements x; y in (E N )q introdu e

d(x; y) =

N
X
i=1

If8`=1;:::;q: x`i 6=yi`g

= Card fi  N ; 8` = 1; : : : ; q; x`i 6= yi`g:

Then for A in E N ; H (A; q; k) an simply be interpretated as the neighborhood of order k with respe t to
d in the sense that

H (A; q; k) = fx 2 E N ; d(xe; Aq )  kg

where for x in E N ; xe is the element of (E N )q with oordinates xe = (x; : : : ; x):

The isoperimetri theorem estimates the size of H (A; q; k) under P in terms of P (A); q and k . The
main on lusion is an exponential de ay in terms of k of the measure of the omplement of H (A; q; k) .

Theorem 1.4. For some universal onstant K ,

P (H (A; q; k))  1
where P denotes inner probability.

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

where r is an integer less than N and N is assumed to be large. Let A in E N be dened as

A = fx 2 E N ;

N
X
i=1

xi  rg:

Then P (A) is of the order of 1=2 and, learly,

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

N , in su h a way that for ! = (!i )iN in

N , Xi (!) only depends on !i . Then (1.11) is simply that,
when k  q and IPfXX 2 Ag  1=2 for some measurable set A in E N , then
(1:13)

IP fXX 2 H (A; q; k)g  1


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 justied 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

G(C; k) = fx 2 E N ; 9y 2 C su h that Card fi  N ; xi 62 fy1; : : : ; yN 0 gg  kg:

For a omparison with H (A; q; k) when q is an integer, let A in E N and denote by C  E qN the set of all
sequen es y = (yi )iqN su h that fy1 ; : : : ; yqN g an be overed by q sets of the form fx1 ; : : : ; xN g where
(xi )iN 2 A . C is learly invariant under permutation of the oordinates and H (A; q; k)  G(C; k) . On the
other hand, it is not di ult to see that when A is symmetri , the onverse in lusion G(C; k)  H (A; q; k)
is also satised at least on the subset of E N onsisting of those x = (xi )iN su h that xi 6= xj whenever
i 6= j .
In these notations, we then have that there exist K (q) < 1 and k(q; P 0 (C )) large enough su h that for
all k  k(q; P 0 (C )) ,
(1:14)

P (G(C; k))  1 k(q; P 0 (C ))[K (q)k :

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;

IPfB (n;  )  tng 

(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

Card fi  N 0 ; "i > 1

Indeed,

so that, by (1.15),

1 
1 t

1 t

= 1

 t
1 t

IPfB (n;  )  tng  exp

1 t

tn

 exp( ( t))



1 log

 
:
t

If u  1 + " , then u 1 log u  2 u where = 14 min("; 12 ) ; hen e, if =t  1 + " ,

IPfB (n;  )  tng  exp( 2 n):
Therefore, by this inequality, for every 1  r  N ,
0

(1 + ")(r + )
g  r 1)
N0
 exp( 2 (1 + ")(r + ))

N ((yi )iN 0 ; Card fi  N 0 ; "i > 1

and

r1

exp( 2 (1 + ")(r + )) < N (C )

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

N ((xi )iN ; 8r > k; Card fi  N ; "i > 1

1)

for some K (") < 1 and all k  k("; N (C )) large enough. To this aim, note that
  t

 1+ t

and thus, by (1.15),

(1:16)

IPfB (n;  )  tng  exp

If 0 < u < (1 + ") 1 , then u

(1  )=(1 t)  1=1 + " ,

log u


t t

(1 t)n

 exp( t)

1 
1 t

1 log

1 
1 t



:

 2 (where we re all that = 14 min "; 12 ) . Hen e, if

IPfB (n;  )  tng  exp( 2 (1 t)n):

0

Using this inequality, if r > k and k  k("; N (C )) large enough, we get that

N ((xi )iN ; Card fi  N ; "i  1

(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.

1.3. Martingale inequalities

Martingale methods prove useful in order to establish various on entration results. These omplement
the pre eding isoperimetri inequalities and will prove useful in various pla es throughout this work. The
inequalities we state are rather lassi al, at least some of them, and we present them in the general spirit of
on entration properties.
R

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

A . IEAi denotes the onditional operator with respe t to Ai . Given f in L1 , set,

for ea h i = 1; : : : ; N ,

di = IEAi f

IEAi 1 f

IEf = N
i=1 di . (di )iN denes 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

Ai denotes the  -algebra generated by the variables

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

as before apply to the sum

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 .

Lemma 1.5. Let f in L1 and let f IEf =

respe t to (Ai )iN . Assume that

PN

i=1 di

be as before the sum of martingale dieren es with

k di k1 < 1 and set a = (PNi=1 k di k21)1=2 . Then, for every t > 0 ,

IPfjf

IEf j > tg  2 exp( t2 =2a2):

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

Iterating by the properties of onditional expe tation,

IE exp[(f

IEf ) = IE exp(

N
X

= IE(exp(

 IE exp(

di )

i=1
NX1

i=1
NX1

:::

i=1

di )IEAN 1 exp dN )

di ) exp(2 k dN k21 =2)

 exp(2 a2 =2) :
We then obtain from Chebyshev's inequality that, for t > 0 ,
IPff

IEf > tg  exp( t + 2 a2 =2)

 exp( t2 =2a2)
for the optimal hoi e of  . Applying this inequality also to

f then yields the on lusion of the lemma.

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

IEf > tg  exp( t2 =2a2):

(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 renement.
P

Lemma 1.6. Let f IEf = N

k di k1 and let b 
i=1 di be as before. Set a = max
iN
PN
k IEAi 1 d2 k1 )1=2 . Then, for every t > 0 ,
(
i=1

IPfjf

IEf j > tg  2 exp

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 :

IEAi 1 exp di = 1 +

Turning ba k to Lemma 1.5, it is lear that we always have

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

IEf j > tg  2 exp( tq =Cq aq )

where Cq > 0 only depends on q .

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

IEf j > tg  IPfj

"

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

IEf j > tg  2 exp( q(q

2)m=2)

 2 exp( tq =Cq1 )
where Cq1 = 4(2q)q =q(q

2) . When t  2q ,
IPfjf

IEf j > tg  1  2 exp( (2q)q =Cq2 )  2 exp( tq =Cq2 )

where Cq2 = (2q)q = log 2 . The lemma then follows with Cq = max(Cq1 ; Cq2 ) .

Lemma 1.8. Let f IEf =

PN

i=1 di

be as above and set now a = max i k di k1 . Then, for every t > 0 ,

iN

IPfjf

IEf j > tg  16 exp[ exp(t=4a):

Proof. It is similar to the pre eding one. We again assume by homogeneity that a = 1 . When t  4 ,
IPfjf

IEf j > tg  16e e  16 exp[ exp(t=4):

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

IEf j > tg  IPfj

jdi j + j

i>m

i>m

di j  (1 + log m) + j

di j > 1g  2 exp

1X
i
2 i>m

where we have used Lemma 1.5. Sin e t < 2 + log(m + 1) , we get

IPfjf
and the on lusion follows.

Notes and referen es

IEf j > tg  4 exp[ exp(t=4)

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, amplied 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



f 0 (x)
y d (x)d (y) :

(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 innite 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 denitions 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

A ontains the negligible sets for IP .

Throughout this book also, B denotes a Bana h spa e, that is a ve tor spa e over IR or CI with norm

k
k 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 .

2.1 Bana h spa e valued Radon random variables

A Borel random variable or ve tor with values in a Bana h spa e B is a measurable map X from some

probability spa e (
; A; IP) into B equipped with its Borel  -algebra B generated by the open sets of B .
In fa t, this denition 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 denitions 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

B (xi ; 2 n)g  1 "
2 n

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 denition 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" denitions 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

kxk = sup jf (x)j ;

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 ;

ompletely determines the distribution of X .

Denote by P (B ) the spa e of all Radon probability measures on B . For ea h  in
neighborhood
Z
Z
f 2 P (B ) ; j 'i d
'i d j < " ; i  N g
B

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 veried 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)

i (x 2 B ; d(x; A) < ")  1 "

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)

i (x 2 B ; d(x; F ) < ")  1 "

for all i 2 I ;

then the family (i )i2I is relatively ompa t.

A tually, when (2.4) holds, the existen e of L is a too strong hypothesis and it is enough to assume that
for all f in B 0 , (i f 1 )i2I is a weakly relatively ompa t family of probability measures on the line. If
 is a Borel measure on B and f a linear fun tional,  f 1 denotes the measure on IR image of  by
f . To he k the pre eding laim, let F of dimension N su h that (2.4) is satised. By the Hahn-Bana h
theorem, there exist linear fun tionals f1 ; : : : ; fn in the unit ball of B 0 su h that, whenever x 2 F and
a > 0 , if max jfi (x)j  a , then kxk  2a . Therefore, if (i f 1 )i2I is relatively ompa t for every f in
in
B 0 (a tually a weakly dense subset of B 0 would su e), and if (2.4) holds, the family (i )i2I is uniformly
almost on entrated on a bounded set and Prokhorov's riterion is then fullled.
A sequen e (Xn ) of Radon random variables with values in B onverges weakly to a Radon random
variable X if the sequen e of distributions (Xn ) onverges weakly to X . For real random variables,
a elebrated theorem of P. Levy indi ates that (Xn ) onverges weakly if and only if the orresponding
sequen e of hara teristi fun tions (Fourier transforms) onverges pointwise (to a ontinuous limit). In the
ve tor valued ase, by Theorem 2.1, (Xn ) onverges weakly to X as soon as (f (Xn )) onverges weakly
(as a sequen e of real random variables) to f (X ) for all f in B 0 (or only in a weakly dense subset) and
the sequen e (Xn ) is tight in the sense that, for ea h " > 0 , there exists a ompa t set K in B with
IPfXn 2 K g  1 "
for all n (or only all n large enough sin e the Xn 's are themselves tight). By what pre eeds, this an be
established through (2.3) or (2.4).
The sequen e (Xn ) is said to onverge in probability (in measure) to X if, for ea h " > 0 ,
lim IPfkXn

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 (dened 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

and kX k1 = ess sup kX k < 1 if p = 1 . If B = IR , we set simply Lp = Lp (IR) ( 0  p  1 ). We

denote moreover, both in the s alar and ve tor valued ases (and without onfusion), by kX kp the quantity
(IEkX kp)1=p . The spa es Lp (B ) are Bana h spa es for 1  p  1 (metri ve tor spa es for 0  p < 1 ). If
(Xn ) onverges to X in Lp (B ) , it onverges to X in L0 (B ) , that is in probability, and a fortiori weakly.
Finally, a sequen e (Xn ) onverges almost surely (almost everywhere) to X if
IPfnlim
!1 Xn = X g = 1 :
The sequen e (Xn ) is almost surely bounded if
IPfsup kXnk < 1g = 1 :
n

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)
dened 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 ) denes 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 dene
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 satises 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 dened 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 denes the so- alled " ovarian e stru ture" of a random variable
X weakly in L2 .

2.2 Random pro esses and ve tor valued random variables

The on ept of Radon or separable random variable is a onvenient on ept when dealing with weak
onvergen e or tightness properties. We will use it indeed in the typi al weak onvergen e theorem whi h is
the entral limit theorem, and also in some related questions on the law of large numbers and the law of the
iterated logarithm. This on ept is also a way of taking easily into a ount various measurability problems.
However, Radon random variables form a somewhat too restri tive setting for other types of questions.
For example, if we are given a sequen e (Xn ) of real random variables su h that sup jXn j < 1 almost
n
surely, and if we ask (for example) for the integrability properties or tail behavior of this supremum, we are
learly fa ed with a random element of innite dimension but we need not (and in general do not) have a
Radon random ve tor. In other words, it would be onvenient to have a notion of random variable with
values in `1 . The spa e 0 of all real sequen es tending to 0 is a separable subspa e of `1 but `1 is
not separable. Re all further that every separable Bana h spa e an be realized isometri ally as a losed
subspa e of `1 .
On the other hand, another ategory of innite dimensional random elements are the random fun tions
or sto hasti pro esses. Let T be a (innite) index set whi h will be usually assumed to be a metri spa e
(T; d) . A random fun tion or pro ess X = (Xt )t2T indexed by T is a olle tion of real random variables
Xt , t 2 T . By the distribution or law of X we mean the distribution on IRT , equipped with the ylindri al
 -algebra generated by the ylinder sets, determined by the olle tion of all marginal distributions of the
nite dimensional random ve tors (Xt1 ; : : : ; XtN ) , ti 2 T .
We often study throughout this book when a given random pro ess is almost surely bounded and/or
ontinuous, and, when this is the ase, ask for possible integrability properties or tail behaviors of sup jXt j
t2T
whenever this makes sense. These onsiderations of ourse raise some non-trivial measurability questions
as soon as T is no more ountable. A priori, a random pro ess X = (Xt )t2T is almost surely bounded

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 denitions 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 dened 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 dened 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 ,

Xt (!) 2 fXs (!) ; s 2 S ; d(s; t) < "g

where the losure is taken in IR [f1g . If X is separable, in parti ular, sup jXt (!)j = sup jXt (!)j for every
t2T
t2S
! 62 N , and sin e S is ountable there is, of ourse, no di ulty in dealing with this type of supremum.
Note that if there exists a separable random pro ess on (T; d) , then (T; d) is separable as a metri spa e.
If (T; d) is separable and X almost surely ontinuous, then X is separable.

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 satised 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 denition 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

kxk = sup jf (x)j ;

f 2D

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 denition 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 identied 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 denes 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 denition ( 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)

IEF (kX + Y k)  IEF (kX k) :

Indeed, this follows simply by onvexity of F (k
k) and partial integration with respe t to Y using Fubini's
theorem.

42

2.3. Symmetri random variables and Levy's inequalities

In this paragraph, B denotes a Bana h spa e su h that for some ountable set D in the unit ball of B 0 ,
kxk = sup jf (x)j for all x 2 B .
f 2D
A random variable X with values in B is alled symmetri if X and X have the same distribution.
Equivalently, X has the same distribution as "X where " denotes a symmetri Bernoulli or Radema her
random variable taking values 1 with probability 1=2 and independent of X . (Although the name of
Bernoulli is histori ally more appropriate, we will mostly speak of Radema her variables sin e this is the
most ommonly used terminology in the eld.) This simple observation is at the basis of randomization (or
symmetrization, in the probabilisti sense) whi h is one most powerful tool in Probability in Bana h spa es.
Note that for a general random variable X , there is a anoni al way of generating a symmetri random
variable not too "far" from X : onsider indeed Xe = X X 0 where X 0 in an independent opy of X ,
i.e., with the same distribution as X . In these notations, we will usually assume that X and X 0 are
onstru ted on dierent probability spa es (
; A; IP) and (
0 ; A0 ; IP0 ) .
We all by Radema her sequen e (or Bernoulli sequen e) a sequen e ("i )i2IN of independent Radema her
random variables taking thus the values +1 and 1 with equal probability. A sequen e (Xi ) of random
variables with values in B is alled a symmetri sequen e if, for every hoi e of signs 1 , (Xi ) has the
same distribution as (Xi ) (i.e. for every N , (X1 ; : : : ; XN ) has the same law as (X1 ; : : : ; XN ) in B N ).
Equivalently, (Xi ) has the same distribution as ("i Xi ) where ("i ) is a Radema her sequen e independent
of (Xi ) . The typi al example of a symmetri sequen e onsists in a sequen e of independent and symmetri
random variables. In this setting of symmetri sequen es, it will be onvenient to denote, using Fubini's
theorem, by IP" , IE" (resp. IPX ; IEX ) onditional probability and expe tation with respe t to the sequen e
(Xi ) (resp. ("i ) ). We hope the slight abuse in notation, " representing ("i ) and X , (Xi ) , will not get
onfusing in the sequel.
Partial sums of a symmetri sequen e of random variables satisfy some very important inequalities known
as Levy's inequalities. They an be stated as follows. Re all they apply to the important ase of independent
symmetri random variables.

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)

IPfmax kSk k > tg  2IPfkSN k > tg

kN

43

and
(2:7)

IPfmax kXi k > tg  2IPfkSN k > tg :

iN

If (Sk ) onverges in probability to S , the inequalities extend to the limit as

IPfsup kSk k > tg  2IPfkS k > tg
k

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

Sk , k  N . Using the triangle inequality

2kSk k  kSk + Rk k + kSk

Rk k = kSN k + kSk

Rk k ;

summing then the two pre eding probabilities yields

2IPfkSN k > tg 

N
X
k=1

IPf = kg = IPfmax kSk k > tg :

k N

The proof of Proposition 2.3 is omplete.

Among the onsequen es of Levy's inequalities is a useful result on onvergen e of series of symmetri
sequen es. This is known as the Levy-It^o-Nisio theorem whi h we present in the ontext of Radon random
variables.

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

weakly for every 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

"i f (Xi )j > M g < "2

where ("i ) is a Radema her sequen e independent of (Xi ) . For every n , let

A = f! ; IP" fj

n
X
i=1

"i f (Xi (!))j > M g < "g :

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

f 2 (Xi ) > 8M 2g < "

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)

) (i). If Sn ! S in probability, there exists a sequen e (nk ) of integers su h that

X

IPfkSnk

Sk > 2 kg < 1 :

By Levy's inequalities,
IPf

kSn Snk k > 2 k+1 g

 2IPfkSnk Snk k > 2 k+1 g
 2(IPfkSnk S k > 2 k g + IPfkSnk
max

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.

2.4. Some inequalities for real random variables

We on lude this hapter with two elementary and lassi al inequalities for real random variables whi h
will be useful to re ord at this stage. The rst one is a version of the binomial inequalities ( ompare with
(1.15), (1.16)) while the se ond is the inequality at the basis of the Borel-Cantelli lemma.
P

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

IPfZi > tg  2IP max Zi > tg :

iN

Proof. For x  0 , 1 x  exp( x) and 1 exp( x)  x=1 + x . Thus, by independen e,

N
Y

(1 IPfZi > tg
IPfmax Zi > tg = 1
iN
i=1

 1 exp(


N
X
i=1

N
X
i=1

IPfZi > tg)

IPfZi > tg=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.

 1 so that the se ond

Notes and Referen es

The following referen es will hopefully omplete appropriately this survey hapter.
Basi s on metri spa es, innite dimensional ve tor spa es, Bana h spa es, et . an be found in all lassi al
treatrises on fun tional analysis like for example [Dun-S. Informations on Bana h spa es more in the spirit
of this book are given in [Da, [Bea, [Li-T1, [Li-T2 as well as in the referen es therein.
Probability distributions on metri spa es and weak onvergen e are presented in [Par, [Bi. Various
a ounts on random variables with values in Bana h spa es may be found in [Ka1, [S hw2, [HJ3, [Ar-G2,
[Li, [V-T-C. Prokhorov's riterion omes from [Pro1; the terminology " at on entration" is used in [A 1.
For Skorokhod's theorem [Sk1, see also [Du3. The ne essary elements on ve tor valued martingales and
their onvergen e may be found in [Ne3.

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

Chapter 3. Gaussian random variables

3.1. Integrability and tail behavior
3.2. Integrability of Gaussian haos
3.3. Comparison theorems
Notes and referen es

50

Chapter 3. Gaussian random variables

With this hapter we really enter the subje t of Probability in Bana h spa es. The study of Gaussian
random ve tors and pro esses may indeed be onsidered as one of the fundamental topi s of the theory sin e
it inspires many other parts of the eld both in the results themselves and in the te hniques of investigation.
The histori al developments also followed this line of progress.
We shall be interested in this hapter in integrability properties and tail behavior of norms of Gaussian
random ve tors or bounded pro esses as well as in the basi omparison properties of Gaussian pro esses.
The question of when a Gaussian pro ess is almost surely bounded (or ontinuous) will be addressed and
ompletely solved in Chapters 11 and 12. The study of the tail behavior of the norm of a Gaussian random
ve tor is based on the isoperimetri tools introdu ed in the rst hapter. This study will be a kind of
referen e for the orresponding results for other types of random ve tors like Radema her series, stable
random variables, and even sums of independent random variables whi h will be treated respe tively in
the next hapters. This will be the subje t of the rst se tion of this hapter. The se ond examines the
orresponding results for haos. The last paragraph is devoted to the important omparison properties of
Gaussian random variables. These now appear at the basis of the rather deep present knowledge on the
regularity properties of sample paths of Gaussian pro esses ( f. Chapter 12).
We rst re all the basi denitions and some lassi al properties of Gaussian variables. A real mean zero
random variable X in L2 (
; A; IP) is said to be Gaussian (or normal) if its Fourier transform satises
IE exp itX = exp( 2 t2 =2) ;

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

N (dx) = (2) N=2 exp( jxj2 =2)dx :

N
P

A random ve tor X = (X1 ; : : : ; XN ) in IRN is Gaussian if for all real numbers 1 ; : : : ; N ,

i Xi is a
i=1
real Gaussian variable. Su h a Gaussian ve tor an always be diagonalized and regarded under the anoni al

51

distribution N . Indeed, if = AAt = (IEXi Xj )1i;jN denotes the symmetri (semi-) positive denite
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,

gi i has the same distribution as g1

X


gi i

for any 0 < p <

= kg1 kp

2i

P 2 1=2

.

In parti ular,

!1=2

1 so that the span of (gi ) in Lp is isometri to `2 . As another des ription of this

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 veried 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 innite
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.

i Xi has the same

52

3.1. Integrability and tail behavior

By their very denition, (norms of) real or nite dimensional Gaussian variables admit high integrability
properties. One of the purposes of this se tion will be to show how these extend to an innite dimensional
setting. We thus investigate integrability and tail behavior of the norm kX k of a Gaussian Radon variable
or almost surely bounded pro ess. In order to state the results in a somewhat unied way, it is onvenient
to adopt the terminology introdu ed in Se tion 2.2. Unless otherwise spe ied, we thus deal in this se tion
with a Bana h spa e B su h that, for some ountable subset D of the unit ball of B 0 , kxk = sup jf (x)j
f 2D
for all x in B . We say that X is a Gaussian random variable in B if f (X ) is measurable for every f in
P
D and if every nite linear ombination i fi (X ) , i 2 IR , fi 2 D , is Gaussian.
i

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

 = (X ) = sup (IEf 2 (X ))1=2 :

f 2D
Note that this supremum is nite and a tually ontrolled by M . Indeed, for every f in D , IPfjf (X )j 
M g  21 ; now f (X ) is a real Gaussian variable with varian e IEf 2 (X ) and this inequality implies that
(IEf 2(X ))1=2  2M sin e IPfjgj  12 g < 0:4 < 12 where g is a standard normal variable. Hen e   2M <
1 . Let us mention that if X is a Gaussian Radon variable with values in B ,  is really meant to be
sup (IEf 2(X ))1=2 . This is always understood in the sequel.
kf k1
The main on lusions on the behavior of IPfkX k > tg are obtained from the Gaussian isoperimetri
inequality (Theorem 1.2) and subsequent on entration results des ribed in Se tion 1.1. In order to onveniently use the isoperimetri inequality, we redu e, as is usual, the distribution of X to the anoni al

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,

 = (X ) = sup khk

jhj1

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)

IPfjkX k IEkX kj > tg  2 exp( 2t2 =2 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

from whi h it follows that, for t > 0 ,

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 >

tg . Note further that 

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

of Gaussian measures, (X + Y )= 2 and (X

Now, if for s < t , kX + Y k  s 2 and kX

Y )= 2 are independent with the same distribution as X .

Y k > t 2 , we have from the triangle inequality that both

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

easily yields that, for ea h t  s ,

(3:4)

IPfkX k > tg  exp

"
t2
log
;
24s2
1 "

an inequality indeed similar in nature to (3.3).

Let us re ord at this stage an inequality of the pre eding type in whi h only the strong parameter
steps in and that will be onvenient in the sequel. From Lemma 3.1 (for example!) and 2

M 2  2IEkX k2 , we have that, for every t > 0 ,

(3:5)

IPfkX k > tg  4 exp( t2 =8IEkX k2) :

 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)

IE max kXi k  2 max IEkXi k + 3(log N )1=2 max (Xi ) :

iN
iN
iN

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.

Corollary 3.2. Let X be a Gaussian variable in B with orresponding  = (X ) . Then

lim

t!1 t2

or, equivalently,

log IPfkX k > tg =

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.

Proof. The fa t that the limit is less than or equal to

the minoration simply uses IPfkX k > tg

1=22 easily follows from Lemma 3.1 while

 IPfjf (X )j > tg for all f in D . The equivalen e with the

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

IPfjkX k M j > tgdtp

exp( t2 =22)dtp  (K p)p

for some numeri al K . Now this inequality is stronger than what we need sin e   2M and M an be

majorized by (2IEkX kq )1=q for all q > 0 . The proof is omplete.

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 onrm 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 rened. The sharpening we des ribe next

rests on a more elaborated use of the Gaussian isoperimetri inequality and onrm 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

 =  (X ) = inf f  0 ; IPfkX k  g > 0g ;

that is the rst jump of the distribution of the norm kX k . This jump an a tually be shown to be unique.
In ase X is Radon,  = 0 . One way to prove this is to rst observe that for every " > 0 and x in B
(IPfkX

xk  "g)2  IPfkX k  " 2g :

58

Indeed, if Y is an independent opy of X , by symmetry and independen e,

(IPfkX

xk  "g)2 = IPfkX

xk  "gIPfkY + xk  "g

 IPfk(X x) + (Y + x)k  2"g

p
 IPfkX k  " 2g
sin e X + Y has the law of

2X . Note that this inequality an a tually be improved to

IPfkX

xk  "g  IPfkX k  "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 

(IPfkX k  "0 g)1=2 = 0

and thus, ne essarily  =  (X ) = 0 in this ase.

On the other hand, let us re all the typi al example in whi h  > 0 . Consider X in `1 given by the
sequen e of its oordinates (gn =(2 log(n + 1))1=2 ) where (gn ) is the orthogaussian sequen e. Then, by a
simple use of the Borel-Cantelli lemma, it is easily seen that
(3:7)

jgn j
lim sup
=1
n!1 (2 log(n + 1))1=2

almost surely

so that  = 1 in this ase.

The following theorem renes as announ ed Corollary 3.2 and involves both  and  in the integrability
result.

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
=
;

IPfkX k >  0 + tg  K (N )(1 + t)N exp( t2 =2)

where K (N ) is a positive onstant depending on N only.

To see why the theorem follows from the lemma, let  0 >  00 >  and " = ( 0
Lemma 3.4 to  00 >  , we get that, for some integer N ,
Z

kX k> 0

exp

 00 )= > 0 . Applying


 
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 denition, 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

By Fubini's theorem, there exists then y in IRN su h that

N;1[(z ; (y; z ) 2 A)  3=4 :

By symmetry,

N;1[(z ; (y; z ) 2 A)  3=4

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.

Proposition 3.6. Let X be a Gaussian Radon random variable on (

; A; IP) with values in a Bana h
P
spa e B . Then X has the same distribution as gi xi for some sequen e (xi ) in B where this series is
i
onvergent almost surely and in all Lp 's.
Proof. Let H be the losure in L2 = L2 (
; A; IP) of the variables of the form f (X ) with f in B 0 .
Then H may be assumed to be separable sin e X is Radon and is entirely formed of Gaussian variables.
Let (gi ) denote an orthonormal basis of H and denote by AN the  -algebra generated by g1 ; : : : ; gN . It
is easily seen that
N
X
IEAN X = gi xi
i=1

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 .

3.2. Integrability of Gaussian haos

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 dened 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 =

Hk (x) = hk1 (x1 )hk2 (x2 )


:

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 ( ) dened 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 :

A fun tion f in L2( ) an be written as

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 denition 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 ,

IE exp Z 2=d < 1 :

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 simplies, 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 innite 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 dened 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

IPf sup (IE0 f 2 (Y ))1=2  mg  3=4 :

f 2D

Let further

 = (X ) = sup kQ(h; h)k :

jhj1
If we re all the situation for Gaussian variables in the previous se tion, we see that  and M orrespond
respe tively to the weak and strong parameters. The new and important parameter m appears as some
intermediate quantity involving both the weak and strong topologies. Let us show that these parameters
are a tually well dened. It will su e to show that the de oupled haos Y exists. The key observation is
that, for every t > 0 ,
(3:9)

IPfkY k > tg  2IPfkX k > t=2 2g :

We establish this inequality for nite sums and a norm given by a nite supremum; a limiting argument
then shows that the quadrati sums dening 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 satised. 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 dened and that (3.9) is satised.
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 veries that for all t > 0 ,
IPfkX

X 0 k > tg  3IPfkY k > t=3g

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

Qbn (x; x0 )2 d (x0 )

whi h is therefore well dened 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 .)

Con erning  , for every k

reasoning as before,

2 `2 , jkj  1 , (x; kQb(x; k)k  m)  3=4  1=2 . Hen e, by the same

sup k
jhj1

k = sup

Qb(h; k)

Therefore,

n1

Z

1=2
2
b
Qn (x; k) d (x)

 2m :

sup kQb(h; k)k  2m :

jhj;jkj1

But this supremum is easily seen to be bigger than 2 so that   m < 1 .

As for series in the previous paragraph, noti e that it is usually easier to work with expe tations and
moments rather than medians or quantiles. A tually, by independen e and the results of Se tion 3.1 it is
not di ult to see that IEkY k2 < 1 (a tually IEkY kp < 1 for every p ) and that we have the following
hierar hy in the parameters:
(IEkY k2 )1=2  (IE sup IE0 f 2 (Y ))1=2  2 :
f 2D

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 dened 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 denition 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 ,

Qn (x; x) = Qn (a; a) + tQbn (a; h) + t2 Qn (h; h)

and therefore

At  fx ; kQ(x; x)k  M + tm + t2 g :

Lemma 3.8 is therefore established.

The next orollary is the qualitative result drawn from the pre eding lemma on erning integrability and
tail behavior of Gaussian haos. It orresponds to Corollary 3.2 in the rst se tion.

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

if and only if  >  :

68

Further all moments of X are equivalent.

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

symmetry argument shows that one an nd M su h that

(x; kQ(ye; ye)k  M ;

kQb(ye; h)k  M )  12 :

We then dedu e from Fubini's theorem that for every t > 0

(x; kQ(x; x)k > t) = (x; kQ(y; y)k > t)

 12 (x; x21 ( ") > t + jx1 jM + M ) :
The proof of the rst laim in Corollary 3.9 is then easily ompleted. That IE exp(kX k=2) = 1 an be
established in the same way.
We have seen before Lemma 3.8 that if M is hosen to satisfy IPfkX k  M g

take m  4 2M and  satises 

 15=16 , then we an

 4 2M . Hen e, if p > 0 , integrating the inequality of Lemma 3.8

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 renement 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

 =  (X ) = inf f > 0 : IPf sup (IE0 f 2 (Y ))1=2  g > 0g :

f 2D
We an then state:

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

(
(

 00 )=2 > 0 . Then,

dIP

)
kX k 1=2 >  0 + t t exp  t2  dt

2
2
)

kX k 1=2 >  00 + (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

If  0 >  , (A2 ) > 0 where

A2 = fx ; sup kQb(x; k)k   0 g

jkj1

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

kQ((y; z ); (y; z ))k ; kQ((y; z ); (y; z ))k  M ;

summing, we get that

kQ((0; z ); (0; z ))k  M



 N

X n

+ sup 
aij yi yj 
n1 i;j =1


 M + jyj2 :

71

Hen e, if we set M 0 = M + jyj2 and

A = fx ; kQ(x; x)k  M 0 ; sup kQb(x; k)k   0 g ;

jkj1
it follows that B = fz 2 IRN;1[ ; (0; z ) 2 Ag satises N;1[(B )  1=2 . We are then in a position to apply
Lemma 3.5 from whi h we get that for every t  0 :

 (x ; x 62 At )  N +1 (y0 ; jy0 j > t) :

Now it has simply to be observed that

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

kQ(x; x)k  kQ(a; a)k + tkQb(a; y)k + t2 kQ(h; h)k :

(3.10) then easily follows from the pre eding playing with  0 >  and t to be large enough. The proof of
Theorem 3.10 is omplete.
To on lude, let us brie y mention the formal orresponding results for the haos of degree d > 2 . If X
is su h a haos, and if  is dened analogously, Corollary 3.9 reads:
1
1
lim
log
IP
fk
X
k
>
t
g
=
:
2
=d
t!1 t
22=d
Theorem 3.10 is somewhat more di ult to translate.  is dened appropriately from the asso iated d de oupled symmetri haos on whi h one takes weak moments on d 1 oordinates and the strong parameter
on the remaining one. We then get that for all  0 > 
1
IE exp
2

kX k 1=d  0


d

!2

< 1:

One ould possibly imagine further renements involving d + 1 parameters.

3.3 Comparison theorems

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 denite 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)) :

Let now t and i be xed. It is easily seen that, for every j ,

1
IEXj (t)Xi0 (t) = IE(Yj Yi
2

Xj Xi ) :

74

The hypotheses of the theorem then indi ate that we an write

Xj (t) = j Xi0 (t) + Zj

where Zj is orthogonal to Xi0 (t) and j  0 if (i; j ) 2 A , j  0 if (i; j ) 2 B , j = 0 if (i; j ) 62 A [ B .
If we now examine IE(Di f (X (t))Xi0(t)) as a fun tion of the j 's (for (i; j ) 2 A [ B ), the hypotheses on
f show that this fun tion is in reasing of those j 's su h that (i; j ) 2 B . But, by the orthogonality and
therefore independen e, this fun tion vanishes when all the j 's are 0 sin e
IE(Di f (Z )Xi0(t)) = IE(Di f (Z ))IEXi0 (t) = 0 :
Hen e IE(Di f (X (t))Xi0 (t))
theorem.

 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 veried. 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

Corollary 3.12 Let X and Y be Gaussian in IRN su h that

8
< IEXi Xj
:

 IEYi Yj for all i 6= j ;

IEXi2 = IEYi2

for all i :

N
[

N
[

Then, for all real numbers i , i  N ,

IPf

i=1

In parti ular, by integration by parts,

(Yi > i )g  IPf

(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

Corollary 3.13. Let X = (Xi;j ) and Y = (Yi;j ) , 1  i  n , 1  j  m , be Gaussian random ve tors

su h that
8
for all i; j; k ;
> IEXi;j Xi;k  IEYi;j Yi;k
>
>
<
>
>
>
:

IEXi;j X`;k  IEYi;j Y`;k

2 = IEY 2
IEXi;j
i;j

for all i 6= ` and j; k ;

for all i; j :

Then, for all real numbers i;j ,

IPf

n [
m
\
i=1 j =1

n [
m
\

(Yi;j > i;j )g  IPf

i=1 j =1

(Xi;j > i;j )g :

In parti ular,
IE min max Yi;j  IE min max Xi;j :
in j m
in j m

Proof. Let N = mn . For I 2 f1; : : : ; N g let i = i(I ) , j = j (I ) be the unique 1  i  n , 1  n  m

su h that I = m(i 1) + j . Consider then X and Y as random ve tors in IRN indexed in this way, i.e.
XI = Xi(I );j(I ) . Let
A = f(I; J ) ; i(I ) = i(J )g ;
B = f(I; J ) ; i(I ) 6= i(J )g :
Then the rst set of hypotheses of Theorem 3.11 is fullled. Taking further f to be the indi ator fun tion
of the set

n
[

i=1 I=i(I )=i

fx 2 IRN ; xI > i;j(I ) g ;

Theorem 3.11 implies the on lusion by taking omplements.

In the pre eding results the omparison was made possible by assumptions on the respe tive ovarian es
of the Gaussian ve tors with, espe ially, onditions of equality on the "diagonal". In pra ti e, it is often

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.

Corollary 3.14. Let X = (X1 ; : : : ; XN ) and Y = (Y1 ; : : : ; YN ) be Gaussian variables in IRN su h

that for every i; j
IEjYi

Yj j2  IEjXi

Xj j2 :

76

Then

IE max Yi  2IE max Xi :

iN
iN

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 dened 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

The omparison theorems usually deal with max

Xi or max
jXi Xj j = max
(Xi Xj ) rather than max
jXi j .
i
i;j
i;j
i
Of ourse, for every i0  N ,
IE max Xi  IE max jXi j  IEjXi0 j + IE max jXi
i

i;j

Xj j

 IEjXi j + 2IE max

Xi :
i
0

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 innity. 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

Yj j > g  2IPfmax jXi

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 :

Then, for every non-negative onvex in reasing fun tion F on IR+

IEF (max
jY
i;j i

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.

Theorem 3.16. Let X = (Xi;j ) and Y = (Yi;j ) , 1  i  n , 1  j  m be Gaussian random ve tors

su h that
8
for all i; j; k ;
< IEjYi;j Yi;k j2  IEjXi;j Xi;k j2
:

IEjYi;j

Y`;k j2  IEjYi;j

Then

Y`;k j2

for all i 6= ` and j; k :

IE min max Yi;j  IE min max Xi;j :

in j m
in j m

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 dened
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

Proof. Let u 2 T . We an write by onvexity:



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

sin e by ontra tion, for every s; t ,

N
X
i=1

j'i (si ) 'i (ti )j2 

N
X
i=1

jsi ti j2 :

79

Corollary 3.17 is therefore established.

A most important onsequen e of the omparison theorems is the so- alled Sudakov's minoration. We shall
ome ba k to it in Chapter 12 when we investigate regularity of Gaussian pro esses but it is fruitful to already
re ord it at this stage. To introdu e it, let us rst observe the following easy fa ts. Let X = (X1 ; : : : ; XN )
be Gaussian in IRN . Then
(3:13)

IE max Xi  3(log N )1=2 max(IEXi2)1=2 :

iN
iN

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)

K 1 (log N )1=2  IE max gi  K (log N )1=2 :

iN

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

[1 (1 IPfjgj > tg)N dt

 [1 (1 IPfjgj > g)N :

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 dened 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 ,

kXu0 Xv0 k2 = " < dX (u; v) :

Therefore, by Corollary 3.14,

IE sup Xu0  2IE sup Xu :

u2U
u2U

If we now re all (3.14) we see that

IE sup Xu0  K
u2U

1 p"

(log CardU )1=2 = K

1 p"

(log N )1=2 :

81

The on lusion follows.

Theorem 3.18 admits a slight strengthening when the pro ess is ontinuous.

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 :

For every  > 0 , let > 0 be small enough that

IE sup

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

"(log CardAs )1=2  K

S

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

N (T; dX ; ")  CardB  CardA max

CardAs :
s
Therefore

"(log N (T; dX ; "))1=2  "(log CardA)1=2 + K :

Letting " , and then  , tend to 0 on ludes the proof.

Sudakov's minoraton is the o asion of a short digression on some dual formulation. Let T be a onvex
body in IRN , i.e. T is bounded onvex symmetri about the origin with non-empty interior in IRN ( T is
a Bana h ball). Consider the Gaussian pro ess X = (Xt )t2T dened as

Xt =

N
X
i=1

gi ti ;

t = (t1 ; : : : ; tN ) 2 T

 IRN :

82

Set

`(T ) = IE sup jXt j =

t2T



N
X


IE sup  gi ti 

t2T 

i=1

sup jhx; tijd N (x) :

t2T

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)

sup "(log N (B2 ; "T 0))1=2  K`(T ) :

">0

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) :

For any z in IRN , a hange of variables indi ates that

N (z + aT 0) = exp( jz j2 =2)

aT 0

exphz; xid N (x) ;

and thus, by Jensen's inequality and symmetry of T 0 ,

N (z + aT 0)  exp( jz j2 =2) N (aT 0) :

Therefore, sin e zi 2 a" B2 , i 2 N , and N (aT 0)  1=2 , we nally get that 2  n exp( a2 =2"2) whi h is
exa tly (3.15).

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

jtj2 = ht; ti  ktkT ktkT  2
"2 = "2 ;

0

where

k
kT (respe tively k
kT ) is the Bana h norm (gauge) indu ed by T ( T 0 ). It follows that

0

"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;

Thus, for every " > 0 ,

"2
"2 0
T )  N (T; 2"B2)N (2"B2 ; T 0)
2
2
" 0
 N (T; 2"B2)N (B2 ; 4 T ) :

"(log N (T; "B2 ))1=2  "(log N (T; 2"B2))1=2 + 4M

where M = sup "(log N (B2 ; "T 0))1=2 . One then easily dedu es that
">0

sup "(log N (T; "B2))1=2  8M :

(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

where M 0 = sup "(log N (T; "B2))1=2 .

">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 ;

i.e. the norm of u as a bounded bilinear form on E 0  F 0 . The ompletion of E

F with respe t to this
F .
norm is alled the inje tive tensor produ t of E and F and denoted by E

Consider now X =

gi xi (resp. Y =

gj yj ) a Gaussian random variable with values in E (resp. F ).

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

 F . This question has a positive answer

is almost surely onvergent in the inje tive tensor produ t spa e E

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 dened similarly.

Theorem 3.20. Let X =

gi xi and Y =

gj yj be onvergent Gaussian series with values in E

P

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

max((X )IEkY k ; (Y )IEkX k)  IEkGk_  (X )IEkY k + (Y )IEkX k :

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 denition 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

gi;j f (xi )h(yj ) + (X )(

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 veried
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

f (xi )f 0 (xi ))[(

h2 (yj ))1=2 (

h0 2 (yj ))1=2

h(yj )h0 (yj ) :

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 simplied
proof.

86

As a onsequen e of Corollary 3.13, we also have that

IE inf sup Ge(f; h)  IE inf sup Gb(f; h) :
khk=1 kf k=1
khk=1 kf k=1
Now noti e that
X

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 =

gi xi for some sequen e (xi ) in B . Consider

Y=

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

IE inf sup  j f (Xj ) + (X )gA

jj=1 kf k=1 j=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

The proof is therefore omplete.

Notes and referen es

Some general referen es on Gaussian pro esses and measures (for both this hapter and Chapters 11 and
12) are [Ne2, [B-C, [Fer4, [Ku, [Su4, [J-M3, [Fer9, [V-T-C, [Ad, [K-L. The interested reader may nd
there ( ompleted with the papers [Bo3, [Ta1) various topi s on Gaussian measures on abstra t spa es, like
for example zero-one laws, reprodu ing kernel Hilbert spa e, et ., not developed in this book.
The history of integrability properties of norms of innite dimensional Gaussian random ve tors starts
with the papers [L-S and [Fer2. Fernique's simple argument is the one leading to (3.4) and applies to the
rather general setting of measurable seminorms. The proof by H. J. Landau and L. A. Shepp is isoperimetri
and led eventually to the Gaussian isoperimetri inequality. Skorokhod [Sk2 had an argument to show that
IE exp kX k < 1 (using the strong Markov property of Brownian motion); J. Homann-Jrgensen indi ates
in [HJ3 a way to get from this partial on lusion the usual exponential square integrability. Corollary 3.2
is due to M. B. Mar us and L. A. Shepp [M-S2. Our des ription of the integrability properties and tail
behavior is isoperimetri and follows C. Borell [Bo2 (and the exposition of [Eh4). The on entration in
Lemma 3.1 is issued from Chapter 1 . Theorem 3.3 was established in [Ta2 where examples des ribing its
optimality are given. In parti ular,  1 (IPfkX k  tg) approa hes its asymptote as slowly as one wishes
it. Lemma 3.5 in a slight improved form was used in [Go; see also [G-K1, [G-K2. Theorem 3.3 has some
interpretation in large deviations; indeed, the limit in Corollary 3.2
1
1
lim log IPfkX k > tg =
t!1 t2
22

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 simplied 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

Chapter 4. Radema her averages

4.1. Real Radema her averages
4.2. The ontra tion prin iple
4.3. Integrability and tail behavior of Radema her series
4.4. Integrability of Radema her haos
4.5. Comparison theorems
Notes and referen es

91

Chapter 4. Radema her averages

P

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

some preliminaries in the real ase.

4.1. Real Radema her averages

If (i ) is a sequen e of real numbers, a trivial appli ation of the three series theorem (or Lemma 4.2 below)
P

"i i is almost surely (or in probability) onvergent if and only if 2i < 1 .

i
iP
P
A tually the sum "i i has remarkable properties in onne tion with the sum of the squares 2i and
i
i
it is the purpose of this paragraph to re all some of these.
indi ates that the series

Sin e we will only be interested in estimates whi h easily extend to innite 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 denes 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

numbers, for all  > 0 ,

IE exp 

"i i =

IE exp("i i ) 

exp

 2


2i

2 X 2
= exp
 ;
2 i i

and hen e, by Chebyshev's inequality, for every t > 0 ,


(
X


IP  "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)

"i i > tg  exp( Kt2 =

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 . Dene 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 ;

= 1 , k  162t2 . On the other hand, for ea h j  k ,

nj
X
i=nj 1 +1

2i 

nX
j 1
i=nj 1 +1

2i +

1
162t2

so that k  4
16t2 sin e k being the last one means that

X

i>nk

2i 

1
162t2

 21 :

 1622t2

93

Set Ij = fnj

1 + 1; : : : ; nj g ,
(

IP

1  j  k . We an then write by independen e

)

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

whi h is the result (with e.g. K = 162 log 16 ).

The subgaussian inequality (4.1) an be used to yield a simple proof of the lassi al Khint hine inequalities.

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

Proof. By homogeneity assume that

P 2



p
X


IE  "i i 



X

"i

alphai

 Bp

2i

!1=2

= 1 . Then, by the integration by parts formula and (4.1),

1

2


(
X


IP  "i i 



> t dtp

exp( t2 =2) dtp = Bpp :

For the left hand side inequality, it is enough, by Jensen's inequality, to onsider the ase p < 2 . By mean

94

of Holder's inequality, we get

1


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



from whi h the on lusion follows.

The best possible onstants Ap and Bp in Khin hine's inequalities are known [Ha. We retain from the
pre eding proof that Bp  K pp ( p  1 ) for some numeri al onstant K . We will use also the known fa t
[Sz that A1 = 2 1=2 (in order to deal with a spe i value), i.e.
(4:3)

2i

!1=2

X



"



i
i

X


2 "i i

Khint hine's inequalities show how the Radema her sequen e denes 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 :

Then, if t > 0 is su h that IPfZ > tg  (2C p )q=(p q) , we have

kZ kp  21=p t

and

kZ kq  21=p Ct :

Proof. By Holder's inequality

IEZ p  tp +

fZ>tg

Z p dIP  tp + kZ kpq(IPfZ > tg)1 p=q  2tp

where the last inequality is obtained from the hoi e of t .

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 (dened on
(
; A; IP) ) su h that IE (jX j= ) < 1 some > 0 . Equipped with the norm

kX k = inf f > 0 ; IE (jX j= )  1g ;

L denes a Bana h spa e. If for example (x) = xp , 1  p < 1 , then L = Lp . We shall be interested
here in the exponential fun tions
q
q (x) = exp(x )

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

(i ) is a nite sequen e of real numbers su h that, by homogeneity, 2i = 1 , we have, by integration by

i
parts and (4.1),

 Z 1
jX j = IPfjX j > tgd(etq 1)
IE q

0
 2 2

Z 1
t
q
 2q exp
+ t tq 1 dt :
2
0

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

for any sequen e (i ) of real numbers.

For q > 2 , the span of ("i ) in L q is no more isomorphi to `2 . This span a tually appears as some
interpolation spa e between `2 and `1 . To see it, we simply follow the observation whi h led to Lemma
1.7. Re all that for 0 < p < 1 we denote by `p;1 the spa e of all real sequen es (i )i1 su h that

k(i )kp;1 = (sup tp Cardfi ; ji j > tg)1=p < 1 :

t>0

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 denition 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

 2 exp( tq =Cq k(i )kqp;1 ) :

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 = m with probability 2 m , it is easily seen that

m
X


"i

i=1

 (1 + log 2)

1=q m1=p :

Summarizing, we have obtained that

X


"i i

 (1 + log 2)

1=q

sup m1=p jm j

m1

whi h is the result.

We should point out further that the inequality orresponding to Lemma 1.8 states in this setting that
for any nite sequen e (i ) and any t > 0
(4:5)


(
X


IP  "i i 



>t

 16 exp[ exp(t=4k(i )k1;1 ) :

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 fullled.
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.

4.2. The ontra tion prin iple

It is plain from Khint hine's inequalities that if (i ) and (i ) are two sequen es of real numbers su h
P
P
that ji j  ji j for all i , one an ompare k "i i kp and k "i i kp for all p . This omparison is thus
i
i
based on the sum of the squares and orthogonality. It however extends to ve tor valued oe ients and
even in an improved form. This property is known as the ontra tion prin iple to whi h this paragraph is
devoted. The main result is expressed in the following fundamental theorem.

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

Further, for any t > 0 ,

(4:7)

(
X


IP i "i xi

>t

(
X


2IP "i xi

Proof. The fun tion on IRN

(1 ; : : : ; N ) ! IEF

>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

i  0 . Further, by identi al distribution, we suppose that 1 


 N

Then
N
X
i=1

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

We on lude by Levy's inequalities (Proposition 2.3).

As a simple onsequen e of inequality (4.7), noti e the following fa t. Let (i ) and (i ) be two sequen es
P
of real numbers su h that ji j  ji j for all i ; then, if the series with ve tor oe ients i "i xi onverges
i
P
almost surely or equivalently in probability, then the same holds for the series i "i xi .
i

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

Then, for any nite sequen e (xi ) in a Bana h spa e,

IEF

!
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

Indeed, simply note that if

X

X

1
1
IEF 2Kt0 "i xi + IEF 2K i xi :




2
2
i
i

i0 = t0 "i Ifji jt0 g + i Ifji j>t0 g

where ("i ) is an independent Radema her sequen e, the ouple (i ; i0 ) satises the hypothesis of Lemma
4.6. Use then onvexity and the ontra tion prin iple to get rid of the indi ator fun tions.

4.3. Integrability and tail behavior of Radema her series

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 denes 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

 = (X ) = sup (IEf 2 (X ))1=2 = sup

f 2D
f 2D

!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 , dening thus a Radon random variable, we an let simply

(X ) = sup (IEf 2(X ))1=2 :

kf k1
It is easy to see that  is nite, a tually ontrolled by some quantity asso iated to the L0 topology of the
p
norm kX k : if M is for example su h that IPfkX k > M g  1=8 , we have that   2 2M . To see this,

103

re all rst that by (4.3), for any f in D ,

0


2 11=2
X


IE 
"i f (xi ) A





X


2IE  "i f (xi )



It then follows from Lemma 4.2 and denition of M that

X

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 dened before with orresponding  = (X ) .
Let moreover M = M (X ) denote a median of kX k . Then, for every t > 0 ,
(4:10)

IPfjkX k M j > tg  4 exp( t2 =82 ) :

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 dened by '() = sup j P i f (xi )j ,

f 2D i
 = (i ) , is  -almost everywhere nite by denition 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)

For the proof, use (4.11) together with the fa t that M

For an almost surely onvergent series X =

 (2IEkX k2)1=2 and 2  IEkX k2 .

"i xi in B , it is very easy to see that the exponential

square integrability result of Theorem 4.7 an be rened into IE exp kX k2 < 1 for all  > 0 . Set indeed
N
P
XN = "i xi for ea h N . XN onverges to X almost surely and in L2 (B ) by Theorem 4.7 so that in
i=1
parti ular (XN X ) ! 0 . Let then  > 0 and hoose an integer N su h that the median of kX XN k
is less than 1 (say) and su h that 8(X XN )2  < 1 . It follows from (4.11) that for every t > 0
IPfkX

XN k > t + 1g  2 exp( t2 =8(X

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

for all  > 0 :

Proof. It relies on the following lemma.

Lemma 4.9. There is a numeri al onstant K with the following property. Let (i )i1 be a de reasing
P
P
sequen e of positive numbers su h that 2i < 1 . If t  K ( 2i )1=2 , dene n to be the smallest integer
su h that

n
P

i=1

i > t . Then


(
X


IP  "i i 



>t

2i )1=2 and let K  1

in
n  2Kt2=2 , by denition of n ,

Proof. Let  = (
two ases. If

IP

( n
X

i=1

be the numeri al onstant of (4.2). We distinguish between

"i i > t

X
1
exp  Kt2 = 2i A :
2
in

 2 n  exp( 2Kt2=2 ) :

If n > 2Kt2=2 , by denition of n and sin e i  t for all i ,

n
1X
2t
max i = n 
 
in
n i=1 i n

 Kt :

Therefore, sin e K is the numeri al onstant of (4.2),

IP

8
<X
:

in

"i i > t

9
=
;

 exp( Kt2 =2 ) :

Lemma 4.9 follows by Levy's inequality (2.6), hanging K into 2K .

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 satises 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 satises 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

whi h gives (4.13).

> M 0 (t + 2)

be smaller than 1=8 . Then,

 2 exp( t2 ) :

IPfkX k > M 0 (t + 3)g  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
denes 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

When n tends to innity, (

j =1

0
1


n
X X
"ij A
Kp;q 
xi
i

j =1 n

:
q

"ij = n) onverges in distribution to a standard normal. It follows that

X


gi xi

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

(IEjui j = 1=2) . Going ba k to a tail estimate through Lemma 4.10 we get

(4:15)

(
X


IP "i xi

> K (IE k sumi "i xi k + t)

 K exp( t2 =K2)

for some numeri al onstant K > 0 and all t > 0 .

This inequality easily extends to innite sums and bounded Radema her pro ess (start with a norm given
by a nite supremum and pass to the limit). It is possible to obtain from it all the on lusions of Theorem
4.7. The most important dieren e however is that (4.10) expresses a on entration property. However,

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.

4.4. Integrability of Radema her haos

Let us onsider the anoni al representation of the Radema her fun tions ("i ) as the oordinate maps
on
= f 1; +1gIN equipped with the natural produ t probability measure  = ( 21 1 + 12 +1 )
IN . For
Q
any nite subset A of IN , dene wA =
"i ( w; = 1 ). It is known that the Walsh system fwA ; A 
i2A
IN ; jAj < 1g denes an orthonormal basis of L2 () .
For 0  "  1 , introdu e the operator T (") : L2 () ! L2 () dened by

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

Using (4.16) with p = 2 , q > 2 and " = (q

1) 1=2 , we have that

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 dened. 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

Let also m be su h that

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 dened. 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 dened 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

Of ourse, we are now in a position to "de ouple" in the sense that

"i "j yij has the same distribution
i2I;j 62I
P
as
"i "0j yij . Let us assume for larity that ("i ) and ("0j ) are onstru ted on dierent probability
i2I;j 62I
spa es (
; A; IP) and (
0 ; A0 ; IP0 ) respe tively. We laim that, for some numeri al onstant K ,
(4:17)

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

Therefore, from (4.17),

2
N

X

IE
"i "0j yij
i;j =1

 KM 0 2 :

From a Cau hy sequen e argument it then easily follows that for ea h f in D ,

i;j

"i "0j f (yij ) is onvergent

in L2 (and almost surely by Fubini). Hen e Y is well dened and, in reasing the nite supremum to the
norm, also satises 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

M; m;  be its parameters as just des ribed. Then, for every t > 0 ,

IPfkX k > 2(M + mt + t2 )g  20 exp( t2 =144) :
Moreover, IE exp kX k < 1 for all  > 0 .

N
P

Proof. As announ ed, we an assume that we deal with a nite sum X =

"i "j xij for the proof of
i;j =1
the tail estimate. Re all that
0

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

We rst estimate, for all I

dieren e,

8


<
X


IP "i "j yij
:

i;j

In the same way, we have that

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

Also from Theorem 1.3, we have that, for t > 0 ,

8
<

X


IP0 sup hi "0j yij
:jhj1

i;j

> m + 6t

9
=
;

 2 exp( t2 =8)

where we have used the simple fa t that

X


sup hi kj yij
jhj;jkj1 i;j

 6 :

Hen e, if we let for every t > 0

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

IP(A)  IP(B )(1 4 exp( t2 =18)) :

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) :

Summarizing, we have obtained that for every I  f1; : : : ; N g and t > 0 ,

(4:18)

8


<

X
IP
"i "j yij
:

i2I;j 62I

> M + tm + t2

9
=

 10 exp
;

t2
:
72

115

If we now re all that

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 :

Thus, for every t > 0 ,

IP

(

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

Therefore, for every p  1 ,

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.

4.5. Comparison theorems

The norm of a (nite) Radema her sum

k P "i xi k with oe ients in a Bana h spa e B is the supremum

i=1

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 dened by T = ft = (f (xi ))iN ; f

i=1

T (bounded) subset of IRN .

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

'i (s) = min

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

Proof of Theorem 4.12. We rst show that if G : IR ! IR is onvex and in reasing

!

N
X

(4:20)

IEG sup "i 'i (ti )

t2T i=1

 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 ) :

We distinguish between the following ases.

1 st ase. t2  0 , s2  0 . Assume to begin with that s2  t2 . We show that

2I  G(t1 + t2 ) + G(s1
Set a = s1
(4:21)

'(s2 ) , b = s1

s2 ) :

s2 , a0 = t1 + t2 , b0 = t1 + '(t2 ) so that we would like to prove that

G(a) G(b)  G(a0 ) G(b0 ) :

Sin e ' is a ontra tion with '(0) = 0 and s2

Further, again by ontra tion and s2  t2 ,

a b = s2

 0 , j'(s2 )j  s2 . Hen e, a  b and, by () , b0  b .

'(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

G(
) is in reasing. Thus, for

G(a) G(b)  G(b0 + (a b)) G(b0 ) :

Using that b0 + a b  a0 yields then the announ ed laim (4.21). When s2  t2 , the argument is similar
hanging s into t and ' into ' .

2 nd ase. t2  0 , s2  0 . It is ompletely similar to the pre eding one.

3 rd ase. t2  0 , s2  0 . Sin e '(t2 )  t2 ,

'(s2 )  s2 , we have that

2I  G(t1 + t2 ) + G(s1

s2 )

and the result follows.

4 th ase. t2  0 , s2  0 . Similar to the 3

rd

ase. This ompletes the proof of (4.20).

We now on lude the proof of the theorem. By onvexity,

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

"i 'i (ti )

N
X
i=1

! 11

"i 'i (ti )

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

 1=Kr(T ) for all

where K is a numeri al onstant.

Let g be a standard normal variable. For s > 0 , set h = gIfjgj>sg . The rst simple observation of this
proof is that, whenever   s=4 ,
(4:24)

IE exp h  1 + 162 exp( s2 =32)  exp[162 exp( s2 =32) :

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

f 00 () = IE(h2 exp h) 32 exp( s2 =32) :

By denition of h and hange of variables,
IE(h2 exp h) =

jxj>s

= exp

x2 exp

 2Z


x

jx+j>s

x2
2

pdx

2

(x + )2 exp

x2
2

pdx :

When   s=4  s=2 , s < jx + j  jxj + s=2  2jxj so that

Z
x2 dx
2
IE(h2 exp h)  4 exp( )
x2 exp(
)p
2 jxj>s=2
2 2
Z
2
x2 dx
 16 exp( 2 )
exp(
)p
4 2
jxj>s=2
2
s2
s2
 32 exp( 2 16
)  32 exp(
)
32

2

 0 . Sin e f (0) =

121

whi h gives the result.

Let us now show (4.23). There is nothing to prove it T  21 B2 so that we may assume that there is an
p
element t of T with jtj  1=2 ; then, by (4.3), r(T )  1=2 2 . By denition of N (T; 12 B2 ) there exists a
subset U of T of ardinality N (T; 12 B2 ) su h that d2 (u; v)  1=2 whenever u; v are distin t elements in
N
P

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

> (K 0 ) 1 (log CardU )1=2

 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 satises (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

hi . By the triangle inequality and the ontra tion prin iple,

)

K
>  0 r (T )
2K

By (4.24), for any   sKr(T )=4 , and sin e U



N
X


sup  hi ui 

u2U 

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
) :

Let s = K=10K 0 and  = K 2 r(T )=40K 0 . Then

N
X

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

N (T; d2 ; ") = N (T; "B2)  N (T; 2 k B2 ) :

Clearly

Y
N (T; 2 k B2 )  sup N (T \ B2 (t; 2 `+1 ); 2 ` B2 ) :
`k t2T

By homogeneity, (4.23) tells us that

N (T \ B2 (t; 2 `+1 ); 2 `B2 )  exp(K 22` 2 r(T )2 ) :

Hen e

N (T; d2 ; ")  exp K

`k

r(T )2
):
"2

22` 2 r(T )2 A  exp(4K

Proposition 4.13 is therefore established.

The previous proposition yields a rst version for Radema her pro esses of Sudakov's minoration whi h
however involves a fa tor depending on the dimension. It an be stated as follows.

Corollary 4.14. Let T be a subset of IRN ; for all " > 0

!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

 B1 , the `N1 -ball,

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 . Dene
a map ' in the following way:
' : [ Ma ; +Ma ! IR[ M;M
u ! ('(u)j ) M jM ;

124

'(u)j is dened 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

for all other values of j :

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 dene 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

j'(u)j '(u0 )j j2 = ju vj2 + ju0 v0 j2 + ajv v0 j :

On e these properties have been observed, let

! (IR[ M;M )N
t = (ti )iN ! (('(ti )j ) M jM )iN :
:T

is of ourse well dened 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


Now, for every hoi e of ("ij ) , every i and t; t0 in T , by (4.25),


 M
 X

"ij '(ti )j

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'(ti )j j  a = 3K "r(T )  K r(" (T )) :

1

Hen e, by Proposition 4.13 applied to (T ) in (IR[ M;M )N ,

"(log N ( (T ); "B2 ))1=2  K1r( (T ))  Kr(T ) :

Now this implies the on lusion; indeed, by (4.26), if t; t0 are su h that

j (t)

(t0 )j  " , then

t 2 t0 + Kr(T )B1 + "B2 :

Hen e N (T; D)  N ( (T ); "B2) and the proof of Theorem 4.15 is therefore omplete.
We on lude this hapter with a remark on tensorization of Radema her series. As in the Gaussian ase,
(and we follow here the notations introdu ed in Se tion 3.3) we ask ourselves if, given (xi ) and (yi ) in
P
P
Bana h spa es E and F respe tively su h that "i xi and "i yi are both almost surely onvergent, this
i
i
P
 F . To investigate this question, re all rst
also true for "ij xi
yj in the inje tive tensor produ t E

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

 K (log(N + 1))1=2 ((X )IEkY k + (Y )IEkX k)

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 denition 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)

(at least for all N large enough). But then


!
N
X


"ij 




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

 K 1(1 1e )(log N )1=2

i=1

dt

1 N
) dt
N

whi h proves our laim.

Notes and referen es

The name of Bernoulli is histori ally more appropriate for a random variable taking the values 1
with equal probability. Stri tly speaking, the Radema her sequen e is the sequen e on [0; 1 dened by
ri (t) = sin(2it) ( i  1 ). We de ided to use the terminology of Radema her sequen e sin e it is the
ommonly used one in the eld as well as in Geometry of Bana h spa es.
The best onstants in the (real) Khint hine's inequality were obtained by U. Haagerup [Ha. See [Sz for
the ase p = 1 (4.3). Lemma 4.2 is in the spirit of the Paley-Zygmund inequality ( f. [Ka1). Lemma 4.3
has been observed in [R-S and [Pi10 and used in Probability in Bana h spa es in [M-P2 ( f. Chapter 13).
The ontra tion prin iple has been dis overed by J.-P. Kahane [Ka1. Some further extensions have been
obtained by J. Homann-Jrgensen [HJ1, [HJ2, [HJ3. Lemma 4.6 is taken from [J-M2.

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 satises 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

Chapter 5. Stable random variables

5.1. Representation of stable random variables
5.2. Integrability and tail behavior
5.3. Comparison theorems
Notes and referen es

129

Chapter 5. Stable random variables

After Gaussian variables and Radema her series, we investigate in this hapter another important lass
of random variables and ve tors, namely stable random variables. Stable random variables appear as fundamental in Probability Theory and, as will be seen later, also play a role in stru ture theorems of Bana h
spa es. The literature is rather extensive on this topi and we only on entrate here on the parts of the
theory whi h will be of interest and use to us in the sequel. In parti ular, we do not attempt to study stable
measures in the natural more general setting of innitely divisible distributions. We refer to [Ar-G2 and
[Li for su h a study. We only on entrate here on the aspe ts of stable distributions analogous to those
developed in the pre eding hapters on Gaussian and Radema her variables. In parti ular, our study is based
on a most useful representation of stable random variables detailed in the rst paragraph. The se ond one
examines integrability properties and tail behavior of norms of innite dimensional stable random variables.
Finally, the last se tion is devoted to some omparison theorems.
We re all that, for 0 < p < 1 , Lp;1 = Lp;1 (
; A; IP) denotes the spa e of all real random variables X
on (
; A; IP) su h that
kX kp;1 = (sup tp IPfjX j > tg)1=p < 1 :
t>0

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

jX jdIP ; A 2 A ; IP(A) > 0g

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 denition, 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

i i has the same distribution as

ji jp

1=p

X


i i

1 . By what pre eeds, in parti ular, for any r < p ,

= 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

IPfji i j > M 0 g < 1 :

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

Hen e, letting M = max(M 0 ; t0 M 00 ) , we have that

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

A random variable X = (X1 ; : : : ; XN ) with values in IRN is p -stable if ea h linear ombination

i Xi
i=1
is a real p -stable variable. A random pro ess X = (Xt )t2T indexed by a set T is alled p -stable if for
every t1 ; : : : ; tN in T , (Xt1 ; : : : ; XtN ) is a p -stable random ve tor. Similarly, a Radon random variable
X with values in a Bana h spa e B is p -stable if f (X ) is p -stable for every f in B 0 . By their very
denition, all these p -stable random ve tors satisfy the fundamental and hara teristi stability property of
stable distributions: if, and only if, X is p -stable, if Xi are independent opies of X , then
X

i Xi has the same distribution as

ji

jp

!1=p

for every nite sequen e (i ) of real numbers.

It will almost always be assumed in the sequel that 0 < p < 2 . The ase p = 2 orresponding to Gaussian
variables was investigated previously.

5.1. Representation of stable random variables

p -stable ( 0 < p < 2 ) nite or innite dimensional random variables an be given (in distribution) a
series representation. This representation an be though as some entral limit theorem with stable limits
and we will a tually have the opportunity to verify this observation in the sequel. This representation is a
most valuable tool in the study of stable random variables; it almost allows to think of stable variables as
sums of ni ely behaved independent random variables for whi h a large variety of tools is available. We use
it almost automati ally ea h time we deal with stable distributions.
To introdu e this representation we rst investigate the s alar ase. We need some notations. Let (i )
be independent random variables with ommon exponential distribution IPfi > tg = e t , t  0 . Set

132

j
P

= i , j  1 , whi h will always have the same meaning throughout the book. The sequen e ( j )j1
i=1
denes 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 ;

for j  2 we have that

(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  ) =

as an easily be seen from Stirling's formula (

(j

)
(j )

 j1

for j > 

is the gamma fun tion).

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

denes 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 dening 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

If this is satised, the sum

1
P
j =1

1=p 

= 0:

is in parti ular onvergent in all Lr , r < p , and thus in probability.

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

 IPf9j  j0 ; jj j > tj 1=p g + t12

IPf9j  j0 ; jj j > tj 1=p g 

j j0

IE( j 2=p j2 Ifjj jtj1=p g ) :

1
IPfjj > tj 1=p g  p IE(jjp Ifjj>tj01=p g )
t
j j0
X

while, by (5.5), provided j0 is large enough, for some onstants C; C 0 ,

0

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)

+ C 0 IE(jjp Ifjj>ag ) + (C 0 + 1)IE(jjp Ifjj>"j01=p g ) :

Sin e IEjjp < 1 , we an let j0 tend to innity, then a also, and then " to 0 to get the on lusion.
In order to establish the theorem, we show that X satises 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 ,

1 X1 + 2 X2 has the same distribution as (j1 jp + j2 jp )1=p X :

134

1
P

1=p
ji ji ,
j =1
j )j 1 ; (j )j 1 g . Set ai

i = 1; 2 , where f( ji )j1 ; (ji )j1 g for i = 1; 2 are independent opies of

f(
= ji jp . Consider the non-de reasing rearrangement f j ; j  1g of the
ountable set f ji =ai ; j  1 ; i = 1; 2g . The sequen e f ji =ai ; j  1g orresponds to the su essive
times of the jumps of a Poisson pro ess N i of parameter ai , i = 1; 2 . It is easily seen that f j ; j  1g
orresponds then to the sequen e of the su essive times of the jumps of the pro ess N 1 + N 2 . But N 1 + N 2
is a Poisson pro ess of parameter a1 + a2 . Hen e f j ; j  1g has the same distribution as the sequen e
f j =(a1 + a2 ) ; j  1g . We have therefore the following equalities in distribution:
Write Xi =

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:

Now from (5.3) and independen e, we see that

lim tp IPf

t!1

1=p

j1 j > tg = IEjjp :

Hen e ombining these observations yields

lim tp IPfjX j > tg = IEjjp

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 innite 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 innitely 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 innite 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 innitely 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 

m is alled a spe tral measure of X (it is not ne essarily unique).

Before the proof, let us just mention that in the ase p = 2 we an simply take for m the distribution
of the Gaussian pro ess X .

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

where () denotes the parameter of

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

j Xtj . For every r < p , dene then a positive nite measure

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

Now, the total mass jmr j of mr is easily seen to be majorized by

0

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 satises sup jZt j < 1 almost surely. If we an then onstru t a spe tral measure m0
t2T
on IRT for Z , dene 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

 2IPfsup jXt j > ug  2IPfmax

jX j > ug
iN ti
t2T

 IPf p jmN j1=p

1=p

> ug :

137

We dedu e that jmN j

 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 full 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

kxkp dm(x) < 1

k
k 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

jm1 j = kxkp dm(x) :

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 dene 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 dened ( 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

z k > "g  IPf p kkp 1jmj1=p inf sup j

z2Fn f 2D

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 dene 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.

As in (5.7) we dene the parameter p (X ) = kxkp dm(x) 1=p . We an hoose further (following

Remark 5.4) the spe tral measure to be symmetri ally distributed on the unit sphere of B ; it is then unique
( f. (5.10) below). A typi al example of a Radon p -stable random variable with values in a Bana h spa e
P
B is of ourse given by an almost sure onvergent series X = i xi where (i ) is a standard p -stable
i
sequen e and (xi ) a sequen e in B . In this ase, the spe tral measure is dis rete and an be expli itely
des ribed. For example, sin e ne essarily sup ki xi k < 1 almost surely, we learned in the beginning of this
i
P
hapter that, when 0 < p < 2 , kxi kp < 1 . Let then m be given by
i

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

j 1=p kpp^1 < 1 :

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
))
:

By (5.5), the laim follows.

5.2. Integrability and tail behavior

We investigate the integrability properties of p -stable Radon random variables and almost sure bounded
pro esses, 0 < p < 2 . We already know from the real ase the severe limitations ompared to the Gaussian
ase p = 2 . This study ould be based entirely on the representation and the results of the next hapter
on sums of independent random variables substituting, as we just learned it, j to j . There is however
a rst a priori simple result whi h will be onvenient to re ord. This is Proposition 5.6 below. We then
use the representation, ombined with some results of the next hapter, for some pre ise information on tail
behaviors.
As usual, in order to unify our statement on Radon random variables and bounded pro esses, let us assume
we are given a Bana h spa e B with a ountable subset D in the unit ball of B 0 su h that kxk = sup jf (x)j
f 2D
for all x in B . X is a random variable with values in B if f (X ) is measurable for every f in D . It is

p -stable if ea h nite linear ombination

i fi (X ) , i 2 IR , fi 2 D , is a real p -stable random variable.

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

we get from Levy's inequality (2.7) that

1
4

 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

By Lemma 2.6 and identi al distribution it follows that

IPfkX k > t0 N 1=p g 

1
N

 1 . By a trivial interpolation, kX kp;1  21=p t0 . To show the moment

equivalen es, simply note that for 0 < r < p , if t0 = (4IEkX kr )1=r , then
whi h therefore holds for every 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 innite 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;
;

hen e the result.

We next turn to (5.10). By homogeneity, assume that p jmj1=p = 1 . We only establish that for every
losed subset set F of the unit sphere of B
lim sup tp IP
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

By (5.12) we will need only on entrate

on the rst probability on the right of this inequality. Assume thus

P

1
1=p
that kZ k > t , Z=kZ k 2 F and
Y
j  "t . Sin e
j
j =2

1=p

Z=

we dedu e from the triangle inequality that

1=p

1=p

Y1
1


Z

k k

and sin e (1 ")t < kZ k "t 



X
IP kX k > t ;
kX k 2 F
By independen e of

1


1=p

Y1 +

1
X

j =2

1=p

Yj ;

Y1 =kZ k 2 F" . Further

Y1

1=p 

kZ k

 kZ k + "t , we get that Y1 2 F2" . Summarizing,

 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

 (1 + ")IPfY1 2 F" g + " :

Sin e " > 0 is arbitrary, this proves the laim.

Along the same line of ideas, it is possible to obtain from the representation a on entration inequality of

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

with IEkX kr , r < p , instead of IEkX k .

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

By the triangle inequality,

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

(6.11) to see that

j =1

1
X
j 1=p j + IEj j 1=p

1=p

j =1

j 1=p j < 1 , and, while only

1
X


j =2

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 :

we an use the (martingale) quadrati inequality

2
1

X 1=p 

IE j
Yj 
j =1


1
X
j =1

j 2=p < 1 :

Combining these various estimates, the proof is easily ompleted.

As a parenthesis, note that if X is a p -stable random variable with parameter p (X ) , applying Levy's
inequalities on the representation yields
(5:13)

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

k(i )kp;1 = (sup tp Cardfi ; ji j > tg)1=p = sup i1=p i

i1

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

IPfk(Zi)k1;1 > tg = IPfsup nZn > tg

n1

1 
X
t

 IP Zn > n
n=1
!n
1 eX 
X
t

IP Zi >
:
n
n=1 n i

Assuming by homogeneity that sup u

u>0

IPfZi > ug  1 , we see that if t > 2e

IPfk(Zi )k1;1 > tg 

1  e n
X
n=1

 2te

while this inequality is trivial for t  2e . Lemma 5.7 is therefore established.

Note that the t p tail of IPfsup n1=p Zn > tg is a tually given by the largest term Z1 . The next terms
n1
are smaller and the pre eding proof indi ates indeed that for all t > 0 and integer k  1 ,
(5:14)

IPfsup n1=p Zn

nk

> 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

rearrangement of the sequen e (Zi ) , for every t > 0 and integer n  1

1
IPfn1=p Zn > e1=p kY kp tg  np :
t
Further

1
IPfsup n1=p Zn > (2e)1=p kY kp tg  kp
t
nk
for all k  1 and t > 0 .

Proof. Note that for every u > 0

1
X
i=1

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

 (ea=n)n (Lemma 2.5) with

u = (e=n)1=p kY kp t . The se ond inequality follows similarly from Lemma 5.8 and (5.14).

Let us note that the previous simple

statements yield an alternate proof of (5.6). Let us simply indi ate

P

1
1=p
how to establish that
j < 1 whenever IEjjp < 1 with these tools. For every t > 0 ,
j =1 j

p;1
8


1
<X
1=p 
IP 

j
j
>
:

j =1

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

symmetry and identi al distribution,

8


1
<X

1
=p

IP  j
j 
:

j =1

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

, 0 < r  1 , as a fun tion of

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

;:

This inequality is in fa t two-sided; we have indeed that

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 satises 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

from whi h (5.16) learly follows.

Sin e for r > p
X

sup ji i j 
i

ji i

jr

!1=r

 r p

1=r

k(i i )kp;1 ;

it is plain that (5.16) extends for r > p into

X



i

(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)

Assume by homogeneity that

IP

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 :

ji jp = 1 . For the upper bound, we note that for every t > 0 ,

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.

5.3. Comparison theorems

In this se tion, we are on erned with omparisons of stable pro eses analogous to the ones des ribed for
Gaussian and Radema her pro esses. It will appear that these annot in general be extended to the stable
setting. However, several interesting results are stil available. All of them are based on the observation at
the end of Se tion 5.1, namely that stable variables an be represented as onditionally Gaussian. Gaussian
te hniques an then be used to yield some positive onsequen es for p -stable variables, 0 < p < 2 . This
line of investigation will also be the key idea in Se tion 12.2.
We would like to start with inequality (5.13). We have noti ed that this inequality is two-sided for
0 < p < 1 . In some sense therefore the study of p -stable variables with 0 < p < 1 is not really interesting
R
sin e the parameter, that is the mere existen e of a spe tral measure m satisfying kxkpdm(x) < 1 ( f.
Remark 5.4), ompletely des ribes boundedness and size of the variable. Things are quite dierent when
1  p < 2 as the following example shows.
Assume that 1 < p < 2 , although the ase p = 1 an be treated ompletely similarly. Consider the
1 1=p
P
p -stable random variable X in IRN equipped with the sup-norm given by the representation
Yj
j
j =1

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

opies of Z . By denition, and sin e we onsider IRN with the sup-norm,

1

X 1=p
IE j
Yj = IE max jZi j
iN
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

j 1=p  (` + 1)1=q > t

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 innite 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

while, as a onsequen e of (5.16),

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 ) denes 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 innite). 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

k sup jXt j kp;1 = supfk sup jXt j kp;1 ; F nite in T g :

t2T

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

jYj (!; s) Yj (!; t)j2 A

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

yields, for all u > 0 ,

IPfd! (s; t)  udX (s; t)g  exp(  u  )

(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

(sin e N (U; d! ; "u=2)  N ). Now by partial integration



1

X


1=p
1=p

IEg sup 
gj Yj (t)
j
t2U j =1

0

Z

IE sup jXt j  p kg1kp 1 jmj

t2U
 41K
"u(log N )1=2 :

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

lim " log+ log N (T; dX ; ") = 0 ; p = 1) :

"!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 dene naturally
 F . Is this measure the spe tral measure of
the symmetri measure mU
mV on the unit sphere of E

 F ? The next theorem des ribes the positive answer to

some p -stable random variable with values in E

this question.

sequen e, is it the same for

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

kW kp;1  Kp (p (U )kV kp;1 + p (V )kU kp;1) :

Proof. The idea is again to use Gaussian randomization and to benet onditionally of the Gaussian
omparison theorems. Let (Yj ) (resp. (Zj ) ) be independent with values in E (resp. F ) and distributed
like mU =jmU j (resp. mV =jmV j ). From Corollary 5.5,
1
X
0
U =
j =1

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 satises
is almost surely onvergent in E

(5:22)

kW 0kp;1  Kp (kU 0 kp;1 + kV 0 kp;1 ) :

 F and spe tral measure mU

mV .
W 0 indu es a p -stable Radon random variable W with values in E

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

. Convergen e will follow by a simple limiting argument from (5.22).

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 ) ,

p (U )kV kp;1 + p (V )kU kp;1

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 denitive result, if any, should be in between. This question is still under
study.

Notes and referen es

157

As announ ed, our exposition of stable distributions and random variables in innite dimensional spa es
is quite restri ted. More general expositions based on innitely 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
simplied 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

Chapter 6. Sums of independent random variables

6.1

Symmetrization and some inequalities on sums of independent random variables

6.2

Integrability of sums of independent random variables

6.3

Con entration and tail behavior

Notes and referen es

159

Chapter 6. Sums of independent random variables

Sums of independent random variables already appeared in the pre eding hapters in on rete situations
(Gaussian and Radema her averages, representation of stable random variables). On the intuitive basis
of entral limit theorems whi h approximate normalized sums of independent random variables by smooth
limiting distributions (Gaussian, stable), one would expe t that results similar to those presented previously
should hold in a sense or another for sums of independent random variables. The results presented in this
hapter go in this dire tion and the reader will re ognize in this general setting the topi s overed before:
integrability properties, moment equivalen es, on entration, tail behavior, et . We will mainly des ribe
ideas and te hniques whi h go from simple but powerful observations like symmetrization (randomization)
te hniques to more elaborated results like those obtained from the isoperimetri inequality for produ t measures of Theorem 1.4. Se tion 6.1 is on erned with symmetrization, Se tion 6.2 with Homann-Jrgensen's
inequalities and moment equivalen es of sums of independent random variables. In the last and main se tion,
martingale and isoperimetri methods are developed in this ontext. Many results presented in this hapter
will be of basi use in the study of limit theorems later.
Let us emphasize that the innite dimensional setting is hara terized by the la k of the orthogonality
P
P
property IEj Xi j2 = IEjXi j2 , where (Xi ) is a nite sequen e of independent mean zero real random
i
i
variables. This type of identity or equivalen e extends to nite dimensional random ve tors and even to
Hilbert spa e valued random variables, but does not in general for arbitrary Bana h spa e valued random
variables ( f. Chapter 9). With respe t to the lassi al theory whi h is developed under this orthogonality
property, the study of sums of independent Bana h spa e valued random variables undertaken here requires
in parti ular to ir umvent this di ulty. Besides the di ult ontrol in probability (that will be dis ussed
further in this book), the various tools introdu ed in this hapter allow a more than satisfa tory extension
of the lassi al theory of sums of independent random variables. A tually, many ideas larify the real ase
(for example, the systemati use of symmetrization-randomization) and, as for the isoperimetri approa h
to exponential inequalities (Se tion 6.3), go beyond the known results.
Sin e we need not be on erned here with tightness properties, we present the various results in the setting
introdu ed in Chapter 2 and already used in the previous hapters. That is, let B be a Bana h spa e su h
that there exists a ountable subset D of the unit ball of the dual spa e su h that kxk = sup jf (x)j for
f 2D
all x in B . We say that a map X from some probability spa e (
; A; IP) into B is a random variable

160

if f (X ) is measurable for ea h f in D . We re all that this denition overs the ase of Radon random
variables or equivalently Borel random variables taking their values in a separable Bana h spa e.

6.1 Symmetrization and some inequalities on sums of independent random variables

One simple but basi idea in the study of sums of independent random variables is the on ept of symmetrization. If X is a random variable, one an onstru t a symmetri random variable whi h is \near" X
by looking at Xe = X X 0 where X 0 denotes an independent opy of X ( onstru ted on some dierent
probability spa e (
0 ; A0 ; IP0 ) ). The distributions of X and X X 0 are indeed losely related; for example,
for any t; a > 0 , by independen e and identi al distribution,
(6:1)

IPfkX k  agIPfkX k > t + ag  IPfkX

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)

inf IPfjf (X )j  agIPfkX k > t + ag  IPfkX

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)

IPfkX k > t + ag  IPfkX

X 0 k > tg + sup IPfjf (X )j > ag:

f 2D

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

(i) the sequen e (Sn ) onverges almost surely;

(ii) (Sn ) onverges in probability;
(iii) (Sn ) onverges weakly.

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 dened 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

Sn0 (!0 ) ! S S 0 (!0 ) almost surely:

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

IPf = k; kSN k > tg

IPf = k; kSN

Sk k  sg

 kinf
IPfkSN Sk k  sg
N

N
X
k=1

IPf = kg

whi h is the result.

The symmetrization pro edure is illustrated further in the next trivial lemma. As always, ("i ) is a
Radema her sequen e independent of (Xi ) . Re all that X is entered if IEf (X ) = 0 for all f in D .

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

Conversely, by the same arguments,

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

The lemma is proved.

Note that when the variables Xi are not entered, we have similarly that
IEF
and also
IEF


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

We also have that, for every t > 0 ,

IPfk

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

By the ontra tion prin iple (Theorem 4.4)

IE" F (k

"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

Lemma 6.3 shows that

IE

!!

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

The lemma is thus established.

6.2 Integrability of sums of independent random variables

Integrability of sums of independent ve tor valued random variables are based on various inequalities.
While isoperimetri methods, whi h are the most powerful ones, will be des ribed in the next se tion, we
present here some more lassi al and easier ideas. An important result is a set of inequalities due to J.
Homann-Jrgensen whi h is the ontent of the next statement. Some of its various onsequen es are
presented in the subsequent theorems.
k
P

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)

If the variables are symmetri , for s; t > 0 ,

IPfkSN k > 2t + sg  4(IPfkSN k > tg)2 + IPfmax kXi k > sg:
iN

(6:7)

Proof. Let  = inf fj  N ; kSj k > tg . By denition, 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

max kSk k  t + max kXi k + max kSk

iN
k N
j<kN

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:

Sin e max kSk Sj k  2 max kSk k , a summation over j = 1; : : : ; N yields (6.6).

j<kN
kN
Con erning (6.7), for every j = 1; : : : ; N ,

kSN k  kSj 1 k + kXj k + kSN Sj k;

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)

IE max kSk kp  2:4pIE max kXi kp + 2(4t0 )p :

iN
kN

If the Xi 's are moreover symmetri , and t0 = inf ft > 0; IPfkSN k > tg  (8:3p )
(6:9)

1g ,

then

IEkSN kp  2
3p IE max kXi kp + 2(3t0)p :

iN

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

IPfZi > tgdtp

0
XZ 1
p
p
 IE max Zi  0 +
IPfZi > tgdtp :

(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 denition 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 :

Lemma 6.9 then learly follows.

The announ ed equivalen e of moments is as follows.

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

where 0 = inf ft > 0; IPfkXik > tg  (8:3p )

i
Kp;q b .

1g

Xi IfkXi k0 g kq

1
and where the sign aKg
p;q b means that Kp;q b  a 

Proof. By the triangle inequality

IEk

Xi kp  2p IEk

Xi IfkXi k0 g 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 denition of 0 , we
an take t0 = 0 there so that
IEk

Xi IfkXi k>0 g kp  2
3p IE max

kXi kp :
i

Turning to the rst term and applying again Proposition 6.8, we an take

t0 = (8
3p IEk

Xi IfkXi k0 g kq )1=q :

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 IfkXi k0 g kq  2
3q 0q + 2:(3t0 )q

t0 = (8
3q IEk

Xi kp )1=p :

If we then draw from Lemma 6.9 the fa t that

IE max kXi kp  (1 + ) 1 0p
i

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

(ii) IE sup kXnkp < 1 .

n

Further, if (Sn ) onverges almost surely, (i) and (ii) are also equivalent to
(iii) IEk

Xi kp < 1

169

and in this ase (Sn ) onverges also in Lp .

Proof. That (i) implies (ii) is obvious. Let N be xed. By Proposition 6.8, t0 being dened 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 innity 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 innity. 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 dene 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

Apply then Theorem 6.11 to the sequen e (Yi ) in `1(B ) .

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

IPfkSN k > 2t + ag  (2IPfkSN k > tg)2 :

Let t0 to be spe ied in a moment and dene the sequen e tn = 2n (t0 + a) a . The pre eding inequality
indi ates that, for every n ,
IPfkSN k > tn g  (2IPfkSN k > tn 1 g)2 :
Iterating, we get that

n+1 2
(IP

IPfkSN k > tn g  22

fkSN k > t0 g)2n :

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

IE exp kSN k  exp(t) + 2 exp((t + a))IPfkSN k > tgIE exp kSN k:

Proof. Let as usual  = inf fk  N ; kSk k > tg . We an write

IE exp kSN k  exp(t) +

N Z
X
k=1

f =kg

exp kSN kdIP:

171

On the set f = kg ,

kSN k  kSk 1 k + kXk k + kSN Sk k  t + a + kSN Sk k

so that, by independen e,
Z

f =kg

exp kSN kdIP  exp((t + a))IPf = kgIE exp kSN

By Jensen's inequality and mean zero, IE exp kSN

k,
N
X

k=1

Sk k:

Sk k  IE exp kSN k ( f. (2.5)), and, summing over

IPf = kg = IPfmax kSk k > tg  2IPfkSN k > tg

kN

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

22p (tp + IE max kXi kp )

iN
5:
IEkSN kp

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

6.3. Con entration and tail behavior

This se tion is mainly devoted to appli ations of isoperimetri methods (Theorem 1.4) to integrability
and tail behavior of sums of independent random variables. One of the obje tives will be to try to extend
to the innite dimensional setting the lassi al (quadrati ) exponential inequalities like those of Bernstein,
Kolmogorov (Lemma 1.6), Prokhorov, Bennett, Hoeding, et . (Of ourse, the la k of orthogonality for es
to investigate new arguments, like therefore isoperimetry.) To state one, and for the matter of omparison,
let us onsider Bennett's inequality. Let (Xi ) be a nite sequen e of independent mean zero real random
P
variables su h that kXi k1  a for all i ; then, if b2 = IEXi2 , for all t > 0 ,
i

(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

Ai the  -algebra generated by the variables

Let (Xi )iN be integrable random variable in B . Denote by

X1 ; : : : ; Xi , i  N; A0 the trivial algebra. Write as usual SN =

di = IEAi kSN k IEAi

N
P

i=1

Xi and set, for ea h i ,

kSN k:

N
P
(di )iN denes 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

kIEAi d2i k1  IEkXi k2 :

1

Proof. Independen e ensures that

di = (IEAi

IEAi 1 )(kSN k

kSN Xi k)

and the rst inequality of the lemma already follows from the triangle inequality sin e

jdi j  (IEAi + IEAi )(kXi k) = kXi k + IEkXi k:

1

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)

IEj kSN k IEkSN kj2 

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 innite 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)

IPfj kSN k IEkSN k j > tg  2 exp

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)

IPfj kSN k IEkSN k j > tg  2 exp( tq =Cq aq )

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

i xi k j > tg  2 exp( tq =Cq k(xi )kqp;1 )

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

H (A; q; k) = fx 2 B N ; 9x1 ; : : : ; xq 2 A; Cardfi  N ; xi 62 fx1i ; : : : ; xqi gg  kg:

Then, if IPfXX 2 Ag  1=2 and k  q ,
(6:16)

IP fXX 2 H (A; q; k)g  1


K0 k
:
q

Re all that for onvenien e the numeri al onstant K0 is assumed to be an integer.

On H (A; q; k) , the sample XX is ontrolled by a nite number q of points in A provided k values
are negle ted. The isoperimetri inequality (6.16) pre isely estimates, with an exponential de ay in k , the

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

and ui = Xi IfkXi ks=kg ; i  N:

Before turning to the proof of Theorem 6.17, let us make some omments in order to larify the statement.
First note that M and m dened from trun ated random variables ui are easily majorized (using the
ontra tion prin iple for M ) by the same expressions with Xi instead of ui (provided Xi 2 L2(B ) ).
(6.17) is often good enough for appli ations in this simpler form. A tually, note also that when we need not

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.

Proof. We de ompose the proof step by step.

1 st step. This is an elementary observation on trun ation and large values. Re all that if no trun ations are
k
P
needed, this step an be omitted. If (Xi )iN are (a tually arbitrary) random variables and if s  kXi k ,
i=1
then

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

whi h gives the result.

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 denition j  k and x1 ; : : : ; xq 2 A su h that

f1; : : : ; N g = fi1; : : : ; ij g [ I
where I =

q
S

fi  N ; Xi = x`i g . Together with the rst step we an then write, if s  P kXi k ,

i=1

`=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

"i xi k > 2IEk

"i xi k + tg  2 exp( t2 =82 ):

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

A1 = fx = (xi )iN ; IEk

N
X

"i xi Ifkxi ks=kg k  4M g;

i=1
N
X

A2 = fx = (xi )iN ; sup ( f 2(xi )Ifkxi ks=kg )1=2  4mg:

f 2D i=1
The very denitions of M and m learly show that IPfXX 2 Ag  1=2 so that we are in a position to apply
P
(6.21). Observe now that Radema her averages are monotone in the sense that IEk i xi k is an in reasing
i2J
fun tion of J  IN . We use this property in the following way. By denition of I , for ea h i 2 I , we an
x 1  `(i)  q with Xi = x`i (i) . Let I` = fi; `(i) = `g , 1  `  q . We have that



X

IE" "i ui

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 denition 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

"i x`i Ifkx`i ks=kg  4qM :

Similarly, but with sums of squares (that are also monotone),

X

sup f 2 (ui )  16qm2:

f 2D i2I
Theorem 6.17 now learly follows from these observations ombined with the estimate on Radema her averages (6.22) and (6.21).

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

"i Xi k > 2qM + sg 


k
X
K0 k
+ IPf kXi k > sg:
q
i=1

180

For the proof we let

A = fx = (xi )iN ; IEk

N
X
i=1

"i xi k  2M g

so that, by symmetry, IPfXX 2 Ag  1=2 . If XX 2 H (A; q; k) , there exist j  k and x1 ; : : : ; xq in A su h

that f1; : : : ; N g = fi1; : : : ; ij g [ I where I =
IE" k

N
X
i=1

q
S

fi  N ; Xi = x`i g . Then, as in the third step,

`=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 denition 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

IE exp(jSN j(log+ jSN j)1+ ) =

N
X
k=0

exp(k(log+ k)1+ )IPfjSN j = kg

 exp(N (log N )1+ )

N
Y
i=1

whi h thus goes to innity with N .

The following theorem extends to the ve tor valued ase this strong integrability property.

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

IE exp kS k log+ kS k < 1:

If the Xi 's are merely entered, this holds for all  < 1=2a .

Proof. For every N , set SN =

N
P
i=1

Xi . We show that

sup IE exp kSN k log+ kSN k < 1

N

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 ,

IPfkSN k > 8qM + ka + tg 




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

Then, for u  u0 (M; a; ) large enough, k  q and

IPfkSN k > ug  IPfkSN k > 8qM + ka + tg

 exp( (1 3)a 1 u log u) + 2 exp( a 1 u log u):

Sin e this is uniform in N the on lusion follows. If the random variables are only entered, use for example
the symmetrization Lemma 6.3. Note again that sup IE exp kSN k log+ kSN k < 1 as soon as the sequen e
N
(SN ) is bounded in probability.
Theorem 6.19 is losely related to the best order of growth in fun tion of p of the onstants in the
Lp -inequalities of J. Homann-Jrgensen (Proposition 6.8). This is the ontent of the next statement.

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

Proof. We may and do assume the Xi 's , i  N , to be symmetri . If r is an integer, we set

XN(r) = kXj k whenever kXj k is the r -th maximum of the sample (kXi k)iN (ties being broken by the
N
P

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 ;

from whi h we dedu e, iterating, that

IPfXN(r) > ug  (IPfXN(1) > ug)r  u rp :
(With some worse irrelevant numeri al onstants, the same result may be obtained, perhaps more simply,
from the su essive appli ation of Lemmas 2.5 and 2.6.) Let u  1 be xed. We have IPfXN(2) > u2=3g 
u 4p=3 . Further, if ` is the smallest integer su h that 2`  u2 ,
IPfXN(`) > 2g  2 `p  u 2p  u 4p=3 :
Hen e, the omplement of the set fXN(1)  u ; XN(2)  u2=3 ; XN(`)  2g has a probability smaller than
IPfXN(1) > ug + 2u 4p=3 . We now apply (6.24). Let k be the smallest integer  u . On the set fXN(1) 
u ; XN(2)  u2=3 ; XN(`)  2g ,
k
X
r=1

XN(r)  u + `u2=3 + 2(k 1)  Cu

183

for some onstant C . If we now take in (6.24) q to be the smallest integer

from the pre eding that
IPfk

 exp

u log

N
X
i=1

 pu; s = Cu; t = u , it follows

Xi k > 2(C + 10)ug

pu 
K0

+ IPfXN(1) > ug + 5u 4p=3 + 2 exp

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 di  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 d2i 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 d2j ). 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 d2i

`2

It will be enough to show that for some onstants a; depending on  only, if u  then
(6:27)

IPf

ru

XN(r) > aug  exp( u):

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

XN(r) > aug  exp( u ):

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
`

L = fs  `  n; XN(2 ) > 2 `(4 log 4`+1)1= g:

Then

P ` (2` )
2X

`2L
2m (m

> au

C > au=2 for u large enough. For `

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

IPf8` 2 L; XN(2 ) > a` g 

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

Sin e ` 2 L , we have (a` = `)

learly have that

`2L 2` 2 <iN
(a` =di ) ) , so

IPfkXi k > a` g 

j ` 2

j ` 2

IPfkXik > a` gA

2j+1 exp( (a` = j ) ):

 (a` = ` ) =2 + log 4j+2 and sin e j+1  j 2

=2 ; 
j

(a` = j )  (a` = `) =4 + log 4j+2

for j  ` 2 provided s has been taken large enough. It follows that

X

12`

2j+1 exp( (a` = j ) ) 

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

 (au=40) , and, if we take for example a = 640 , we get that

`

IPf8`  n; XN(2 ) > a` g  exp( 2t ):

The number of possible hoi es for the sequen e (a` )`n is less than exp u for large enough. From this,
(6.27) follows and the proof of (6.26) is omplete.

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

for 2 <  < s  1 (See [Ta11).

Another remark on erns the possibility in the three step pro edure of the proof of Theorem 6.17 to let
s , and at some point t too, be random. One random bound for the largest values is given by the inequaliity
k
X
i=1

kXi k  k1= k(Xi )k;1 ;

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

Let A = f(xi ); IEk i xi k

i
Radema her averages,

Xi k > 2qM + (2 + 1)k1= k(Xi )k);1 g

+

fXX2H g

IP fk

i2I

i Xi k > 2qM + k1= k(Xi )k;1 gdIPX :

 2M g so that IPfXX 2 Ag  1=2 . By denition of I and monotoni ity of

IE k

i2I

i Xi k  2qM:

Now, by inequality (6.15) onditionally on the Xi 's,

IP" fk

i2I

"i Xi k > 2qM + k1= k(Xi )k;1 g  2 exp( k=C):

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.

Notes and referen es

The study of sums of independent Bana h spa e valued random variables and the introdu tion of symmetrization ideas were initiated by the work of J.-P. Kahane [Ka1 and J. Homann-Jrgensen [HJ1, [HJ2.
Se tions 6.1 and 6.2 basi ally follow their work ( f. [HJ3).
Inequality (6.2) has been noti ed in [Ale1 and [V-C1. Theorem 6.1 is due to K. It^o and M. Nisio [I-N
( f. Chapter 2), extending the lassi al result of P. Levy on the line. Lemma 6.2 is usually referred to as
Ottaviani's inequality and is part of the folklore. Proposition 6.4 was established by M. Kanter [Kan as an
improvement of various previous on entration inequalities of the same type. It turns out to be rather useful
in some ases ( f. Se tion 10.3). Lemmas 6.5 and 6.6 are easy variations and extensions of the ontra tion
prin iple and omparison properties (see further [J-M2, [HJ3).
Proposition 6.7 is due to J. Homann-Jrgensen [HJ2 who used it to establish Theorem 6.11 and Corollary
P
6.12. Proposition 6.8 is impli it in his proof. Applied to a sum i xi where (i ) is a standard p -stable
i
sequen e, it yielded histori ally the rst integrability and moment equivalen es results for ve tor valued stable
random variables. Lemma 6.9 is lassi al and is taken in this form from [G-Z1. In this paper, E. Gine and J.
Zinn establish the moment equivalen es of sums of independent (symmetri ) random variables of Proposition
6.10. Remark 6.13 has been mentioned to us by J. Zinn. Integrability of sums of independent bounded ve tor
valued random variables has been studied by many authors. Iteration of Homann-Jrgensen's inequality
has been used in [J-M2, [Pi3 and [Kue5 for example. Proposition 6.14 is due to A. de A osta [A 4 while
the ontent of Remark 6.15 is taken from the paper [A-S.
Among the numerous real (quadrati ) exponential inequalities, let us mention the ones by S. Bernstein
( f. [Ho), A. N. Kolmogorov [Ko1 ( f. [Sto), Y. Prokhorov [Pro2 ( f. [Sto), G. Bennett [Ben, et . We
refer to the interesting paper by W. Hoeding [Ho for omparison between these inequalities and further
developments. See also an inequality by D. K. Fuk and S. V. Nagaev [F-N ( f. [Na2, [Yu2). The key

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

Chapter 7. The strong law of large numbers

7.1

A general statement for strong limit theorems

7.2

Examples of laws of large numbers

Notes and referen es

190

Chapter 7. The strong law of large numbers

In this hapter and the next one, we present the strong law of large numbers and the law of the iterated
logarithm respe tively for sums of independent Bana h spa e valued random variables. In this study, the
isoperimetri approa h of Se tion 6.3 demonstrates its e ien y. We only investigate extensions to ve tor
valued random variables of some of the lassi al limit theorems like here the laws of large numbers of
Kolmogorov and Prokhorov.
One main feature of the results we present is the equivalen e, under lassi al moment onditions, of the
almost sure limit theorem and the orresponding property in probability. In a sense, this an be seen as

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

7.1. A general statement for strong limit theorems

Let (Xi )i2IN be a sequen e of independent random variables with values in B . Let also (an ) be a
sequen e of positive numbers in reasing to innity. We study the almost sure behavior of the sequen e
(Sn =an ) . As des ribed before, su h a study in the innite dimensional setting an only be developed
reasonably if one assumes some (ne essary) boundedness or onvergen e in probability. Re all that a sequen e
(Yn ) is bounded in probability if for every " > 0 there exists A > 0 su h that for all n
IPfkYnk > Ag < ":
This kind of hypothesis will be ommon to all limit theorems dis ussed here. It allows in parti ular a simple
symmetrization pro edure summarized in the next trivial lemma.

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 dening 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

Xi IfkXi k nan g =an kp)

is bounded (resp. onvergent to 0 ).

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

Xi IfkXi k nan g kp  2:3pIE(max

kXi kp IfkXi k n ang ) + 2(3t0 (n))p
in

t0 (n) = inf ft > 0 : IPfk

n
X
i=1

Xi IfkXi k n ang k > tg  (8:3p )

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

IPfmax kXi k > tgdtp

in
0 Z

 2apn IPfkSnk > tan gdtp :
0

kp I

fkXi k nan g ) 

The on lusion follows by dominated onvergen e.

A lassi al and important observation in the study of strong limit theorems for sums Sn of independent
random variables is that it an be developed in quite general situations through blo ks of exponential size.
More pre isely, assume there exists a subsequen e (amn ) of (an ) su h that for ea h n
(7:1)

amn  amn+1  Camn +1

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 dene, 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`

Let now n and j  `0 be su h that mj

Xi (!)k  "am` :

< n  mj . Then

kSn (!)k  kSm` (!)k +

0

1 +1

j 1
X

`=`0 i2I (`)

j
X
 kSm`0 1 (!)k + " am`
`=1

 kSm` (!)k + "an C

0

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;

XI(r(n) ) > "amn g < 1

for some " > 0 . Set then, for ea h n ,

Mn = IEk

i2I (n)

Xi IfkXi k"amn =kn g k;

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)

exp( 2 a2mn =n2 ) < 1;

we have
(7:5)

IPfk

i2I (n)

Xi k > 102("; ; q; L)amn g < 1

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 satised, 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)

Xi k > amn g < 1:

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)

fn (Xin) > amn g < 1:

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)

Sin e L = 0 , it follows from Lemma 7.2 and orthogonality that

large enough,

amn  K ( )(

i2I (n)

IEfn2 (Xin ):

i2I (n)

IEfn2 (Xin )=a2mn

IEfn2 (Xin ))1=2 :

Lemma 8.1 then exa tly implies that

X

IPf

i2I (n)

fn (Xin ) > amn g  exp( (1 + )2 a2mn =n2 )

! 0 ; thus, for all 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
fullled. 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)

IPf max kXi k > uamn g < 1;

i2I (n)

and that, for some v > 0 , all n and t; 0 < t  1 ,

 

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)

IPfkXi k > tvamn g)2s

 (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. Dene 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)

from whi h it follows that, for every n ,

IP

(k
n
X

r=1

XI(r(n) )

q
> 2s u + v log
K0

 1!

amn

 IPfXI(1)(n) > uamn g + IPfXI(2(ns)) > t(n)vamn g:

The lemma is therefore established.

Remark 7.7. Assume that (7.7) of Lemma 7.6 is strengthened into

1
IPf max kXi k > tvamn g  p n
t
i2I (n)
for some v > 0 , all n and t; 0 < t  1 , and some p > 0 . Then the pre eding proof an be easily improved
to yield that Lemma 7.6 holds with a sequen e (kn ) satisfying
X

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

2n IPfkX k > ua2n g < 1;

198

for all n and 0 < t  1

1
IPf max kXi k > tua2n g  2n IPfkX k > tua2n g  2p n
t
i2I (n)
where

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  2n+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 ,

2n IPfkX k > tua2n g  2n  4t 2p 2 n:

The on lusion follows with n = 4 max(n ; 2 n):

Noti e that Lemma 7.8 enters the setting of Remark 7.7.

7.2. Examples of laws of large numbers

This se tion is devoted to appli ations to some lassi al strong laws of large numbers for Bana h spa e
valued random variables of the pre eding general Theorem 7.5. Issued from sharp isoperimetri methods,
this general result is a tually already of interest on the line as will be lear from some of the statements we
will obtain here. The results we present follow rather easily from Theorem 7.5.
We do not seek the greatest generality in normalizing sequen es and (almost) only deal with the lassi al
strong law of large numbers given by an = n . That is, we usually say that a sequen e (Xi ) satises the
strong law of large numbers (in short SLLN) if Sn =n ! 0 almost surely . We sometimes speak of the
weak law of large numbers meaning that Sn =n ! 0 in probability. When thus an = n , we may simply
take mn = 2n as the blo king subsequen e. The appli ations we present deal with the independent and
identi ally distributed (idd) SLLN and the SLLN of Kolmogorov and Prokhorov as typi al and lassi al
examples. Further appli ations an easily be imagined.
The rst theorem is the ve tor valued version of the SLLN of Kolmogorov and Mar inkiewi z-Zygmund
for iid random variables. Although this result an be dedu ed from Theorem 7.5, there is a simpler argument

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

IPfkX k > n1=p g < 1

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
satises 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

where I (n) = f2n

st

IPfk

i2I (n)

Xi k > "2n=pg < 1

1 + 1; : : : ; 2n g .

proof. For ea h n , set ui = ui (n) = Xi IfkXi k2n=pg ; i 2 I (n) . We have:

X

IPf9i 2 I (n) : ui 6= Xi g 

2n IPfkX k > 2n=p g

whi h is nite under IEkX kp < 1 . It therefore su es to show that for every " > 0
X

By Lemma 7.2, we know that

IPfk

i2I (n)

ui k > "2n=pg < 1:

1
lim
IEk
n!1 2n=p

i2I (n)

ui k = 0:

200

Hen e, it is su ient to prove that for all " > 0

X

IPfk

i2I (n)

ui k IEk

i2I (n)

ui k > "2n=p g < 1:

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

whi h is nite under IEkX kp < 1 . This on ludes the 1

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

2n IPfkX k > "2n=pg < 1:

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

XI(r(n) ) > 5"2n=pg < 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)

> 102(5" + 2K0) < 1:

;

The proof is therefore omplete.

At this point, we open a digression on the hypothesis Sn =n1=p ! 0 in probability in the pre eding
theorem on whi h we shall a tually ome ba k in Chapter 9 on type and otype of Bana h spa es. Let us
assume we deal here with a Borel random variable X with values in a separable Bana h spa e B . It is

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

hoose then = (") > 0 su h that IEjX jp 1 p = " . If 1  p < 2 , by entering,



n
X


IE(Xi IfjXi jn1=p g )




i=1

 nIE(jX jIfjX j>n =pg )

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

IE(jXi j2 IfjXi jn1=p g )

by Chebyshev's inequality. But now, by integration by parts,

n1 2=p IE(jX j2 IfjX jn1=p g ) 

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

! 0 almost surely if and only if IEkX kp < 1

(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

if and only if IEkX k < 1 and IEX = 0 .

The proof of this result presented as a orollary of Theorems 7.5 and 7.9 is of ourse too ompli ated and
a rather elementary dire t proof an be given (see e.g. [HJ3). It is however instru tive to dedu e it from
general methods.
The pre eding elementary approximation argument does not extend to the ase 1 < p < 2 . It would
require an inequality like


X p
IE Yi

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 denes 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)

Dene k = n whenever 2n 1  k < 2n and take X to be the random variable in 0 with oordinates

(k k )k1 . Then X is learly symmetri and almost surely bounded. However (Sn =nn ) does not tend to
0 in probability. Indeed, denote by (k;i )i independent opies of (k ) . Set further, for ea h k; n  1 ,

En;k =

n
\

fk;i = 1g; An =

i=1

k2n

En;k :

Clearly IP(En;k ) = (log(k + 1)) n and

IP(An ) = 1

k2n

Y 

)=1
IP(En;k

k2n

1
:
(log(k + 1))n

Therefore, as is easily seen, IP(An ) ! 1 . Now, if (ek ) is the anoni al basis of 0 ,

!
1 1 X
n
Sn X
=

e:
nn k=1 nn i=1 k;i k k
On An ,

p
n

kSnk  max 1  X
1
n



=p :

k
k;i 
k2n n
n




Hen e, sin e n ! 0 , for every " > 0 ,



i=1


kSn k > "

lim
inf IP
n!1
nn

 liminf
IP(An ) = 1
n!1

whi h establishes the laim.

After having extended to the ve tor valued setting the iid SLLN, we turn to the SLLN for independent
but not ne essarily identi ally distributed random variables. Here again, we restri t to lassi al statements

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)

Assume further that for some v > 0 , all n and t; 0 < t  1 ,

 

1
IPf max kXi k > tv2n g  n exp
i2I (n)
t

(7:10)
where
(7:11)

P s

< 1 for some s > 0 , and that, for ea h > 0 ,

X

exp  22n = sup

IE(f 2 (Xi )IfkXi k2n g )A < 1
f
2
D
n
i2I (n)

(where we re all that I (n) = f2n

1 + 1; : : : ; 2n g ).

Sn
n

Then the SLLN holds, i.e.

! 0 almost surely:

Proof. We simply apply Theorem 7.5 and Lemma 7.6. If we dene 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

IPf max kXi k > u2ng < 1:

i2I (n)
n

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)

It follows obviously that

"

q
> 102 2s u + v log
K0
8


<
X

IP
Xi
:
n
i2I (n)

 1!

9
=

+ q 2n < 1:
;

9
=

> "2n < 1

;

for every " > 0 , hen e the on lusion by Lemma 7.3.

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

for some p > 0 and s > 0 , the SLLN is satised.

Proof. Simply note that, for every n ,

X

i2I (n)

IPfkXi k > tv2n g 

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)

IEkXi kp in (7.10 0 ) an also be

IPfkXik > tg:

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 satised 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)

for every n and f in D .

One feature of the isoperimetri approa h at the basis of Theorems 7.5 and 7.12 is a ommon treatment of
the SLLN of Kolmogorov and Prokhorov. As easily as we obtained Theorem 7.12 from the pre eding se tion,
we get an extension of Prokhovov's theorem to the ve tor valued ase. We still work under onditions (7.9)
and (7.11) but reinfor e (7.8) in

kXi k1  i=LLi for ea h i

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 satised if and only if

Sn
n
and

! 0 in probability

exp  22n = sup

IEf 2 (Xi )A < 1
f
2
D
n
i2I (n)

for every > 0 (where I (n) = f2n

1 + 1; : : : ; 2n g ).

Notes and referen es

Various expositions on the strong laws of large numbers (SLLN) for sums of independent real random
variables may be found in the lassi al works e.g. [Le1, [Gn-K, [Re, [Sto, [Pe et . In parti ular, Lemmas
7.1 and 7.3 are learly presented in [Sto and the ve tor valued situation does not make any dieren e.
This hapter based on the isoperimetri approa h of [Ta11, [Ta9 presented in Se tion 6.3 follows the
paper [L-T5. In parti ular, Theorem 7.5 and Lemma 7.6 are taken from there.
The extension of the Mar inkiewi z-Zygmund SLLN (Theorem 7.9) is due independently to A. de A osta
[A 6 and T.A. Azlarov and N. A. Volodin [A-V, with the rst proof. The lassi al iid SLLN of Kolmogorov
in separable Bana h spa es (Corollary 7.10) was established by E. Mourier ba k in the early fties [Mo (see
also [F-M1, [F-M2). A simple proof may be found in [HJ3. The non-separable version of this result whi h
is not dis ussed in this text has given re ently rise to many developments related to measure theory; see for

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

Chapter 8. The law of the iterated logarithm

8.1 The law of the iterated logarithm of Kolmogorov
8.2 The law of the iterated logarithm of Hartman-Wintner-Strassen
8.3 On the identi ation of the limits
Notes and referen es

210

Chapter 8. The law of the iterated logarithm

This hapter is devoted to the lassi al laws of the iterated logarithm of Kolmogorov and HartmanWintner-Strassen in the ve tor valued setting. These extensions both enlighten the s alar statements and
des ribe various new interesting phenomena in the innite dimensional setting. As in the previous hapter
on the strong law of large numbers, the isoperimetri approa h proves to be an e ient tool in this study.
The main results des ribed here show again how the strong almost sure statement of the law of the iterated
logarithm redu es to the orresponding (ne essary) one in probability, under moment onditions similar to
the ones of the s alar ase.
As the law of large numbers and the entral limit theorem, the law of the iterated logarithm (in short
LIL) is a vast subje t in Probability theory. We only on entrate here on the lassi al (but typi al) forms
of the LIL for sums of independent Bana h spa e valued random variables. We rst des ribe , starting from
the real ase, the extension of Kolmogorov's LIL. In Se tion 8.2, we des ribe the Hartman-Wintner-Strassen
form of the (iid) LIL in Bana h spa e and hara terize the random variables whi h satisfy it. A last survey
paragraph is devoted to a dis ussion on various results and questions about identi ation of the limits in the
ve tor valued LIL.
In all this hapter, if (Xi )i2IN is a sequen e of random variables, we set, as usual, Sn = X1 +


+ Xn ,

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 innity. Assume further that for some sequen e (i ) of positive
number tending to 0 ,

kXi k1  i si =(LLs2i )1=2

for every i :

Then, Kolmogorov's LIL state that, with probability one,

(8:1)

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

 exp[ (1 + )t2 =2b2 :

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 innity. Assume further that for some sequen e (i ) of
f 2D i=1
positive numbers tending to 0 and all i
(8:2)

kXi k1  i si =(2LLs2i )1=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

Xi0) where (Xi0 ) is

 2sn ;

we an assume by Lemma 7.1 that we deal with symmetri variables. For ea h n , dene 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:

By the Borel-Cantelli lemma, we need show that

X

kSnk > M g < 1 :

max
mn 1 <mmn sm um

IPf

Using the pre eding and Levy's inequality (2.6) (in reasing M ), it su es to prove that
X

IPfkSmn k > Msmn umn g < 1 :

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

whi h gives the result sin e u2mn  2LL4n .

Note that this proof shows (8.4) already when the sequen e (Sn =sn un) is only bounded in probability,
whi h is of ourse ne essary.
We now turn to the more deli ate proof that the lim sup is a tually equal to 1 . We begin by showing
it is less than 1 . Sin e Sn =sn un ! 0 in probability, observe rst that by symmetrization, Lemma 7.2 and
entering (Lemma 6.3), we have both that

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)

where as usual ("i ) denotes a Radema her sequen e independent of (Xi ) .

For  > 1 , let mn for ea h n be the smallest m su h that sm > n . As before for  = 2 we have that

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)

IPfkSmn k > (1 + ")smn umn g < 1 :

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

> (1 + 2)g < 1 :

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

> (1 + 2)g  IPfm max

kSmk > (1 + 2)smn 1 umn
n 1 <mmn

 2IPfkSmn k > (1 + )smn umn g :

1

Now, for > 0 , there exist " > 0 and  > 1 su h that if mn is dened from  as before, for all large n ,
(1 + )smn 1 umn

 (1 + ")smn umn :

214

So, it is enough to show (8.6).

The proof is based on a nite dimensional approximation argument through some entropy estimate. Let
now " > 0 and  > 1 be xed. For f; g in D , and every n , set

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 , dene

mn
X

1
n =
IE "i Xi

smn umn i=1

whi h tends to 0 when n goes to innity by (8.5).

Lemma 8.3. For every n large enough,

N (D; dn2 ; ")  exp(n u2mn ) :
Proof. Suppose this is not the ase. Then, innitely often in n , there exists Dn
any f 6= g in Dn , dn2 (f; g)  " and

 D su h that for

CardDn = [exp(n u2mn ) + 1 :

By Lemma 1.6 and (8.2), for h = f
(

IP

mn
1 X

s2mn i=1

"2
i) <
2

h2 (X

For n large enough,

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

It follows that, innitely often in n ,

(

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

for all n large enough, and thus, by (8.2), i  mn ,

! 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, innitely 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

gn (f ); f 2 Dg . The main observation on erning Dn0 is that

sup

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

> M"smn umn < 1 :

216

The proof of (8.6) will therefore be omplete if we show that

X



mn
X


sup  g(Xi )

g2Dn 

IP

i=1

> (1 + ")smn umn < 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

> (1 + ")smn umn

 2 CardDn exp( (1 + ")LLs2mn ) ;

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)

> (1 ")2 2 sup

IEf 2(Xi )A
f 2D i2I (n)

LL  sup

f 2D i2I (n)

11=2

IEf 2 (Xi )A

where I (n) denotes the set of integers between mn

in n ,

kSmn k 

X


Xi

i2I (n)
0

1+1

9
>
=

i.o. in n = 1
>
;

and mn . Then, on a set of probability one, i.o.

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)

 (1 ")2 [2(s2mn s2mn )LL(s2mn s2mn )1=2 2smn umn

1

2smn 1 umn
1

217

and, for n large, this lower bound behaves like

"

")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

IEfn2(Xi )  (1 ") sup

IEf 2 (Xi ) :
f
2
D
i2I (n)
i2I (n)
Thus, the probability in (8.7) is bigger than
IP

8
>
< X
>
:i2I (n)

fn(Xi ) > (1 ") 2

i2I (n)

IEfn2 (Xi )LL 

111=2

i2I (n)

IEfn2 (Xi )AA

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)

where it has been used that

0

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.

8.2. The law of the iterated logarithm of Hartman-Wintner-Strassen

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 ,

Yi = Xi IfjXi ji (i=LLi)1=2 g

IE(Xi IfjXi ji (i=LLi)1=2 g ) ;

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 denes 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

and therefore (8.8) holds.

The ne essity of IEX 2 < 1 an be obtained from a simple symmetry argument. By symmetrization, we
may and do assume X to be symmetri . Let > 0 and dene

X = XIfjX j g XIfjX j> g :

Sin e X is symmetri , X has the same distribution as X . Assume now the sequen e (Sn =an ) is almost surely bounded. By the zero-one law, there is a nite number M su h that, with probability one,
lim sup jSn j=an = M . Now 2XIfjX j g = X + X and sin e X has the same law as X ,
n!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 innity 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

> Ma2n < 1 :

Sin e IEX 2 < 1 , X 2 satises the law of large numbers and hen e, by the Borel-Cantelli lemma again
(independent ase),
(
)
X

IP

2n
X

i=1

We now simply write that, for every n ,


( n
2
X


IP  "i Xi 



i=1

> Ma2n

 IP

Xi2 > 2n+1 IEX 2 < 1 :

( n
2
X

i=1

Xi2

> 2n+1IEX 2


( 2n
X


+ IP  "i Xi  >



i=1

Ma2n ;

2n
X

i=1

Xi2  2n+1 IEX 2 :

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

dIP  2 exp( M 2LL2n=2IEX 2 ) :

If we then hoose M 2 > 2IEX 2 , the laim is established.

This simple approa h, whi h redu es in a sense the iid LIL to the SLLN through Gaussian exponential
estimates, an be pushed further in order to show the ne essity of IEX 2 < 1 when the sequen e (Sn =an )
is almost surely bounded. One an use the onverse subgaussian inequality (4.2). Alternatively, and without
going into the details, it is not di ult to see that if (gi ) is an orthogaussian sequen e independent of (Xi ) ,
the two non-random lim sup 's


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

an then easily be used to he k the ne essity of IEX 2 < 1 ( f. [L-T2).

These rather easy ideas des ribe some basi fa ts in the study of the LIL like exponential estimates of
Gaussian type, blo king arguments, the onne tion of the LIL with the law of large numbers (for squares)
and of ourse the entral limit theorem through the introdu tion of Gaussian randomization. In fa t, the LIL
an be thought of as some almost sure form of the entral limit theorem. The framework of these elementary
observations will lead later to the innite dimensional LIL.
The pre eding sket hy proof of Hartman-Wintner's LIL of ourse only provides qualitative results and
not the exa t value of the lim sup in (8.8). Simple proofs of (8.8) have been given in the literature; they
in lude the more pre ise and so- alled Strassen's form of the LIL whi h states that, if and only if IEX = 0
and IEX 2 < 1 ,
(8:10)

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 satises 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 dene this property as the
bounded LIL. Indeed, we might as well say that X satises 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 satises the ompa t LIL and it will turn out that in innite dimension, bounded and ompa t
LIL are not equivalent. A tually, Strassen's formulation (8.10) and (8.11) even suggests a third denition:
X satises 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 denition 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.

X is therefore a xed Borel random variable on some probability spa e (

; A; IP) with values in the
separable Bana h spa e B . Re all the separability allows to assume A ountably generated and thus
L2 (
; A; IP) separable. Suppose that for all f in B 0 , IEf (X ) = 0 and IEf 2 (X ) < 1 . Let us observe,
as a remark, that these hypotheses are natural in the ontext of the LIL sin e if for example X satises
the bounded LIL, for ea h f in B 0 , (f (Sn =an )) is almost surely bounded and therefore IEf (X ) = 0 and
IEf 2 (X ) < 1 by the s alar ase. Under these hypotheses,
(8:15)

(X ) = sup (IEf 2 (X ))1=2 < 1 :

kf k1

Indeed, if we onsider the operator A = AX dened as A : B 0 ! L2 = L2 (

; A; IP) , Af = f (X ) , then
kAk = (X ) and A is bounded by an easy losed graph argument. Let A = AX denote the adjoint of

223

A . Note rst that sin e X denes 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 identied 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 :

h
;
iX transferred from L2 : if

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)

kxk  (X )hx; xiX :

Denote by K = KX the losed unit ball of H , i.e. K = fx 2 B ; x = IE(X ) ; k k2  1g , whi h

thus denes a bounded onvex symmetri set in B . By the Hahn-Bana h theorem, we also have that
K = fx 2 B ; f (x)  kf (X )k2 for all f in B 0 g , and by separability this an be a hieved by taking only
a (well- hosen) sequen e (fk ) in B 0 . As the image of the unit ball of L2 by A , K is weakly ompa t
and therefore also losed for the topology of the norm on B . K is separable in B by (8.16). Further, it is
easily veried that for any f in B 0 ,

kf (X )k2 = sup f (x) ;

x2K

(X ) = sup kxk :

x2K

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

Lemma 8.4. The following are equivalent:

(i) K is ompa t;
(ii) A (resp. A ) is ompa t;
(iii) S = A A is ompa t;
(iv) the ovarian e fun tion T (f; g) = IEf (X )g(X ) is weakly sequentially ontinuous;
(v) the family of real random variables ff 2(X ) ; f

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 ) dened 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 satised. Then, there exist " > 0 and a sequen e ( n ) of positive numbers in reasing to
innity 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

fn2 (X )dIP > " :

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 identied
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 denition 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 satises 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 satises the bounded LIL, whi h is always the ase under one of
the properties of Theorem 8.5, K = KX is well dened. Let us rst show that, with probability one,
C (Sn =an)  K . As was observed in the denition 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)

for all k . Denote by

0 the set of full probability (by the s alar LIL) of the ! 's su h that for every k

jf (S (!))j
lim sup k n
an
n!1

 kfk (X )k2 :

So if x 2 C (Sn (!)=an) and ! 2

0 , x learly satises (8.17) and therefore belongs to K .
This rst property easily implies that
(8:18)

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
denite, 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,

h San ; xi  khx; X ik2 " = 1 " :

n

Hen e, along this subsequen e and for n large,


 Sn

a

2
 S 2
x =  n  + jxj2
an

S
2h n ; xi
an

 1 + " + 1 2 + 2" = 3"

and therefore x 2 C (Sn =an ) almost surely. To rea h the interior points of K , we limb in dimension and
onsider the random variable in B  IR given by Y = (X; ") where " is a Radema her variable independent
of X . Let x in K with jxj =  < 1 ; then y = (x; (1 2 )1=2 ) belongs to the unit sphere of B  IR and
thus, by the pre eding step, to the luster set asso iated to Y . By proje tion, x 2 C (Sn =an) .
We now omplete the proof of Theorem 8.5 and use this nite dimensional result to get the full on lusion
on erning the luster set C (Sn =an) . When X satises the LIL, it also satises the strong law of large
numbers and therefore IEkX k < 1 . There exists an in reasing sequen e (AN ) of nite  -algebras of X
su h that X N = IEAN X onverges almost surely and in L1(B ) to X . Note that if (Sn =an ) is almost
surely relatively ompa t, property (iv) of Lemma 8.4 is fullled; indeed, if fk ! 0 weakly, by ompa tness,
 


Sn 

lim sup f
=
k!1 n  k a 

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

sup IE (f 2 (X )) < 1 . By Jensen's inequality, it follows that the family ff 2 (X X N ) ; kf k  1 ; N 2 INg

kf k1
is also uniformly integrable. This an be used to obtain that (X X N ) ! 0 when N ! 1 (where
(
) is dened in (8.15)). Let now x in K : x = IE(X ) , k k2  1 . If xN = IE(X N ) , kx xN k 
(X X N ) ! 0 . Further, by (8.18), (X )  sup kxk = (X ) , and sin e the X N 's are nite dimensional
x2K
they also satisfy the ompa t LIL and therefore (X X N )  (X X N ) for every N . Now, we simply
write by the triangle inequality, that for every N ,

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

almost surely. Letting N tend to innity then shows that x

Theorem 8.5.

2 C (Sn =an ) whi h ompletes the proof of

The pre eding dis ussion and Theorem 8.5 present the denitions 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 satises 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 satises 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 innite 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 satises the bounded LIL in B . Then learly, for ea h f in B 0 , f (X ) satises 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

As is easily seen, this turns out to be equivalent to the integrability ondition

IE(kX k2=LLkX k) < 1 :
These are the best moment onditions whi h an be dedu ed from the bounded LIL. As we mentioned it
however, there are almost surely bounded (mean zero) random variables whi h do not satisfy the LIL. This
unfortunate fa t for es, in order to expe t some hara terization, to omplete the pre eding integrability
onditions, whi h depend only on the distribution of X , by some ondition involving the laws of the partial
sums Sn instead only of X . As we will see, this an be avoided in some spa es, but it is ne essary to
pro eed along these lines in general as a tually ould have been expe ted from the previous hapters. The
third ne essary ondition is then simply (and trivially) that the sequen e (Sn =an ) should be bounded in
probability.
In nite dimension, the weak L2 integrability of ourse implies the strong L2 integrability, and therefore
IE(kX k2=LLkX k) < 1 , as well as the sto hasti boundedness of (Sn =an) (as is easily seen, for example,
from the entral limit theorem). It is remarkable that this easily obtained set of ne essary onditions is
also su ient for X to satisfy the bounded LIL. Before stating this hara terization, let us omplete the
dis ussion on ne essary onditions by the ase of the ompa t LIL. We keep that IE(kX k2=LLkX k) < 1 . By
Theorem 8.5, K = KX should be ompa t, or equivalently ff 2(X ) ; f 2 B 0 ; kf k  1g uniformly integrable
(this an also be proved dire tly as is lear from the last part of the proof of Theorem 8.5). Finally, under the
ompa t LIL, it is ne essary that the sequen e (Sn =an ) is not only bounded in probability, but onvergent
to 0 ; indeed, the sequen e of the laws of Sn =an is ne essarily tight with 0 as only possible limit point sin e
IEf (X ) = 0 , IEf 2 (X ) < 1 for all f in B 0 . Let us note that the sto hasti boundedness (and a fortiori
onvergen e to 0 ) of the sequen e (Sn =an) also ontains the fa t that X is entered. (To see this, use the
analog of Lemma 10.1 for the normalization an .)
We an now present the hara terization of random variables satisfying the bounded or ompa t LIL.
As typi al in Probability in Bana h spa es, it redu es in a sense, under ne essary and natural moment
onditions, the almost sure behavior of the sequen e (Sn =an ) to its behavior in probability.

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 fullled:
(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')

IEX = 0 and ff 2(X ) ; f

(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 ))

where (X ) = sup (IEf 2 (X ))1=2 and

kf k1

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 satises 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

2nIPfkX k > "a2n g < 1 :

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

kX2(rn) 1 k > 5"a2n

<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 satised with for example = (X ) .
The on lusion of Theorem 7.5, with q = 2K0 , is then that
X

IPfkS2n

k > 102[" + 2K0 ((X ) + L(X ) + (5"L(X ))1=2)a2n g < 1 :

p

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 ) :

A simple integration by parts shows that, under IE(kX k2=LLkX k) < 1 ,

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 innity 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 satises 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

8.3. On the identi ation of the limits

In this last paragraph, we would like to des ribe various results and examples on the limits of the sequen e
(Sn =an ) in the bounded form of the LIL for Bana h spa e valued random variables. We learned from Theorem
8.5 that when the sequen e (Sn =an ) is almost surely relatively ompa t in B , then, with probability one,
(8:20)

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 satises 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 dened). 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 ;

n  IPfkSm=amk < " for some 2n

whenever this set is not empty. Then C (Sn =an ) = K , or

when Sn =an ! 0 in probability.

< m  2ng = 1 for all " > 0g

; when this set is empty. In parti ular,  = 1

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 satises 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 amplies 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

> (1 + ")amn < 1

where mn = [n , n  1 (integer part).

Let then 0 < "  1 and  > 1 be xed. For every integer n and f; h in the unit ball U of B 0 , set

dn2 (f; h) = (IE(f

h)2 (X )IfkX kamn g )1=2 :

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 modied 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)

N (U; dn2 ; ")  exp(n LLmn) :

A ording to this result, we denote, for ea h n and f in U , by hn (f ) an element of U su h that

dn2 (f; hn (f )) < " in su h a way that the set Un of all hn (f ) has a ardinality less than exp(n LLmn) .
We an write that





mn
mn
mn
X

X

X






Xi  sup  f (Xi ) + sup  h(Xi )


f 2Un 
 h2Vn 

i=1
i=1
i=1

235

where Vn = ff hn (f ) ; f 2 U g  2U . The main observation on erning Vn is that

IE(h2 (X )IfkX kamn g )  "2 for all h in Vn and all n . Although the proof of Theorem 8.6 and (8.19)
through Theorem 7.5 is des ribed in the setting of a single true norm of a Bana h spa e, it is lear that it
also applies to more general norms whi h might depend on n on the blo k of size mn . In this way, it is
just a mere exer ise to verify that for some numeri al onstant C ,
X

IP



mn
X


sup  h(Xi )

h2Vn 

> C"amn < 1 :

i=1

We are thus left to show that, for some C > 0 ,

X

(8:27)

IP



mn
X


sup  f (Xi )

f 2Un 

i=1

> (1 + C")amn < 1 :

Let = (") > 0 to be spe ied in a moment and set, for ea h n , n = mn =amn . Dene, for ea h n ,
i  mn and f in U ,

Yi (f; n) = max( n ; min(f (Xi ) ; n )) IE(max( n ; min(f (Xi ) ; n ))) :

Note that jYi (f; n)j  2 n and IE(Yi (f; n)2 )  1 . By Lemma 1.6 applied to the sum of the independent
mean zero random variables Yi (f; n) , i  mn , it follows that


mn
X


sup  Yi (f; n)

f 2Un 

IP

i=1

> (1 + ")amn

 2 CardUn exp( (1 + ")LLmn)

provided = (") > 0 is small enough in order that 2

already follows that
(8:28)



mn
X


sup  Yi (f; n)

f 2Un 

IP

i=1

Consider now Zi (f; n) = f (Xi ) Yi (f; n) , i  mn , f

exp(2(1 + "))  (1 + ")

1.

By (8.26), it thus

> (1 + ")amn < 1 :

2 U , n  1 . Note that, by entering of f (Xi ) ,

IEjZi (f; n)j  2IE(kX kIfkX k> ng ) :

The integrability ondition IE(kX k2=LLkX k) < 1 is equivalent to say that

n =

mn
IPfkX k > n g
(LLmn )2

n < 1 where

236

(elementary veri ation). There exists a sequen e ( n ) su h that n  n ,

n < 1 and satisfying the

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

`+1 IPfkX k > ` g

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

IEjZi (f; n)j  "amn =mn :

We now use this property to show that if n 2 L is large enough,
!

mn
X

IE sup jZi (f; n)j

f 2U i=1

(8:29)

 2"amn :

Indeed, from Theorem 4.12, (8.25) implies that

1

lim

n!1 amn

hen e, by Lemma 6.3,

lim

n!1 amn

IE

IE


mn
X
sup  "i
f 2U 

i=1


mn
X

sup 
f 2U 

i=1

jZi (f; n)j

!


 =


0;
!





jZi (f; n)j IEjZi (f; n)j = 0

from whi h the announ ed property (8.29) follows.

The main interest in the introdu tion of the absolute values in (8.29) is that it allows a simple use of the
isoperimetri inequality (6.16). It provides us indeed with the ru ial monotoni ity property ( f. Remark
6.18 about positive random variables). More pre isely, let n 2 L and set
(

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

kZi (!)k + 4q"amn

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

IP sup jZi (f; n)j > (1 + 4q)"amn

f 2U i=1

( 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

IP sup jZi (f; n)j > (1 + 8K0)"amn < 1 :

f 2U i=1

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

> C"amn < 1 :

We follow very mu h the pattern of the ase n 2 L . Let now 0n = mn =4"amn , and dene 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

jZ 0 (f; n)j > C"am

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 CardUn exp( "2 (2 pe)LLmn )

 2 exp

 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 dened 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 le2 exp

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 )

 3t0 . It is easily veried

i=1
G
p
p
that when n  C1 p log p=e2 b , one may take t0 to be C1 nh(b log p=p)1=2 whereas when n  C1 p log p=e2b
Now, by integration by parts and denition of t0 , it follows that
we an take

C1 eh log p 
:
log C1 epbnlog p

t0 =

We have thus obtained, ombining with (8.33), that:

(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.

Corollary 8.13. If m  h=b ,

n

1 X
sup IE "i f (Xi )

nm an i=1

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

Corollary 8.14. If m  h=b and, in addition, C1 p  m2 ,

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.

Corollary 8.15. If C1 p  h2 , then

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 ied 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 ,

Gq = f (q)IA ; A is union of [n(q)b(q) intervals of Iq g

where [
is the integer part fun tion. We note that for every f in Gq , kf k2 = d(q) where

d(q)2 = (q)2 [n(q)b(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

so that kUq (f )k2 = kf k2=d(q) . We set further Fq = fUq (f ) ; f 2 Gq g , Gq0 = fUq (f ) f ; f 2 Gq g . In

S
parti ular kf k2 = 1 if f 2 Fq . Let F = Fq . We will show that one an hoose appropriately the
q

sequen es (n(q)); (p(q)); (s(q)) su h that

n(q)

X


"i f (Xi )

an(q) i=1

(8:37)

6! 0 in probability

and, for all u > 0 ,

(8:38)
where Fu = ff
study.)

n

1 X
lim sup "i f (Xi )

n!1 an i=1

Fu

 1 almost surely

2 u ConvF ; kf k2  1g . (The notation k
kF has the same meaning as in the preliminary

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 ) dened 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

and sin e V0 is easily seen to be dense in norm in V , the on lusion follows.

Let us now turn to the onstru tion and proof of (8.37) and (8.38). We will a tually onstru t (by
indu tion) the sequen es (p(q)) and (s(q)) from sequen es (r(q)) and (m(q)) su h that r(q 1) < n(q) <
m(q) < r(q) (where ea h stri t inequality a tually means mu h bigger). The ase q = 1 , similar to the
general ase is left to the reader. Let us therefore assume that r(q 1) has been onstru ted. We then take

n(q) large enough in order that

(8:39)

LLn(q)  24q ;

LL (q)  2q ;

b(q)  2q p(q 1)

(whi h is possible sin e (q) = a(q)=10LLn(q) and b(q) = LLn(q)=n(q) ) and

r(q 1) a(q)


ar(q 1) n(q)

(8:40)

2 q:

We then take p(q) su iently large su h that

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

and (what is a tually a stronger ondition)

p

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

Tq1 = f8i  m(q) ; ea h interval of Iq ontains at most one Xi g :

Clearly, if Tq1; is the omplement of Tq1 ,


1
b(q)
IP(Tq1; )  m(q)(m(q) 1)p(q)
2
p(q)

2

and thus, by denition of m(q) and the fa t that b(q)  1 , IP(Tq1; )  2 q . Similarly, let

Tq0 = f8i  m(q) ; Xi 62 Jq g :

Then IP(Tq0 ; )  m(q)b(q)=s(q)  2 q by (8.42). We an then already show (8.37). From these estimates
indeed, for all q large enough, on a set of probability bigger than 1=3 (for example), there are at least
[n(q)b(q) points Xi , i  n(q) , in Iq whi h are in dierent intervals
of Iq and
not in Jq . There



exists therefore a union A of [n(q)b(q) intervals of Iq su h that

(q)n(q)b(q) = a(q)=10 , it follows that, for all q large enough,

8

>

n(q)
<
X

IP "i f (Xi )
>
: i=1


nP
(q)

"i IA (Xi )


 i=1

 12 [n(q)b(q) . Sin e

9
>
=

 a(q)=40>  13
;

Fq

for whi h (8.37) learly follows.

We now turn to (8.38) whi h is of ourse the most di ult part. Let us x u > 0 and re all that
Fu = ff 2 uC onvF ; kf k2  1g . As in the proof of Theorem 8.11, it su e to show that for all  > 1 ,
 > 1,
(8:46)

lim sup
n!1

(n)

X


" f (X )
a(n) i=1 i i

Fu

  almost surely

244

where (n) = [n . We set IN1 = [r(q

q

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

It follows that, for all large q ,

IE(gq2 =LLgq2) 

(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

 (I) +(II) +(III) :

`>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

so that, sin e n  r(q) ,

n

1 X
n a(`)
IE "i f (Xi ) 


an i=1
an n(`)
G`

 ar(q)
na((``))  2
r(q)

by (8.40). On the other hand, by (8.42),

n
X


IE "i f (Xi )

0
i=1
G`

n
P


IE "i f (Xi )
i=1
G`0

 n d ((``))
pb(`)  n (`)b(`)  n na((``)) ;

s(`)

 an 2

n
P


IE "i f (Xi )

 an 2 `+1 and therefore

F`
that (III)  2 q+2 . Hen e, (III) also has a limit whi h is 0 . We are left with (II). As for (III), we write
that




n
n


1 X
1 X

(III)  IE "i f (Xi ) + IE "i f (Xi ) = (IV) +(V) :


an i=1
an i=1
Gq
Gq0

and thus, as before,

`.

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 denition 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 ;

Tq2 = f8i  m(q) ; Xi 62 Jq [

`>q

(I` [ J` g ;

Tq3 = f for 2 2q n(q)  n  m(q) ; Cardfi  n ; Xi 2 Iq g  2e2 nb(q)g ;

Tq4 = f for 2 q n(q)=LLn(q)  n  2 2q n(q) ; Cardfi  n ; Xi 2 Iq g  e2 2 q+1 an = (q)g ;

Tq5 = f8i  2 q n(q)=LLn(q) ; Xi 62 Iq g :

246

We would like to show that

IP(Tq ) < 1 for whi h it su es to prove that

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)

IPfB (n;  )  tng  exp

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 :

Then, taking in (8.48)  = b(q) and t = e2  ( q large), we have that

IP(Tq3; ) 
Sin e n(q)b(q) = LLn(q)

`0

exp( e2 2 2q+` n(q)b(q)) :

 24q by (8.39), it follows that

[2 q+` n(q)=LLn(q) . Then

Tq4 

IP(Tq3) <

1 . Con erning Tq4 , set v(`) =

fCardfi  v(`) ; Xi 2 Iq g  e2 2 q av(`) = (q)g

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 veries that, at least
for q large enough (by (8.39)), t  e2  . Hen e
IP(Tq4; ) 

`0

exp( e2 2 q av(`) = (q)) :

247

Sin e av(`) = (q)  2 q=2+`=2 (LLn(q))1=2 , one on ludes as for i = 3 that

established that

IP(Tq ) < 1 .

IP(Tq4; ) < 1 . We have thus

For every q (large enough), set now

8


(n)
<
X


Pq =
IP "i f (Xi )
:

i=1
r(q 1)(n)m(q)
Fu
X

The proof will be ompleted on e we will have shown that

> a(n) ; Tq

9
=
;

Pq < 1 . Take q large enough so that 2q > u .

On Tq , none of the Xi 's, i  (n)  m(q) , is in J` for `  q or I` for ` > q (denition 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)

there exists M = M ("; q0 ) su h that Cardfn ;  (n; q) > "a(n) g  M ;

(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

Using that (n)  r(q

Fu

> a(n) ; Tq

9
=
;

8

>

(n)
<
X


IP "i f (Xi )
>
: i=1

Hq

> a(n)

 (n; q) :

1) , we may now use (8.44) and estimate the latter probability by

2 exp

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

whi h is summable by (8.39).

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

so that by Cau hy-S hwartz

jf (Xi )j  N f (Xi
i=1
i=1
intervals of Iq , we have that
n
X
i=1

f (Xi )2 

When n  2 2q n(q) , N

I 2Iq

)2

1=2

. Sin e on Tq (Tq1 ) the Xi 's are in distin t

(value of f on I )2 = kf k22

p(q)
b(q)

2 LLn(q)
 d(q)2 pb((qq))  100

b(q) :

 2e2 nb(q)  20nb(q) (Tq3 ) so that

n
X
i=1

and therefore in this ase


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

On the other hand, obviously ( f. (8.33)),

n
X


"i f (Xi )

i=1

Fu;q

n
X


u "i f (Xi )

i=1

 23 :

u
 u (q)n(q)b(q)  10
a(q)

249

and thus, when n  n(q) ,

(8:54)
Finally, again

n

1 X
"i f (Xi )


an i=1


n
X


"i f (Xi )

i=1

When n  2 2q n(q) (by Tq3 ),

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 :

 20un (q)b(q) = 2un na((qq))

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 :

Re all u is xed. We an then simply take

 (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.

Notes and referen es

Before rea hing the rather omplete des ription we give in this hapter, the study of the law of the iterated
logarithm (LIL) for Bana h spa e valued random variables went through several stages of partial results and

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 innite 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 denition 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 innite 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

Chapter 9. Type and otype of Bana h spa es

9.1

`np -subspa es of Bana h spa es

9.2

Type and otype

9.3

Some probabilisti statements in presen e of type and otype

Notes and referen es

253

Chapter 9. Type and otype of Bana h spa es

The notion of type of a Bana h spa e already appeared in the last hapters on the law of large numbers
and the law of the iterated logarithm. We observed there that, in quite general situations, almost sure
properties an be redu ed to properties in probability or in Lp; 0  p < 1 . Starting with this hapter, we
will now study the possibility of a ontrol in probability or in the weak topology of probability distributions
of sums of independent random variables. On the line or in nite dimensional spa es, su h a ontrol is
usually easily veried through moment onditions by the orthogonality property


X 2

IE  Xi 



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 .

9.1 `np -subspa es of Bana h spa es

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 satised 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 innite 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 innite 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

(X ) = sup (IEf 2 (X ))1=2 = sup  f 2(xi )A

kf k1
kf k1 i=1

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

for all  in IRn .

Proof. By homogeneity, we an and do assume that kjjk = 1 . By denition of S , there exists 0 in

S su h that kj 0 jk  , hen e  = 0 + 1  with kj jk = 1 and j1 j  . Iterating the pro edure, we
1
P
get that  = j j with j 2 S , jj j  j for all j  0 . Hen e
j =0

n
X


i xi

i=1

1
X
j =0

n
X

i=1

ji xi 

1+
1

n
P

( < 1) . In the same way, k i xi k  (1 3)=(1 ) . It therefore su es to hoose appropriately in

i=1
fun tion of " > 0 only in order to get the on lusion.
The size of -net of spheres in nite dimension is easily estimated in terms of > 0 and the dimension,
as shown in the next lemma whi h follows from a simple volume argument.

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 ied 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

indi ates that if

n
P
i=1

n
P

2i = 1 , then

for all t > 0 and 1 ; : : : ; n with

IP

i=1
n
P

i Xi has the same distribution as X . In parti ular, by Lemma 3.1,

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

pn(X )  IE'  IE  IEkX k + pn(X ):

p

It follows that for some ! , if IEkX k > n(X ) ,

(!)
'(!)

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 denition of ' and  , for every  in IRn with jj = 1 ,

'(!) 

n
X


i Xi (!)

i=1

 (!):

Hen e, setting xi = Xi (!)='(!) , i  n , for every jj = 1 ,

n
X


i xi

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 modied so to yield also this dependen e.
A ording thus to Theorem 9.1, every innite 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 dened 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 satised 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 denition of the stable type property is obtained when k
kp;1 is repla ed by any k
kr ; r < p .
Further, in terms of innite 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)

p(B ) = supfp; B is of stable type pg:

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 innite 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 denition 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 denition 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 dened 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 ):

Indeed, if we have independent opies (Yj;i )i of the sequen e (Yj ) ,

n
X
i=1

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

= IEkX k > p 1=p S;

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 :

Let now > 0 and impose, as a rst ondition on n , that

Dp n1=q  S=2 1p=p :

(9:7)
By (9.6), setting M = IEkX k , we see that



n
 X


i Zi
IE


i=1

:
 M
2

Hen e (9.5) for t = M=2 yields

(
n
 X


IP  i Zi


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

whi h gives the on lusion. Theorem 9.9 is thus established.

n
X
i=1

ji jp

!1=p

9.2 Type and otype.

In the pre eding se tion, we dis overed how the probabilisti onditions of stable type are related to some
geometri properties of Bana h spa es. We start in this paragraph a systemati study of related probabilisti
onditions named type and otype (or Radema her type and otype).
As usual ("i ) denotes a Radema her sequen e. Let 1  p < 1 . A Bana h spa e B is said to be of type
p (or Radema her type p ) if there is a onstant C su h that for all nite sequen es (xi ) in B ,


X


"i xi

(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 denition 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 denition. 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

Let 1  q  1 . A Bana h spa e B is alled of (Radema her) otype q if there is a onstant C su h

that for all nite sequen es (xi ) in B
(9:9)

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 innite otype whereas, by Khint hine's inequalities, the denition 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 denition 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) 

whereas, when p  2 , by the triangle inequality,

0
Z


jxi (s)j2

!p=2

12=p

d(s)A

 Bpp

Z X

S i

jxi

jxi (s)jp d(s) =

X Z

(s)j2

2=p

jxi (s)jp d(s)

!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 innite 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

"i "j hx0j ; xi ikx0i kq

DX

= IE 

"i xi kx0i kq 1 ;

1A

1
E
"j x0j A :

Hen e, by Holder's inequality (assuming p > 1 ) and the type p property of B ,

(1 ")

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 denitions (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

Proof. We show the assertion relative to the type. By Lemma 6.3,

X p

IE Xi

 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

where (i ) is a sequen e of independent standard p -stable variables.

Proposition 9.12. Let 1  p < 2 and let B be a Bana h spa e. Then, we have:
(i)

If B is of stable type p , it is of type p .

(ii)

If B is of type p , it is of stable type p0 for every p0 < p .

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

"i xi  C k(xi )kp;1 :

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

 C IE(k(ji jkxi k)kp0 ;1 ):

We then on lude by Lemma 5.8 sin e p0 > 1 and ki kp0 ;1 < 1 .
The \if" part of (iii) reprodu es the proof of (ii) we just gave (with p0 = p ). Conversely, if B is of stable
type p , by Corollary 9.7, B is also of stable type p1 for some p1 > p , hen e of type p1 by (i). By the
omparison between the `p1 and `p;1 norms, the proof is omplete.
Note, as a onsequen e to this proposition, that p(B ) introdu ed in (9.4) is also given by

p(B ) = supfp; B is of type pg :

Further, we know that `1 is of no type p > 1 ; by Proposition 9.12 and Theorem 9.6, we a tually have that
a Bana h spa e B is of some type p > 1 , or equivalently of stable type 1 or of stable type p for some
p > 1 , if and only if B does not ontain `n1 's uniformly.
As a onsequen e of Proposition 9.12, note the following version of Proposition 9.11 for the stable type.

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

IPfkXik > tg;

268

or, equivalently, if and only if,

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
)

IE(kXi kp IfkXi ktg ) 

Z tX

Z t

IPfkXik > sgdsp

0
p0 p0 p
dsp
= 0
t
p
s
p p

and the on lusion follows.

We next turn to the ase of a 2 -stable standard sequen e, that is an orthogaussian sequen e (gi ) , whi h
will lead us by the same way to some questions analogous to the pre eding ones in the ontext of the otype.
We rst omplete the ase of type and orthogaussian sequen es whi h is the simplest overall. Indeed, if B
is of type p , by Proposition 9.11,


X
p

IE gi xi

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

for some onstant C and all nite sequen es ( xi ),

X

(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

Note that if s > q , k kq;1  q=(s q)k ks .

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

inequality (9.11) holds.

j =1

270

We an then on lude the proof of the proposition. Note that

Z 1
ji j = Ifji j>tg dt:
0

For every t > 0 , by (9.11),

X


"i Ifji j>tg xi

X


)1=q "i xi

 C (IPfj j > tg

Therefore, by the triangle inequality,

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

kxi kr . This easily shows the above laim.

whi h is of the order of N1
i=1
Turning ba k to the question behind Proposition 9.14, we therefore know that if B has some nite otype,
inequality (9.10) will imply that B is of otype q . Inequality (9.10) a tually easily implies that B annot
ontain `n1 's uniformly (simply be ause it annot hold for the anoni al basis of `1 ). A deep result of B.
Maurey and G. Pisier [Mau-Pi shows that this last property hara terizes spa es having a non-trivial otype.
The theorem, whi h is the ounterpart for the otype of the results detailed previously for the type, an be
stated as follows. It ompletes the `np -subspa es question for p > 2 although the set of p > 2 for whi h a
given Bana h spa e ontains `np 's uniformly seems to be rather arbitrary. A more probabilisti proof of this
theorem is perhaps still to be found. We refer to [Mau-Pi, [Mi-Sh, [Mi-S.

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 innite 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 (innite 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

! F between two Bana h spa es 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

Similarly, u is said to be of otype q if

X

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 denitions. 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

where (i ) is a standard p -stable sequen e. We an also say that it is p -stable if

(9:14)

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 denitions are a tually dierent in
general. We refer to [P-R1 for a dis ussion on this dieren e as well as on related denitions.

9.3. Some probabilisti statements in presen e of type and otype

In this last paragraph, we try to answer some of the questions we started with. We will establish namely
tightness and onvergen e in probability of various sums of independent random variables taking their values
in Bana h spa es having some type or otype. As we know, this question is motivated by the strong
limit theorems whi h were redu ed in the pre eding hapters to weak statements as well as by the entral
limit theorem investigated in next hapter. We thus revisit now the strong laws of Kolmogorov and of
Mar inkiewi z-Zygmund. Type 2 and otype 2 will also be examined in their relations to pregaussian

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

IEkXi kp =ip < 1 implies the SLLN.

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

kxi kp =ip < 1 , we know that

n
P

i=1

2 B and ("i ) is a Radema her

"i xi =n ! 0 almost surely, and also in L1 (B ) (or

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 ) dened
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

and B is therefore of type p . Theorem 9.17 is thus established.

As a onsequen e of the pre eding and Corollary 9.8 we an state

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 satises 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:

Dene 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

 CN 1=p (IEkX1 kp )1=p :

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

and therefore, by Lemma 4.5 for symmetri sequen es,

N
X


IE Xi

i=1


!
N

N
X

X




i

IE  '1  IE "j xj :



i=1

j =1

But now, by symmetry and Khint hine's inequalities ((4.3)),



N
X


IE  'i1  =



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 .

Proof. Let x1 ; : : : ; xN be points in B and let X with distribution (2N )

N IEkX kq

N
X
i=1

N
1 P (
xi
i=1

+ xi ) . Then

kxi kq :
N
P

Take (X1 ; : : : ; XN ) to be independent opies of X and let us onsider

Xi . Let (Ni )iN be indepeni=1
dent Poisson random variables with parameter 1 , independent of the Xi 's. Let further (Xi;j )1i;jN be
independent opies of X and set Xi;0 = 0 for ea h i . Then, as is easy to he k on hara teristi fun tionals,
Ni
N X
X
i=1 j =0

Xi;j has the same distribution as

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

Further, IPfNi ^ 1 = 0g = 1 IPfNi ^ 1 = 1g = e

q
N Ni ^1

X X


IE
Xi;j :
i=1 j =0

1.

Hen e, sin e Xi;0 = 0 ,

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

Summarizing, we have obtained that

N
X
i=1

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)

for every Radon random variable X with values in B , Sn =n1=p

IEkX kp < 1 and IEX = 0 .

! 0 almost surely if and only if

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

However, it is easily seen by integration by parts that, under IEkX kp < 1 ,

n
X



IE
X
I
1=p g

i
fk
X
k
>n
i

n1=p

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

We on lude that B is of type p by Proposition 9.19.

The pre eding theorem has an analog for the stable type. Let us brie y state this result and sket h its
proof.

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

 IPfkSnk > "n1=p g  21 IPfmax

kXi k > "n1=p g  14 nIPfkX k > "n1=p g:
in

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 ) denes 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 dene 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

(IEjXk j2 )p=2 < 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

(IEjX (s)j2 )p=2 d(s) < 1:

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 satises 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 ) =

gi (IP(Ai ))1=2 xi and IEkX N k2 =

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 denes 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
satises 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 dene X by:
r)=p
X = (1
xi with probability ri =2:
i
P

It is easily seen that G(X ) is pre isely

gi xi and therefore, by hypothesis,

IEkX kp =

i kxi kp < 1:
P

Sin e this holds of ea h su h sequen e (i ) , by duality it must be that

laim.

kxi k2 < 1 whi h is the announ ed

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

gi Ifjgi j>tg xi , we see that

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

Proposition 9.25 is established.

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 denes 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

xi =kxi k + +xi =kxi k );

m is the spe tral measure of a p -stable random ve tor X in B . Moreover

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 dened 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 denes 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. Dene 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-dened 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 dene 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 dened 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 denes 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

whi h is equal in distribution to

Z

'dM

p;1

'dM =

xi M (Ai )

m(Ai )1=p i xi . Now, if B is of stable type p ,

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 innite 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

Let n be xed for a moment. By Fubini's theorem, if


(
n
X


!; IP"  "i Xi (!)



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 satised 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

Theorem 9.29. Let B be a Bana h spa e. The following are equivalent:

(i)

B does not ontain subspa es isomorphi to 0 ;

(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)

for every sequen e (xi ) in B , if (

(iv)

for every sequen e (xi ) in B , if (

n
P

"i xi ) is almost surely bounded,

i=1
n
P

i=1

"i xi onverges almost surely;

"i xi ) is almost surely bounded, xi ! 0 .

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

We may assume that the probability spa e (

; A; IP) is the anoni al produ t spa e f
with its natural  -algebra and produ t measure. It is easy to see that for every C 2 A ,
1
lim IP(C \ f"i = 1g) = lim IP(C \ f"i = +1g) = IP(C ):
i!1
i!1
2
Let us pi k M < 1 so that IP(A) > 1=2 where

A = fsup k
n

n
X
i=1

"i xi k  M g:

By the previous observation, we an dene 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)

IP(A \ f"n1 = a1 g \


\ f"nk = ak g) > 2 k 1 :

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

Proof. As a onsequen e of the hypotheses, we know in parti ular that inf

kyi k > 0 while yi ! 0 weakly.
i
It is then a well-known and important result ( f. e.g. [Li-T1, p.5) that one an extra t a subsequen e (yni )
P
whi h is basi in the sense that every element in the span of (yni ) an be written uniquely as y = i yni
i
k
>
0 , and, by the losed graph
for some sequen e of s alars (i ) . Then, ne essarily i ! 0 sin e inf
k
y
n
i
i
P
theorem we already have the lower inequality in the statement of the lemma. Sin e jf (yi )j < 1 for all f
i
P
in B 0 , by another appli ation of the losed graph theorem, for some C and all f in B 0 , jf (yi )j  C kf k .
i
The on lusion is then obvious: for all nite sequen es (k ) of s alars,


X


k yik



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).

Notes and referen es

This hapter reprodu es, although not up to the original, parts of the ex ellent notes [Pi16 by G. Pisier
where the interested reader an nd more Bana h spa e theory oriented results and in parti ular quantitative
dimensional results. A omplete exposition of type and otype and their relations to lo al theory of Bana h
spa es is the book [Mi-S by V.D. Milman and G. S he htman. (A more re ent \volumi " des ription of lo al
theory is the book [Pi18 by G. Pisier.) We refer to these works for a urate referen es. For a more operator
theoreti al point of view, see [Pie, [Pi15, [TJ2. The Le ture Notes [S h3 by L. S hwartz surveys mu h
of the onne tions between Probability and Geometry in Bana h spa es until 1980. See also the exposition
[Wo2 by W.A. Woy zynski.
Dvoretzky's theorem was established in 1961 [Dv. The new proof by V.D. Milman [Mi1 using isoperimetri methods and amplied later on in the paper [F-L-M onsiderably in uen ed the developments of the

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 denitions (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 identied 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

Chapter 10. The entral limit theorem

10.1 Some general fa ts about the entral limit theorem
10.2 Some entral limit theorems in ertain Bana h spa es
10.3 A small ball riterion for the entral limit theorem
Notes and referen es

292

Chapter 10. The entral limit theorem

The study of strong limit theorems for sums of independent random variables like the strong law of large
numbers or the law of the iterated logarithm in the pre eding hapters showed that in Bana h spa es these
an only be reasonably understood when the orresponding weak property, that is tightness or onvergen e
in probability, is realized. It was shown indeed that under natural moment onditions, the strong statements
a tually redu e to the orresponding weak ones. On the line or in nite dimensional spa es, these moment
onditions usually automati ally ensure the weak limiting property. As we pointed out, this is no more the
ase in general Bana h spa es.
There is some point, therefore, to attempt to investigate one typi al tightness question in Bana h spa e.
One su h example is provided by the entral limit theorem (in short CLT). The CLT is of ourse one of the
main topi in Probability theory. Here also, its study will indi ate the typi al problems and di ulties to
a hieve tightness in Bana h spa es. We only investigate here the very lassi al CLT for sums of independent
p
and identi ally distributed random variables with normalization n . This framework is a tually ri h enough
already to analyze the main questions. In the rst se tion of this hapter, we present some general fa ts
on the CLT. In the se ond one, we make use of the type and otype onditions to extend to ertain lasses
of Bana h spa es the lassi al hara terization of the CLT. In the last paragraph, we des ribe a small ball
riterion, whi h might be of independent interest, as well as an almost sure randomized CLT of possible
appli ation in Statisti s. Let us mention that this study of the lassi al CLT will be further developed in
the empiri al pro ess framework in Chapter 14.
In the whole hapter we deal with Radon random variables, and a tually for more onvenien e, with
Borel random variables with values in a separable Bana h spa e. Some results a tually extend, with only
minor modi ations, to our usual more general setting, like for example the results of Se tion 10.3. We
leave this to the interested reader. Let thus B denote a separable Bana h spa e. If X is a (Borel) random
variable with values in B , we denote by (Xi ) a sequen e of independent opies of X , and set, as usual,
Sn = X1 +


+ Xn , n  1 .

10.1. Some general fa ts about the entral limit theorem

We start with the fundamental denition of entral limit property. Let X be a (Borel) random variable
with values in a separable Bana h spa e B . X is said to satisfy the entral limit theorem (CLT) in B if
p
the sequen e (Sn = n) onverges weakly in B .

293

On e this denition has been given, one of the main questions is of ourse to de ide when a random
variable X satises 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 satises the CLT if and only if IEX = 0 and IEX 2 < 1 , and if X
p
satises 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) =

pXni IfjXi jpng :

By the ontra tion prin iple (Lemma 6.5), for any t > 0 ,
(
n 
X

IP  ui 



i=1

>t

 2IPfjSn =pnj > tg :

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 )

uniformly therefore in n . Hen e, by orthogonality and identi al distribution,

(10:1)

IE jX j2 IfjX jpng

 18(1 + t20 )

and thus the result when n tends to innity.

The su ien y of the onditions IEX = 0 and IEkX k2 < 1 for a random variable X to satisfy the CLT
learly extends to the ase where X takes values in a nite dimensional spa e. It is not too di ult to see
that this extends also to Hilbert spa e. Con erning ne essity, we note that the pre eding argument allows
to on lude that IEX = 0 and IEkX k2 < 1 for any random variable X satisfying the CLT in a Bana h

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 satises the CLT in B however, for any linear fun tional f in B 0 , the s alar random variable
p
f (X ) satises 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

In parti ular, IEkX kp < 1 for every 0 < p < 2 .

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

By Levy's inequality (2.7) for symmetri random variables,

p
1
IPfmax kXi k > t0 ng  4"t0 2 ( ) :
in
2
By Lemma 2.6,

nIPfkX k > t0 ng  8"t0 2

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,

lim sup t2 IPfkX k > tg  16" :

t!1

Sin e " > 0 is arbitrarily small, this proves the lemma.

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.

Corollary 10.2. If X satises the CLT, then

lim t2 sup IP
t!1
n
In parti ular, for any 0 < p < 2 ,

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

kpSnk > "  1 ; then sup IE pSn  20" :

n
8
n
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

really used is that amk

 Cam ak for some onstant C . Finally, as an alternate approa h to the proof of

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 satises the CLT. It will be seen below that CLT (
) denes 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 satises 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 satises the bounded
CLT, then IEX = 0 and
sup sup t2 IP
t>0 n

kpSn k > t < 1 :

n

1 as already indi ated by (10.2). As we have seen to start

with, on the line, the bounded CLT also implies that IEX 2 < 1 , and similarly IEkX k2 < 1 in otype

In parti ular, we also have that CLT (X ) <

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 dene 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 dened 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 satises 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

)!

From the subgaussian inequality (4.1),



(
n
X
IP 



p"in  > A(2 log(k + 1))1=2
i=1

 2 exp( A2 log(k + 1)) :

Therefore, if A is large enough independently of n ,

IP

kpSn k > A  4 X exp( A2 log(k + 1))

n
k

from whi h it learly follows that X satises 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 dene 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 satises 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 dened 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 ) :

Gi is almost surely bounded. Sin e B does not ontain 0 , it onverges almost

surely (Theorem 9.29) to a Gaussian random variable G whi h satises IEf 2 (G) = IEf 2 (X ) for every f in
B 0 . Hen e X is pregaussian.
Thus the sequen e

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 satises 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

2 K  1 " for every 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 )
satises the s alar CLT for every f ) satises the CLT if and only if for every " > 0 there is a nite
dimensional subspa e F of B su h that
IP

kT ( pSnn )k > " < " for every n

(or only n large enough) where T = TF denotes the quotient map B

equivalently,
(10:4)

! B=F ( f. (2.4)). By (10.2),

CLT (T (X )) < " :

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 satises 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 (
) denes 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 satises
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 satises 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 satises 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 satises 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

Xi k  IE((Sn ( ))1=2 ) CLT (X )

 pn IP(A) CLT (X )
p

where i are independent opies of  and Sn ( ) = 1 +


+ n . Hen e, in this ase,

p

CLT (X )  IP(A) CLT (X ) :

Now lassi al extremal properties of indi ators in the spa es Lp;1 yield the on lusion. Supposing rst
  0 , let, for ea h " > 0 ,
1
1
X
X
(
"
)
 = "kIf"(k 1)<"kg = "If>"(k 1)g :
k=1

k=1

By the triangle inequality and the pre eding,

1
X
CLT ( (") X )  "(IPf > "(k
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,

CLT ("X )  2CLT (X ) ;

where " is a Radema her variable independent of X and  . Use then the ontra tion prin iple onditionally
on X and  in the form of Lemma 4.5. The on lusion follows.
Proposition 10.4 in parti ular applies when  is a standard normal variable. Therefore, the normalized
p
sums Sn = n an be regarded as onditionally Gaussian and several Gaussian tools and te hniques an
be used. This will be one of the arguments in the empiri al pro ess approa h to the CLT developed in

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.

10.2. Some entral limit theorems in ertain Bana h spa es

In this paragraph, we try to nd onditions on the distribution only of a Borel random variable X with
values in a separable Bana h spa e B in order it satises the CLT. As we know, this is a di ult question
in general spa es and at the present time it has a lear ut answer only for spe ial lasses of Bana h spa es.
In this se tion, we present a sample of these results. We start with some examples and negative fa ts in
order to set up the framework of the study.
Let us rst mention that a Gaussian random variable learly satises the CLT. A random variable X with
values in a nite dimensional Bana h spa e B satises the CLT if and only if IEX = 0 and IEkX k2 < 1 .
As will be shown below, this equivalen e extends to innite dimensional Hilbert spa es, but a tually only
to them! In general, very bad situations an o ur and strong assumptions on the distribution of a random
variable X have no reason to ensure that X satises the CLT. For example, the random variable in 0
dened by (10.3) is symmetri and almost surely bounded but does not satisfy the CLT. It fails the CLT
sin e it is not pregaussian, but if we go ba k to Example 7.11, we have a bounded symmetri pregaussian
(elementary veri ation) variable in 0 whi h does not satisfy the bounded CLT, hen e the CLT. (In [Ma-Pl,
there is even an example of a bounded symmetri pregaussian random variable in 0 satisfying the bounded
CLT but failing the CLT.) Even the fa t that these examples are onstru ted in 0 , a spa e with "bad"
geometri al properties (of no non-trivial type or otype) is not restri tive. There exist indeed spa es of type

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 satises 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 satises the CLT, then B must
be of type 2 .

Proof. The denition 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)

CLT (X )  C (IEkX k2)1=2 :

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 satises the CLT ((10.4)).
Conversely, if, in B , ea h mean zero random variable X with IEkX k2 <

1 satises the CLT, su h a

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.

! F be an operator of type 2 between two separable Bana h spa es E

and F . Let X be a random variable with values in E su h that IEX = 0 and IEkX k2 < 1 . Then the
Corollary 10.6. Let u : E

random variable u(X ) satises the CLT in F .

The next statement is the dual result of Theorem 10.5 for otype 2 spa es.

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 satises the CLT. Conversely, if in a (separable) Bana h spa e B , any pregaussian
random variable satises 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,

CLT (X )  (C IEkG(X )k2)1=2 :

Let now X N = IEAN X where (AN ) is a sequen e of nite  -algebras generating the  -algebra of X .
Then (X N ) onverges almost surely and in L2 (B ) to X . For ea h N , X X N is still pregaussian and
sin e
IEf 2 (X

X N )  2IEf 2 (X ) = 2IEf 2 (G(X ))

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 satises 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 denitions 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

onverges almost surely but for whi h

kxj k2 = 1 . On some suitable probability spa e onsider

1
X

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 satises 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

0 only depends on the Aij 's and IP(

0 )  2

Sn =

5.

NX
(n)
j =1

Moreover, on the omplement of

0 ,

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 

IP(Aij )) > tn2 j

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 satises 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
satises 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 satises 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 satises 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 satises 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 (

IEXi2 )p=2 = Cp (IEj

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 satises 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)

CLT (X )  C (kX k2;1 + IEkG(X )k)

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),

kX Y k2;1 + IEkG(X Y )k < 2"C :

2
2
0
This an be obtained sin e tlim
!1 t IPfkX k > tg = 0 and tlim
!1 IEf (XIfkX k>tg ) = 0 for every f in B .
Consider then (AN ) a sequen e of nite  -algebras generating the  -algebra of X and set Y N = IEAN Y .
Then Y N ! Y almost surely and in L2 (B ) , and, as usual, G(Y Y N ) ! 0 in L2(B ) . Applying (10.7)
to X Y and Y Y N for N large enough yields CLT (X Y N ) < " and therefore X satises the CLT
from this nite dimensional approximation. If X is not symmetri , repla e it for example by "X where "
is a Radema her random variable independent of X .

It therefore su es indeed to establish (10.7). Assume by homogeneity that kX k2;1  1 . For ea h n ,

we have that,
n
n
X
X
p1n IEk Xi k  IEk ui k + pnIE(kX kIfkX k>png )
i=1
i=1
where ui = ui (n) = n 1=2 Xi IfkXi kpng , i = 1; : : : ; n . Sin e kX k2;1
easily seen that
p
sup nIE(kX kIfkX k>png )  2 :

 1 , by integration by parts it is

Applying the inequality Ros(p) , p > 2 , to the ui 's, we get that

IEk

n
X
i=1

ui kp  C (nIEku1 kp + 2IEkG(X )kp)

sin e the ui 's are pregaussian and IEkG(u1 )kp

kX k2;1  1 ,

nIEku1

kp

 2IEkG(X )kp (Lemma 9.23). But now, sin e p > 2 and

 n1 p=2
 n1 p=2

pn

Z
Z

0p

IPfkX k > tg dtp

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 satises 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 satises 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 , veries 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

kY k = 1 almost surely and IEkG(Y )k2 < " :

Consider then independent opies Yi of Y and set Xi = Yi ei in `2(B ) where (ei ) is the anoni al basis.
Assume then that `2 (B ) satises Ros(p) for some p > 2 and apply this inequality to the sample (Xi )iN .
Sin e Gaussian moments are all equivalent, we should have that, for some onstant C and all N ,
IEj

N
X
i=1

Xi kp  C

N
X
i=1

IEkXi kp + (IEk

N
X
i=1

G(Xi )k2 )p=2 :

That is, sin e G(Xi ) = G(Yi )ei ,

N p=2  C (N + (N IEkG(Y )k2 )p=2 )

 C (N + ("N )p=2 ) :

309

Hen e, if " is small enough and N tends to innity, 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 satises 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)

0 < lim sup t2 IPfkX k > tg < 1 :

t!1

To this aim, let N be an integer valued random variable su h that IPfN = ig = i

be a Radema her sequen e independent of N and onsider X in `p given by

X=

1
X
i=1

1 2=p ,

i  1 . Let ("i )

"i IfN 2 i<N 2 +N g ei

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

(IPfN  i < N 2 + N g)p=2 < 1 ;

but this is lear sin e by denition 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
satises the CLT if and only if it satises 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 innite 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
innite dimensional Bana h spa e in whi h every random variable satisfying the LIL also satises 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 satises the CLT. Then B is nite dimensional.
Con erning the impli ation CLT ) LIL, a general statement is available. Indeed, if X satises 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 satises 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.

10.3. A small ball riterion for the entral limit theorem

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 satises 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
satises the CLT if and only if the following two properties are satised:
2
(i) tlim
!1 t IPfkX k > tg = 0 ;

(ii) for ea h " > 0 , (") = lim

inf IPfkSn= nk < "g > 0 .
n!1
Before turning to the proof of this result, we would like to mention a few fa ts, one of whi h will be of
help in the proof. As we have seen, (i) and (ii) are ne essary, and best possible. Indeed, the tail ondition (i)
annot be suppressed in general, i.e. (ii) does not ne essarily imply (i) ( f. [L-T3). However, and we would
like to detail this point, (ii), and for one " > 0 only, already implies the bounded CLT, that is the sequen e
p
> (Sn = n) is bounded in probability (and therefore (ii) implies sup t2 IPfkX k > tg < 1 ). This laim is
t>0
based on the inequality of Proposition 6.4. Repla ing X by X X 0 where X 0 is an independent opy of
p
X , it is enough to deal with the symmetri al ase. Let Y1 ; : : : ; Ym be independent opies of Sn = n . Sin e
m
P
p
p
Yi = m has the same distribution as Smn = mn , by Proposition 6.4, for n large enough,
i=1

(")
2

! 1=2

m
X
 IP k Yi k < "pm  32 1 + IPfkYi k > "pmg
i=1
i=1
m
X

312

and thus, for all n large enough and every m ,




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 satises 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

lim sup IPX fIE" k "i

n!1
i=1

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

A = fx = (xi )in 2 B n ; IE" k

n
X
i=1

"i

T (xi )
pn k  2g ;

for ea h > 0 there exists a nite dimensional subspa e F su h that if T = TF ,

(10:11)

IPf(Xi )in 2 Ag  () > 0

313

for all n large enough where () > 0 depends only on > 0 . Let us show how to on lude when (10.11)
is satised. 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

fi  n : Xi = x`i g . By monotoni ity of Radema her averages ( f. Remark 6.18),

`=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,


IP f(Xi )in 2 H (A; q; k)g  K

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),

lim IPfmax kXi k > n=k()g = 0 ;

in

n!1

(10.10) is satised and the CLT for X will hold.

We have therefore to establish (10.11). We write, for every n ,
n
X

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

sin e kT k  1 . By (ii), (10.11) will hold as soon as

n
X

lim sup IPfIE" k "i

n!1
i=1

T (Xi )
pn k

n
X
i=1

"i

T (Xi)
pn k > g < ()

for some appropriate hoi e of T . Setting, for every n ,

ui = ui (n) =

pXni IfkXi k ()png ; i = 1; : : : ; n

where () > 0 is to be spe ied, it is a tually enough by (i) to he k that

n
X

lim sup IPfIE" k "i T (ui)k

n!1
i=1

(10:12)

n
X
i=1

"i T (ui )k > g < () :

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

"i T (ui )k and let  = sup

where the supremum runs here over the unit ball of
i ))
kf k1 i=1
the dual spa e of B=F for an F to be hosen. By Theorem 4.7, for every t > 0 ,
of

n
P

i=1

IP" fjk

n
X
i=1

"i T (ui )k M j > tg  4 exp(

t2
2
)

32
:
82
t2

In parti ular, integrating by parts,

jIE" k
Hen e, if   =24 ,

IP" fIE" k

n
X
i 1

n
X
i=1

"i T (ui)k M j  12 :

"i T (ui)k

n
X
i=1

"i T (ui)k > g  128

2
:
2

Thus, integrating with respe t to IPX ,

(10:13)

IPfIE" k

n
X
i=1

"i T (ui)k

n
X
i=1

"i T (ui)k > g  IPf >

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 satised, 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 satises 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

In either ase, the limit of

i=1
Gaussian distribution with the same ovarian e stru ture as X .

Proof. It is plain that under (ii) the produ t X satises the CLT. Hen e, sin e X has mean zero
and  6 0 , X also satises 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

i Xi k > K (M + ")2n=2 g < 1 ;

or further, by denition of M , that

X

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

adapted to (i ) with q = 2K0 and k = kn (  q for n large enough),

IPX fIE k

2

2n
X

i=1

i Xi k > 2qIEk

kn

kn
X

+ IPf

i=1

2n
X

i=1

i Xi k + "2n=2g

kXi k > "2n=2 g :

Letting K = 2q = 4K0 , the proof of Lemma 10.15 is omplete.

We now on lude the proof of the theorem. Sin e X satises the CLT, for every k  1 , there exists a
nite dimensional subspa e Fk of B su h that if Tk = TFk : B ! B=Fk

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

It follows that the sequen e (

i=1

i=1

i Xi (!)= n)k > "g  " :

i Xi (!)= n) is tight (it is bounded in probability si n e !

n
P

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

Notes and referen es

This hapter only on entrate on the lassi al entral limit theorem for sums of identi ally distributed
random variables under the normalization

pn . We would like to refer to the book of A. Araujo and E. Gine

[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

L2;1 was shown in [L-T1.

The extension to Hilbert spa es of the lassi al CLT was obtained by S.R.S. Varadhan [Var. A further
extension in some smooth spa es, anti ipating type 2 , is des ribed in [F-M1. Examples of bounded random
variables in C [0; 1 failing the CLT were provided in [D-S, and in Lp , 1  p < 2 , by R. Dudley ( f. [Kue2).

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

Chapter 11. Regularity of random pro esses

11.1 Regularity of random pro esses under metri entropy onditions
11.2 Regularity of random pro esses under majorizing measure onditions
11.3 Examples of appli ations
Notes and referen es

321

Chapter 11. Regularity of random pro esses

In Chapter 9 we des ribed how ertain onditions on Bana h spa es an ensure the existen e and tightness
of some probability measures. For example, if (xi ) is a sequen e in a type 2 Bana h spa e B su h that
P
kxi k2 < 1 , then the series P gi xi is almost surely onvergent and denes a Gaussian Radon random
i
i
variable with values in B . These onditions were further used in Chapters 9 and 10 to establish tightness
properties of sums of independent random variables, espe ially in the ontext of entral limit theorems.
In this hapter, another approa h to existen e and tightness of ertain measures is taken in the framework
of random fun tions and pro esses. Given a random pro ess X = (Xt )t2T indexed by some set T , we
investigate su ient onditions for almost sure boundedness or ontinuity of the sample paths of X in
terms of the "geometry" (in the metri al sense) of T . By geometry, we mean some metri entropy or
majorizing measure ondition whi h estimates the size of T in fun tion of some parameters related to X .
The setting of this study has its roots in a elebrated theorem of Kolmogorov whi h gives su ient onditions
for the ontinuity of pro esses X indexed by a ompa t subset of IR in terms of a Lips hitz ondition on
the in rements Xs Xt of the pro esses. Under this type of in remental onditions on the pro esses, this
result was extended to pro esses indexed by regular subsets T of IRN and then further to abstra t index
sets T . In this hapter, we present several results in this general abstra t setting. The rst se tion deals
with the metri entropy ondition. The results, whi h naturally extend the more lassi al ones, are rather
easy to prove and to use but nevertheless an be shown to be sharp in many respe ts. The se ond paragraph
investigates majorizing measure onditions whi h are more pre ise than entropy onditions as they take more
into a ount the lo al geometry of the index set. That majorizing measures are a key notion will be shown
in the next hapter on Gaussian pro esses. These su ient entropy or majorizing measure onditions for
sample boundedness or ontinuity are utilized in the proofs in a rather similar manner: the main idea is indeed
based on the rather lassi al overing te hnique and haining argument already ontained in Kolmogorov's
theorem. In Se tion 11.3, we present important examples of appli ations to Gaussian, Radema her and haos
pro esses.
Common to this hapter is the datum of a random pro ess X = (Xt )t2T , that is a olle tion (Xt ) of
random variables, indexed by some parameter set T whi h we assume to be a metri or pseudo-metri
spa e. By pseudo-metri re all we mean that T is equipped with a distan e d whi h does not ne essarily
separate points ( d(s; t) = 0 does not always imply s = t ). Our main obje tive is thus to nd su ient
onditions in order for X to be almost surely bounded or ontinuous, or to possess a version with these

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 = supfIE sup jXs

s;t2F

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

and, when X is symmetri ,

IE sup Xt  IE sup jXt j  IEjXt0 j + 2IE sup Xt :
t2T
t2T
t2T
These inequalities are used freely below. The example of T being redu ed to one point shows that the
estimates we establish do not hold in general for IE sup jXt j rather than IE sup Xt or IE sup jXs Xt j .
t2T
t2T
s;t2T
The supremum notations will also often be shortened in sup or sup , sup , et .
T

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 dened 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.

11.1. Regularity of random pro esses under metri entropy onditions

Let (T; d) be a pseudo-metri spa e. For ea h " > 0 , denote by N (T; d; ") the smallest number of open
balls of radius " > 0 in the pseudo-metri d whi h form a overing of T . (Re all we ould work equivalently
with losed balls.) T is totally bounded for d if and only if N (T; d; ") < 1 for every " > 0 , a property
whi h will always be satised under all the onditions we will deal with. Denote further by D = D(T ) the
diameter of (T; d) i.e.,
D = supfd(s; t); s; t 2 T g

324

(nite or innite).
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

1 (N (T; d; "))d" < 1 ;

X is almost surely bounded and we a tually have

IE sup jXs
s;t2T

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.

Theorem 11.2. Let

be a Young fun tion and let X = (Xt )t2T be a random pro ess in L1 =
L1 (
; A; IP) su h that for all measurable set A in
and all s; t in (T; d) ,


Z
1
1
jXs Xt jdIP  d(s; t)IP(A)
:
IP(A)
A
Then, for all A ,

sup jXs
A s;t2T

Xt jdIP  8IP(A)

Note that this statement does not really on ern

should perhaps be preferably stated in this way.

Z D

1 (IP(A) 1 N (T; d; "))d" :

but rather the fun tion u

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)

then, letting A = fZ > ug and using Chebyshev's inequality we have

IPfZ > ug 

1
1
ZdIP  IPfZ > ug
u fZ>ug
u

so that for every u > 0 ,

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

kXs Xt kp;1  d(s; t) :

(11:2)

Then, as is easily seen by integration by parts,

Z

jXs Xt jdIP  qd(s; t)IP(A)1=q



 qd(s; t)IP(A) IP(1A)

1=p

where q = p=p 1 is the onjugate of p .

This for the advantages in the hypotheses. Con erning the on lusion, the formulation in Theorem 11.2
allows to obtain dire tly some quite sharp integrability and tail estimates of the sup-norm of the pro ess X
mu h in the spirit of those des ribed in the rst part of the book. If, for example, is su h that for some
onstant C = C and all x; y  1
1 (xy )  C 1 (x) 1 (y )
(whi h is the ase for example when (x) = xp , 1  p < 1 ), then the on lusion of Theorem 11.2 is that
for all measurable set A


Z
1
sup jXs Xt jdIP  8CE IP(A) 1
IP(A)
A s;t

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

jXs Xt jdQI  d(s; t)IQ(A)1=q :

Theorem 11.2 with respe t to Q

I yields
Z

sup jXs
s;t

Xt jdQ
I  8CE

from whi h, by uniformity in Q

I , it follows that

k sup jXs Xt jkp  8CE :

s;t

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 satises 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)

This easily implies for every u > 0

IPfsup jXs

(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

by onvexity) and E is mu h bigger than D in general.

We now prove Theorem 11.2.

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, dene 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) ) :

sup jXk` (t)

`=`0 +1 t2T

Xk` 1 (t) j :

328

Now, for xed ` , observe that

Cardf(Xk` (t)
Further, by onstru tion, d(k` (t); k` 1 (t))
every t , `0 < `  `1 and A measurable
Z

jXk` (t) Xk`

Xk` 1 (t) ); t 2 T g  N (T; d; 2 `) :

2
1

`+1

for every t . Hen e the hypothesis indi ates that for

(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

Then, for every measurable set A ,

Zi dIP  IP(A)

max Zi dIP  IP(A)

A iN

1
:
IP(A)


N
:
IP(A)

Proof. Let (Ai )iN be a (measurable) partition of A su h that Zi = max Zj on Ai . Then

j N
Z

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

is on ave and that

N
P
i=1

1
IP(Ai )

N
IP(A)

IP(Ai ) = IP(A) . The lemma is proved.

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

sup jXk` (t)

`=`0 +1 A t

 4IP(A)

`>`0

2 `

Xk` 1 (t) jdIP

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

1 (IP(A) 1 N (T; d; "))d"

1 (IP(A) 1 N (T; d; "))d"

by denition 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(

Card T`) < 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)

jXt Xt` jdIP  2 `IP(A)

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

jXs Xt jdIP  d(s; t)IP(A)(

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

1 (IP(A) 1 N (T; d; "))d" + 2IP(A)

``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.

Theorem 11.6. Let

be a Young fun tion and let X = (Xt )t2T be a random pro ess in L1 =
L1 (
; A; IP) su h that for all measurable set A in
and all s; t in (T; d) ,


Z
1
1
jXs Xt jdIP  d(s; t)IP(A)
:
IP(A)
A
Then, if

Z D

1 (N (T; d; "))d" < 1 ;

X admits a version Xe with almost all sample paths bounded and (uniformly) ontinuous on (T; d) .
Moreover, Xe satises 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)<

Xet j < " :

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

U = f(x; y) 2 T`  T` ; 9u; v in T su h that d(u; v) <  and k` (u) = x ; k` (v) = yg :

If (x; y) 2 U , we x ux;y , vx;y su h that k` (ux;y ) = x , k` (vx;y ) = y and d(ux;y ; vx;y ) <  . By Lemma
11.3,
IE sup jXux;y Xvx;y j   1 ( Card U )
(x;y)2U
  1 (N (T; d; 2 `)2 ) :
Let now s; t be arbitrary in T satisfying d(s; t) <  . Set x = k` (s) , y = k` (t) . Clearly (x; y) 2 U . We
an then write by the triangle inequality

jXs Xt j  jXs Xk` (s) j + jXk` (s) Xux;y j + jXux;y Xvx;y j

+ jXvx;y Xk` (t) j + jXk` (t) Xt j
 sup jXux;y Xvx;y j + 4 sup jXr Xk` (r)j
r 2T

(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 satises 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

jXes Xet j < 4 n :

332

Then, if An = f sup

d(s;t)<n

jXes Xet j > 2 n g ,

IP(An ) < 1 and the laim >follows from the Borel-Cantelli

lemma. The proof of Theorem 11.6 is omplete.

It is plain that Remarks 11.4 and 11.5 also apply in the ontext of Theorem 11.6. Further, the dependen e
of  > 0 we arefully des ribe in Theorem 11.6 has some easy onsequen es to tightness results. Assume
(T; d) is a ompa t metri spa e and denote by C (T ) the Bana h spa e of ontinuous fun tions on T
equipped with the sup-norm. By Prokhorov's riterion and the Arzela-As oli hara terization of ompa t
sets in C (T ) ( f. e.g. [Bi), it is easily seen that a family X of random variables X = (Xt )t2T is relatively
ompa t in the weak topology of probability distributions on C (T ) as soon as, for some t , fXt; X 2 Xg
is relatively ompa t as real random variables and, for ea h " > 0 , there is  > 0 su h that for every X in

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 11.7. Let (T; d) be ompa t and let

Z D

be a Young fun tion. Assume that

1 (N (T; d; "))d" < 1 :

Let X be a family of separable random pro esses X = (Xt )t2T in L1 = L1 (

; A; IP) su h that for all s; t
in T and A measurable


Z
1
1
jXs Xt jdIP  d(s; t)IP(A)
:
IP(A)
A
Then ea h element of X denes a tight probability distribution on C (T ) and X is weakly relatively
ompa t if and only if, for some t 2 T , fXt ; X 2 Xg is weakly relatively ompa t (as measures on IR ).
As a rst appli ation, we would like in parti ular to indi ate how the pre eding results ontain the
ontinuity theorem of Kolmogorov. We state it in its lassi al and usual form although its various sharpening
are dedu ed similarly.

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

Then X has almost surely bounded and ontinuous sample paths.

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 denes 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.

11.2. Regularity of random pro esses under majorizing measure onditions

One main feature (and weakness) of the entropy ondition is that it gives some "weight" to ea h pie e
of T . This does not present any in onvenient if T is in some sense homogeneous; we will see how this
is the ase in Chapter 13 and how metri entropy is best possible (ne essary) for some pro esses in su h a
homogeneous setting ( f. also the losing omments of Se tion 11.1). In general however, one has rather to
think at some geometri al measure of T whi h takes into a ount the possible la k of homogeneity of T .
One way to handle this is the on ept of majorizing measure.

334

Given a pseudo-metri spa e (T; d) and a Young fun tion

m on T is a majorizing measure for (T; d; ) , if
(11:7)

= m (T; d; ) = sup
t2T

Z D

as before, say that a probability measure



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 denition 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) ;

so that, as for entropy, if D = D(T ) is the diameter of (T; d) ,

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 denition 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 ))

is a Young fun tion su h that for some onstant

Z

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 denition, 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`

where t is Dira measure at t . Clearly, for every t and ` > `0 ,

m(B (t; 2 ` ))  2 `+`0 N (T; d; 2 `) 1 . Hen e
Z D

X
1
d" 
2 `
m(B (t; "))
`>`0

`>`0

2 `

1
m(B (t; 2 ` ))

1 (2` `0 N (T; d; 2 ` )) :

336

Using (11.11) this is then estimated by

X

`>`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 satises (in addition to (11.10))

(11:12)

lim sup

Z 

!0 t2T 0

1 (N (T; d; "))d"

1 (N (T; d; "))d" < 1 ,

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; ) .

Proof. For t in T , take '(t) in A with

d(t; '(t)) = d(t; A) = inf fd(t; y) ; y 2 Ag :
Set  = '(m) , so  is supported by A . Fix x in A . For t in T , we have d(t; '(t)) = d(t; A)  d(t; x)
and thus d(x; '(t))  2d(x; t) . It follows that '(B (x; "))  BA (x; 2") and thus (BA (x; 2"))  m(B (x; ")) .
The proof is easily ompleted.
Re all a metri spa e (U; ) is ultrametri if satised the improved triangle inequality

(u; v)  max((u; w); (w; v)) ; u; v; w 2 U :

The main feature of ultrametri spa es is that two balls of the same radius are either disjoint or equal. The
next proposition deals with the ni e fun tions satisfying (11.11); we re all however that, at the expense
of (severe) ompli ations, a similar study an be driven in the general setting ( f. [Ta12).

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 =

fT`+1;k ; T`+1;k \ B (x`;i ; 4

`+1 ) 6= ; ;

j<i

8j < i ; T`+1;k 6 T`;j g :

Dene 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 veried that the
diameter of ea h set T`;i is less than 4 `+2 . It then learly follows by denition 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

where t is Dira measure at t . There is a probability measure 

onstru tion,
(11:13)

 0 . If t 2 T`;i , note that, by

(T`;i )  4 `+`0 1 m(B (t; 4 ` )) :

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 denition of `0 (and (11.8)), this easily implies the on lusion. The proof is omplete.

Remark 11.11. If (T; ) is ultrametri and satises (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 ` fullls 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

Xt jdIP  K IP(A) sup

t2T

Z D

1
d"
IP(A)(B (t; "))

where K is numeri al and D is the diameter of (T; ) .

Proof. Set T = fti g and let A in

A . Let (Ai ) be a measurable partition of A su h that, on Ai ,

sup jXt
t2T

Xx j = jXti

Xx j

340

where x is one (arbitrary) xed point of T . Thus,

Z

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 :

For every B in B` , set AB = [fAi ; ti 2 B g . Thus, we an write

Z

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

jX` (ti ) X`

(ti ) jdIP

jXx(B) Xx(B) jdIP

Hen e, from the hypothesis, sin e (x(B ); x(B ))  2 `+1 ,

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 :

Integrating with respe t to  yields

X

``0

2 `

B 2B`

(B )

1
IP(A)(B )

1
:
IP(AB )

Let now  be a probability measure on (T; ) and set

so that, for every t in T ,

 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 )

We next observe the following. If IP(AB )  IP(A)(B ) ,

IP(AB )

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

from whi h the on lusion follows. Proposition 11.12 is established.

Together with Lemma 11.9 and Proposition 11.10, the pre eding basi result yields the following general
theorem for fun tions satisfying (11.11).

Theorem 11.13. Let

be a Young fun tion satisfying (11.11) and let X = (Xt )t2T be a random
pro ess in L1 = L1 (
; A; IP) indexed by the pseudo-metri spa e (T; d) su h that, for all s; t in T and all
measurable sets A in
,


Z
jXs Xt jdIP  d(s; t)IP(A) 1 IP(1A) :
A
Then, for any probability measure m on (T; d) and any measurable set A ,
Z

sup jXs

A s;t2T

Xt jdIP  K IP(A) D


Z D
1
+ sup
IP(A)
t2T 0

where D = D(T ) is the diameter of (T; d) and K only depends on

IE sup jXs
s;t2T

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).

Theorem 11.14. Let

be a Young fun tion satisfying (11.11) and let X = (Xt )t2T be a random
pro ess in L1 = L1 (
; A; IP) su h that for all s; t in (T; d) and all measurable sets A in
,
Z

jXs Xt jdIP  d(s; t)IP(A)

1
:
IP(A)

Assume there is a probability measure m on (T; d) su h that

lim sup
!0 t2T

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
satises 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)<

Xet j < " :

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 satises 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)

jXs Xt jdIP  2 ` IP(A)

where (M`(t)) is a sequen e of positive numbers su h that

X

1
+ M`(t)IP(A)
IP(A)

sup M` (t) < 1 :

t2T `

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.

11.3. Examples of appli ations

In the last paragraph of this hapter, we present some (rather important) examples for whi h the pre eding
results an be applied. They on ern Gaussian and Radema her pro esses and their orresponding haos
pro esses. In parti ular, the su ient onditions we des ribe in order a Gaussian pro ess be sample bounded
or ontinuous may be onsidered as the rst part of the study of the regularity of Gaussian pro esses. The
se ond part devoted to ne essity is the obje t of the next hapter.
Before entering these examples, let us brie y indi ate an elementary but onvenient remark. We deal here
with the Young fun tions q (x) = exp(xq ) 1 , 1  q < 1 . We have that q 1 (x) = (log(1 + x))1=q . The
point of this observation is that we an deal equivalently, in the entropy or majorizing measure onditions,
with the fun tions (log x)1=q , x  1 . For the entropy ondition, it is lear that
1

(log N (T; d; "))1=q d" =

Z D

(log N (T; d; "))1=q d"  (log 2)1=q D

and thus
Z D

(11:17)

1 (N (T; d; "))d"  3

(log N (T; d; "))1=q d" :

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

referen es; a tually, (log x)1=q will be used most often.

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)<

where K is numeri al.

Yt j  K (sup IE sup jYs

t2T d(s;t)<

Yt j + (log N (T; d; ))1=2 )

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)<

Yt j  2 max( sup jYt

u2U d(t;u)<

Yu j) + max
u;v2U

d(u;v)<3

jYu Yv j :

By (3.6) and the fa t that dY (t; u)  d(t; u) , we have

IE max( sup jYt
u2U d(t;u)<

Yu j)  2 max IE sup jYt Yu j + 3(log N )1=2 :

u2U d(t;u)<

Similarly, by (3.13),
IE max
u;v2U

d(u;v)<3

jYu Yv j  3(log N 2 )1=2

and the lemma is proved.

The pre eding laim then follows immediately from this lemma when d = dX using Corollary 3.19. Note
that the Gaussian omparison properties are only used in this approa h through Corollary 3.19, that is
Sudakov's minoration.
Let therefore X be a Gaussian pro ess with asso iated pseudo-metri dX . The integrability properties
of Gaussian variables indi ate that, for all s; t in T ,

kXs Xt k  2dX (s; t) :

2

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.

Theorem 11.17. Let X = (Xt )t2T be a Gaussian pro ess. then

IE sup Xt  24
t2T

(log N (T; dX ; "))1=2 d" :

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 satises
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

jXs Xt j  jXs Xs0 j + jXs0 Xt0 j + jXt0 Xt j :

Sin e (s0 ; t0 ) 2 A0 , Xs0 = Xt0 with probability one. It follows that
IE sup

dX (s;t)

jXs Xt j  2IE sup jXs Xt j :

d(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

xi (t)j2 )1=2 , we have

(11:19)

IE sup
t

"i xi (t)  K sup

t

1

log

1
m(B (t; "))

1=2

d"

for some numeri al onstant K .

The Gaussian results a tually apply to the general lass of the so- alled subgaussian pro esses. A entered
pro ess X = (Xt )t2T is said to be subgaussian with respe t to a metri or pseudo-metri d on T if, for all
s; t in T and every  in IR ,
(11:20)

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 +

Minimizing over  (  = u=d(s; t)2 ) yields

IPfjXs

Xt j > ug  2 exp( u2 =2d(s; t)2 )

for all u > 0 . Hen e, for all s; t in T ,

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 denition (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.

Proposition 11.19. 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 :

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

"i xi (t)  Kp sup

t2T

1

1
log
m(B (t; "))

1=q

d"

350

where Kp only depends on p and q = p=p 1 is the onjugate of p > 1 ; when p = 1 ,

IE sup
t

"i xi (t)  K sup

t2T
i

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 denition 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

kXs Xt k  8dX (s; t) :

2

We an then make use of Remark 11.5 to realize that if

(11:21)

(log N (T; dX ; "))1=2 d" < 1 ;

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 ) = sup (IEf 2 (Xs

kf k1

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

Xt k > 2dX (s; t) + uX (s; t)g  exp( u2 =2) :

This is (basi ally) equivalent to say that

k(kXs Xt k 2dX (s; t))+ k  2X (s; t)

2

from whi h it follows that for every measurable set A

Z

(11:22)

kXs Xt kdIP  2X (s; t)IP(A)

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

(log N (T; X ; "))1=2 d" < 1

and

log+ log N (T; dX ; ")d" < 1 ;

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

2 `(log N (T; dX ; a` ))1=2 < 1 :

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 . Dene `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

whi h is nite too by denition of `k .

A ording to this, let now, for ea h ` , A` be minimal in T su h that the dX -balls with enters in A`
and radius a` over T . If D is su h a ball, let further C` (D) be minimal in D su h that the X -balls
S
with enters in C` (D) and radius 2 ` over D . Set then, for every ` , T` = C` (D) . We have
D

log Card T`  log N (T; X ; 2 `) + log N (T; dX ; a` ) :

Further, for every t 2 T and every ` , there exists, by onstru tion, t` in T` su h that X (t; t` )  2 `
P
and dX (t; t` )  2a` . If we now use (11.22) and re all that a` < 1 , we see that we are exa tly in the
`
setting of Remark 11.4. The on lusion therefore follows sin e this remark applies similarly to ontinuity as
we noti ed it.
Our last appli ation deals with haos pro esses. Gaussian and Radema her haos were introdu ed in
Chapters 3 and 4 respe tively where their integrability and tail behavior properties were investigated. As
in those hapters, we restri t here to haos of order 2 . We deal moreover only with real valued haos; we
indi ate at the end how the appli ation an be amplied to more general ases. As before nally, we only
deal with the Gaussian ase; with the orresponding results in Chapter 4, the theorem we will obtain applies
similarly to Radema her haos.
Re all (gi ) denotes an orthogaussian sequen e. X = (Xt )t2T is a Gaussian haos pro ess of order 2 if
P
there is a sequen e (xij (t)) of (real) fun tions on T su h that, for all t , Xt = gi gj xij (t) where the sum
i;j

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)

Xt j > ud1 (s; t) + u2 d2 (s; t)g  K exp( u2=K )

for every u > 0 . In parti ular (for some possibly dierent K ),

IPfjXs

Xt j > ud1 (s; t)g  K exp( u=K ) :

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)

jXs Xt jdIP  KaIP(A)

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 ) .

Proof. We only show that if T is nite and if M is a number su h that

sup
t2T
then

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
denition 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)

(t; ` + k(t; `))  8KM :

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 denition 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`

where ` = supfj : 9u su h that s; t 2 H (u; 2 2j )g :

Re all now from the assumptions that, for all t ,

(11:27)

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

Notes and referen es

Various referen es have presented during the past years the theory of random pro esses on abstra t index
sets and their regularity properties as developed in this hapter. Exposition on Gaussian pro esses have been
given in parti ular in the ourse [Fer4 by X. Fernique, and also by R. Dudley [Du2, V. N. Sudakov [Su4
and N. C. Jain and M. B. Mar us [J-M3. General su ient onditions for non-Gaussian pro esses satisfying
in remental Orli z onditions to be almost surely bounded or ontinuous are presented in the notes [Pi13
by G. Pisier and emphasized in [Fer7 and [We. We refer to these authors for more a urate referen es and
in parti ular to [Du2 for a areful histori al des ription of the early developments of the theory of Gaussian
(and non-Gaussian too) pro esses. Our exposition is based on [Pi13 and the re ent work [Ta12.
The study of random pro esses under metri entropy onditions a tually started with the Gaussian results
of Se tion 11.3. The notion of " -entropy goes ba k to Kolmogorov. The landmark paper [Du1 by R. Dudley,
where Theorem 11.17 is established, introdu ed this fundamental abstra t framework in the eld. Credit for
the introdu tion of " -entropy applied to regularity of pro esses goes to V. Strassen (see [Du1) and V. N.
Sudakov [Su1. It was only slowly realized after that the Gaussian stru ture of this result only relies on the
appropriate integrability properties of the in rements Xs Xt and that the te hnique ould be extended
to large lasses of non-Gaussian pro esses. On the basis of Kolmogorov's ontinuity theorem (whi h already
ontains the fundamental haining argument) and this observation, several authors investigated su ient
onditions for boundedness and ontinuity of pro esses whose in rements Xs Xt are ni ely ontrolled.
Among the various arti les, let us mention (see also [Du2) [De, [Bou, [J-M1 (on subgaussian pro esses,
see also [J-M3), [Ha, [H-K, [N-N, [Ib and [K^o and [Pi9 on the important ase of in rements in Lp . The
general Theorem 11.1 is due to G. Pisier [Pi13 (on the basis of [Pi9 thanks to an observation of X. Fernique).
Its rened version Theorem 11.2 is equivalent to the (perhaps somewhat unorthodox) formulation of [Fer7.
The tail behaviors dedu ed from this statement were pre isely analyzed in some ases in [Ale1 in the ontext
of empiri al pro esses (see also [Fer7, [We). The uniform ontinuity and ompa tness results (Theorem 11.6
and Corollary 11.7) simplify prior proofs by X. Fernique [Fer11. Kolmogorov's theorem (Corollary 11.8)
may be found e.g. in [Slu, [Ne1, [Bi.
We refer to the survey paper [He3 for a history of majorizing measures. In [G-R-R, A. M. Garsia,
E. Rodemi h and H. Rumsey establish a real variable lemma using integral bounds involving majorizing
measures to be applied to regularity of random pro esses. This lemma was further used and rened in [Gar
and [G-R and usually provides interesting moduli of ontinuity. Let us note that our approa h to majorizing

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, rened 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 ,

jf (s) f (t)j  20kfekL (mm) sup

u2T

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

Chapter 12. Regularity of Gaussian and stable pro esses

12.1 Regularity of Gaussian pro esses
12.2 Ne essary onditions for boundedness and ontinuity of stable pro esses
12.3 Appli ations and onje tures on Radema her pro esses
Notes and referen es

360

Chapter 12. Regularity of Gaussian and stable pro esses

In the pre eding hapter, we presented su ient metri entropy and majorizing measure onditions for
sample boundedness and ontinuity of random pro esses satisfying in remental onditions. In parti ular,
these results were applied to Gaussian pro esses in Se tion 11.3. The main on ern of this hapter is
ne essity. We will see indeed, as one of the main results, that the su ient majorizing measure ondition
in order for a Gaussian pro ess to be almost surely bounded or ontinuous is a tually also ne essary. This
hara terization thus provides a omplete understanding of the regularity properties of Gaussian paths. The
arguments of proof rely heavily on the basi ultrametri stru ture whi h lies behind a majorizing measure
ondition.
This hara terization is performed in the rst se tion whi h is ompleted by some equivalent formulations
of the main result. Let us mention at this point that the study of ne essity for non-Gaussian pro esses in
this framework involves, rather than one given pro ess, the whole family of pro esses satisfying in remental
onditions with respe t to the same Young fun tion
and metri d . In the Gaussian ase, Slepian's
lemma and the omparison theorems (Se tion 3.3), whi h appear as a ornerstone in this study of ne essity,
onfound those two situations and things be ome simpler. We refer the interested reader to [Ta12 for a
study of ne essity for general pro esses in this setting of in remental onditions. A noti eable ex eption is
however the ase of stable pro esses. The series representation and onditional use of Gaussian te hniques
allow here to des ribe ne essary onditions as for Gaussian pro esses. This extension to p -stable pro esses,
1  p < 2 , is the subje t of Se tion 12.2; as we will see, it is su ien y whi h appears to be more di ult in
the stable ase. This hapter is ompleted with appli ations to subgaussian pro esses and some remarkable
type properties of the inje tion map Lip(T ) ! C (T ) when there is a Gaussian or stable majorizing measure
on (T; d) . The di ult subje t of Radema her pro esses is dis ussed through some onje tures in the very
last part.

12.1. Regularity of Gaussian pro esses

Re all that a random pro ess X = (Xt )t2T is said to be Gaussian if ea h nite linear ombination
i Xti , i 2 IR , ti 2 T , is a real Gaussian variable. The distribution of the Gaussian pro ess X is
i
therefore ompletely determined by its ovarian e stru ture IEXs Xt , s; t 2 T . As we know, to study the
regularity properties of X , it is fruitful to analyze the geometry of T for the indu ed L2 -pseudo-metri
dX (s; t) = kXs Xt k2 , s; t 2 T .
P

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

(log N (T; dX ; "))1=2 d" :

Now, we have seen in Theorem 3.18 a lower bound in terms of entropy numbers whi h indi ates that
(12:3)

sup "(log N (T; dX ; "))1=2  K IE sup Xt :

">0
t2T

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 denes 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)

h(xy)  h(x) + h(y) :

[This ondition may be weakened into h(xy)  h(x) + h(y) for some positive and the reader an veried
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

h(m(B; (t; "))d"

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

(T ) = (T; d) = inf m (T; d) = inf m (T )

363

where the inmum 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 inmum 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

(u; w)  max((u; v); (v; w)) :

The ni e feature of ultrametri spa es is that two balls of the same radius are either identi al or disjoint.
From now on, and until further noti e, we assume that all the metri spa es are nite. Given a metri
spa e (T; d) and an ultrametri spa e (U; ) , say that a map ' from U onto T is a ontra tion if
d('(u); '(v))  (u; v) for u; v in U . Dene the fun tional (T ) = (T; d) by

(T ) = inf f (U ) ; U is ultrametri and T is the image of U by a ontra tiong :

Although (T ) omes rst in mind as a way to measure the size of T , the quantity (T ) is easier to
manipulate and yields stronger results. We rst olle t some simple fa ts.

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 inmum is attained.

(vi) D(T )  2[h(1=2) 1 (T ) .

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

Let m be a probability measure on T and let  = a(m) so that  is supported by A . Fix x in

 d(t; x) , so d(t; a(t))  d(t; x) and d(x; a(t))  2d(x; t) . Sin e

 = a(m) , it follows that (B (x; 2"))  m(B (x; ")) . Hen e, by a hange of variables,  (A)  2 m(T )
whi h gives the results. (iii) With the notations of the proof of (ii), the ultrametri ity gives d(x; a(t)) 
max(d(x; t); d(t; a(t))  d(x; t) and thus (A)  (U ) in this ase. (iv) Let U be ultrametri and let ' be
a ontra tion from U onto T . By (iii), we get that (A)  (' 1 (A))  (U ) and thus (A)  (T ) .
A . For t in T , we have d(t; A)

(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 ,

(T )  max[(Ai ) + D(T )h(ai ) :

in
Proof. From Lemma 12.1 (v), for every i = 1; : : : ; n , there exists an ultrametri spa e (Ui ; i ) of
diameter less than D , a ontra tion 'i from Ui onto Ai and a probability measure i on Ui su h that
(Ai ) = i (Ui ) (or arbitrarily lose). Let U be the disjoint sum of the spa es (Ui )in . Dene the distan e
on U by (u; v) = i (u; v) whenever u; v belong to the same Ui , and (u; v) = D otherwise. Then
(U; ) is ultrametri and the map ' from U onto T given by '(u) = 'i (u) for u in Ui is a ontra tion.
n
P
Consider the positive measure 0 on U given by 0 = ai i . Sin e j0 j  1 , there is a probability  on
i=1

365

U with   0 . Take then u in U and let i be su h that u 2 Ui . By (12.5),

h((B (u; ")))  h(0 (B (u; ")))

 h(ai i (B (u; ")))

 h(i (B (u; "))) + h(ai ) :
It follows that

h((B (u; ")))d" =

Therefore

Z D
Z0 1

h((B (u; ")))d"

 h(i (B (u; ")))d" + Dh(ai )

0
 (Ai ) + Dh(ai ) :
(U )   (U )  max[(Ai ) + Dh(ai )
in

from whi h the on lusion follows.

The next lemma is the basi step in the subsequent onstru tion. If (T; d) is a nite metri spa e, let,
for every integer k (in ZZ ),
k (T ) = (T ) sup (B (x; 6 k )) :
x2T

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 )) ;

(ii) or there exists balls (Bi )1iN of radius 6 k

3
6 k 2 su h that
(12:7)

with enters at mutual distan e larger than



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

for every i , set then

[
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 )) . By onstru tion k+2 (Si ) =

(B (xi ; 6 k 2 )) = (Si ) k+2 (Si )

(12:8)

 (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

Combining (12.10) with (12.8) yields that for all i in I ,

(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 satised. 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)

Proof. By indu tion, we onstru t a de reasing sequen e (Tm ) of subsets of T su h that T0 = T ,

D(Tm )  6 k m and
k+m+1 (Tm)  2((Tm 1 ) (Tm ))

(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 ,

(T ) (Tm )  k+m+1 (Tm ) :

(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 satised for m and let us show it for m + 1 . We have by (12.12) that

k m+2 (Tm+1 )  2((Tm ) (Tm+1 ))

 (Tm ) (Tm+1 ) + k+m+1 (Tm )

sin e (Tm )
hypothesis,

(Tm+1 )  k+m+1 (Tm ) by denition of the of the fun tional  . Thus, by the indu tion
k+m+2 (Tm+1 )  (T ) (Tm+1 )

and (12.13) indeed holds.

Set now ` = k + n . Sin e in Tn we are in ase (ii) of Lemma 12.3, we an nd balls (Bi0 )1iN (ot Tn )
of radius 6 ` 2 with enters at mutual distan e  3
6 ` 2 su h that, for all i ,
(12:14)

(Bi0 \ Tn)  (Tn ) 6 k+1 h

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

and the proof of Proposition 12.4 is omplete with Bi = Bi0 \ Tn .

Let U be an ultrametri spa e. For x in U , k 2 ZZ , let Nk (x) be the number of disjoint balls of radius
6 k 1 whi h are ontained in B (x; 6 k ) . Dene

x (U ) =

6 k h(1=Nk (x)) ;

k2ZZ
 (U ) = inf x (U ) :
x2U

We note that if D(U )  6 k0 and B (x; 6 k1 ) = fxg for all x , we have

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
satises 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)

(Bi (A))  (A) 2
6 k(A)+1 h

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 ,

(A`+1 )  (A` ) 2
6 k(A` )+1 h

1
:
1 + N (A` )

Sin e (fxg) = 0 , summation of those inequalities yields

(12:16)

(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 denition 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

variables. For u in U , k > k0 , we write simply gu;k = gB(u;6

k) .

We let further Zu =

u; v in U and let ` be the largest su h that (u; v)  6 ` . Then B (u; 6 k ) = B (v; 6

P
Zu Zv = 6 k (gu;k gv;k ) . It follows that
k>`

p X
kZu Zv k2  2 6 k  2
6
k>`

` 1

6 k gu;k . Let

k>k0
k ) for

 ` , so

 2(u; v)  2dX (u; v) :

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 , dene

Zu0 =
For i

k>k0 +1

6 k gu;k = Zu

6 k0 1 gu;k0 +1 :

 q onsider a measurable map i from

to Bi that satises Z0 i = sup Zu0 . Dene now a

measurable map  from

to U by  (!) = i (!) for ! in
i . We have

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

Further, the independen e of the variables (gB )B2B shows that I

i and Z0 i are independent, and thus
1
IE(I
i Z0 i ) = IP(
i )IEZ0 i = IEZ0 i :
q
By the indu tion hypothesis, for every i ,

AIEZ0 i = AIE sup Zu0   (Bi ) :

u2Bi
Sin e the denition of  makes it lear that for ea h i

 (Bi ) + 6 k0 1 (log q)1=2   (U ) ;

the proof is omplete.
Theorem 12.6 proves the existen e of a majorizing measure for Gaussian pro esses when the index set is
nite sin e (T )  (T ) (Lemma 12.1). We now dedu e from this nite ase the existen e of a majorizing
measure for almost surely bounded general Gaussian pro esses. The use of the fun tional  a tually yields

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

where K is a numeri al onstant.

Proof. Theorem 12.6 shows that for ea h nite subset F of T ,

(F )  K IE sup Xt  K IE sup Xt :
t2F
t2T
It is hen e enough to show that if  = supf(F ) ; F  T ; F niteg , there is a probability measure m
on T su h that the left hand side of the inequality of the theorem is less than K . Denote by k0 the
largest integer with 2 k0  D(T ) . Sin e X is almost surely bounded, N (T; dX ; ") < 1 for every " > 0
(Theorem 3.18). For `  k0 , let T` be a nite subset of T su h that ea h point of T is within a distan e
 2 ` of a point of T` . Consider a map a` from T to T` su h that dX (t; a` (t))  2 ` . For ea h k , we
know that (T` )   . So there exist an ultrametri spa e (U` ; ` ) , a ontra tion '` from U` on T` , and
a probability ` on U` su h that ` (U` )   . This implies that, for every u in U` and every ` ,
(12:17)

k>k0

2 k h(m` (B (u; 2 k )))  2 :

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

dX (t; ak ('` (v(B (u; 2 k )))))  2 k+1 + 2 ` :

We set t`k = ak ('` (v(B (u; 2 k )))) so dX (t; t`k )  2 k+1 + 2 ` , and m`k (ft`k g)  m` (B (u; 2 k )) . It follows
from (12.17) that we have
X
2 k h(m`k (ft`k g))  2 :
k>k0

Let U be a ultralter 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

2k0 k mk , so m is a probability on T . We note that, by (12.5),

h(m(ftk g))  h(2k0 k mk (ftk g))

 h(2k k ) + h(mk (ftk g)) :

0

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

IE sup Xt = IE sup (Xt

t2Bn;i
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)

h(supfmn;i (fsg); dX (s; t) < "g)d"  K (an ) :

Let m0n;i = 12 (t(n;i) + mn;i ) and let

X X
m0 =
n 2 p(n) 1 m0n;i ;
n1 ip(n)

so jm0 j  1 . There is a probability m on T su h that m  m0 . Fix t in T , 0 <   D . Let n be the

smallest integer with an   , so   2an . We note that if t 2 Bn;i ,
1
supfm(fsg); dX (s; t) < "g  2
supfm0n;i (fsg); dX (s; t) < "g :
2n p(n)
Also, for "  min(dn;i ; an ) ,

supfm(fsg); dX (s; t) < "g 

From (12.18) therefore, if t 2 Bn;i ,

Z 

h(supfm(fsg); dX (s; t) < "g)d" 

Z dn;i

1
:
2n2p(n)

h(supfmn;i(fsg); dX (s; t) < "g)d" + h



1
2
2n p(n)

 K (an ) + h p(1n) h 2n1 2

 K () + h(N (T; dX ; 2 ) 1 ) + h( 12 (log 2)2 (log D ) 2 )

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)

lim h(N (T; dX ; ) 1 ) = 0 :

!0

375

These observations on lude the proof of Theorem 12.9.

The two pre eding theorems therefore des ribe ne essary majorizing measure onditions for a Gaussian
pro ess to have bounded or ontinuous sample paths that, together with Theorem 11.18, thus provide a
omplete des ription of regularity properties of Gaussian pro esses. In the last part of this se tion, we
des ribe a onsequen e of this result in terms of a onvex hull representation of Gaussian pro esses.

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

n (t)  1 and the series onverges almost surely and in L2 . Moreover, ea h Yn is

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 denes 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

IPfsup jYn j > 2K (M + u)g  2 exp( 4K 2(M + u)2 =2kYnk22 )

n1
n1

 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)

2 k h(supfm(fsg); dX (s; t) < 2 k g)  KM :

kk0

For t in T , k  k0 , we pi k tk su h that dX (t; tk ) < 2 k and

m(ftk g) = supfm(fsg); dX (s; t) < 2 k g :

We an assume that tk0 does not depend on t . From (12.20), we see in parti ular that
2 k h(m(ftk g))  KM . Thus, for ea h t in T , tk belongs to the nite set

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

2 k h(bk m(ftk g))  K1 M

for some onstant K1 . For ea h t in T , k  k0 , we dene

at;k = 2 k (h(bk m(ftk g)) + h(bk+1 m(ftk+1 g))) :

Form (12.21),

kk0

at;k  3K1M . Dene then, for k  k0 ,

zt;k = 6K1 Mat;k1(Xtk+1

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

Xtk k2  dX (t; tk+1 ) + dX (t; tk )  3
2 k

so, if kzt;k k2  " , we have at;k  9
2 k K1 M=" and thus

h(bk m(ftk g)) + h(bk+1 m(ftk+1 ))  9K1M=" :

377

This implies that

m(ftk g); m(ftk+1 g)  2k k0 +1 h

 1

M
D

9K1M
"

Sin e m is a probability, this shows that there are at most

2 k+k0 1 h

M
D



 1

9K1M
"

possible hoi es for either tk or tk+1 when kzt;k k2  " . Therefore

Cardfz 2 Zk ; kz k2  "g  2
and

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

(6K1M ) 1 at;k zt;k :

P

at;k  3K1M , this implies that Xt Xtk0 =

n (t)Yn where
n (t)  1=2 and where the
n1
n1
kk0
series onverges almost surely sin e (Yn ) is bounded. Sin e kXtk0 k2   , the proof of Theorem 12.10 is
omplete.
Sin e

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

hq (m(B (t; ")))d"

and
(q) (T; d)
(q) (T ) = (q) (T; d) = inf m

where the inmum 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

hq (supfm(fsg); d(s; t) < "g)d"  Kq (q) (T; d) :

If T is nite, Proposition 11.10 indeed indi ates that (T; d)  Kq (q) (T; d) (where  is dened 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

n (t)Yn where n (t)

 0,

 1 and the series onverges

alsmost surely and in L1 . The main point in the Gaussian ase is of ourse that (2) (T; dX )  K IE sup Xt .
and su h that, for every t , Xt =

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

pro esses. Let X = (Xt )t2T be a bounded Gaussian pro ess on (

; A; IP) . Let H = L2 (
; A; IP) and
identify T with the subset of H onsisting of the family (Xt )t2T . Then, Theorem 12.10 proves the
existen e of a sequen e (yn ) in H su h that, for some M > 0 and all n , jyn j  M (log(n + 1)) 1=2 , and
T  Conv(yn ) . Let us rewrite this observation as a perhaps more geometri al statement about the nite
dimensional Hilbert spa e. Consider H of dimension N and denote by  normalized measure on its unit
ball. For a subset T of H , onsider

V (T ) =

sup jhx; yijd(x) :

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

`(T ) = IE sup jXt j = IE

gi2
t2T
i=1

!1=2 Z

sup jhx; yijd(x)

y 2T

and thus K 1N 1=2 V (T )  `(T )  KN 1=2 V (T ) for some numeri al K . Dene now

C (T ) = inf fa > 0 ; 9(yn ) in H ; jyn j  a(log(n + 1)) 1=2 ; T

 Conv(yn )g :

Then Theorem 12.10 an be reformulated as

(12:23)

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

Xt ) is the parameter of the real stable random variable Xs Xt ( f. Chapter 5).

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

kXs Xt kp;1  Cp dX (s; t) ;

the niteness of the entropy integral

Z D

s; t 2 T ;

(N (T; dX ; "))1=p d"

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 )

 Kp k sup jXs Xt jkp;1 .) If, moreover, X

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 

hq (supfm(fsg); dX (s; t) < "g)d" = 0 :

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 dened 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)

IPf!; d! (s; t)  "dX (s; t)g  exp(  "  )

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

where Kp only depends on p .

This result is the analog of the Gaussian Theorem 12.6 and the fun tional  is the one used in Se tion
12.1 with h = hq . We noted there that, with similar proofs than in the Gaussian ase, Theorem 12.12
follows from Theorem 12.13 (for ontinuity, note that (12.19) holds with h = hq by (5.21)). We therefore

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

6 k (log N (x; k))1=q ;

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

 (q) (U )  Kp k sup jXu Xv jkp;1 :

u;v2U

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

M = k sup jXu Xv jkp;1 :

u;v2U

383

X is onditionally Gaussian and we denote by X ! = (Xu! )u2U , for every ! in

, the onditional Gaussian
pro esses (see the proof of Theorem 5.10). By Fubini's theorem and denition of M , there exists a set

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

h02 ((y 2 U ; d! (x; y) < "))d" + K3
:

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)

IPf! ; d! (u; v)  "(u; v)g  (") :

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

h02 ((y 2 U ; d! (x; y) < "))d" + K3
:

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) =

Bk . Let further b; > 0 and dene

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

C (B; B1 ; B2 ) = A(B1 ; B2 ; b; (2N (B; k)) 2 )

where b = b(B; k) is hosen as
(12:31)

b =  1 ((2N (B; k)) 6 ) :

Bk+1 ,

385

It follows from (12.30) that IP(C (B; B1 ; B2 ))  (2N (B; k))

4.

For D in Bk , we onsider the event

A(D) =

C (B; B1 ; B2 )

where the union is taken over all hoi es of j  k , B in Bj0 , B

B1 ; B2  B . (If no su h hoi e is possible, we set A(D) = ; .)

 D , B1 ; B2 in Bj+1 , B1 6= B2 ,

Lemma 12.14. Under the previous notations,

IP(A(D))  (2

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 =

We have A(D) = A1 [ A2 and by the indu tion hypothesis, sin e N (D; k)  2 ,

IP(A1 )  N (D; k)(2
Using that IP(C (D; B1 ; B2 ))  (2N (B; k))

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

Hx = fz 2 U ; d! (x; z )  a(B; k)g :

We then have that, for all y in U ,

(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 denition 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

where g(y) = (x 2 B ; y 2 Hx )=(B ) . It follows from (12.32) that 0

denition of h02 , I (B )  (log(2N (B; k))1=2 . In parti ular therefore
(12:33)

 g  3=2N (B; k) , so that, by

a(B; k)I (B )  6 k 2 b(B; k)(log(2N (B; k))1=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

(x; `) = a(B (x; 6 k` (x) ) ; k` (x)) :

387

We have
Z

(x; `)h02 ((y 2 U ; d! (x; y) < (x; `)))d(x)

U ``(x)

(12:34)

XZ

a(B; k)h02 ((y 2 U ; h! (x; y)  a(B; k)))d(x)

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)

6 k 2 b(B; k)(log(2N (B; k)))1=2 (B )

where the summation is over the same range. Observe that for ` < `(x) , (x; ` +1)  (x; `)=8 (by denition
of Bk0 and sin e  is in reasing). Also, (x; 1)   1 (1=2)
. It follows that, for every x ,
X

``(x)

(x; `)h02 ((y 2 U ; d! (x; y) < (x; `)))

2

Z 

(1=2)

h02 ((y 2 U ; d! (x; y) < "))d" :

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

h02 ((y 2 U ; d! (x; y) < "))d"

6 k  1 ((2N (B; k)) 6 )(log(2N (B; k)))1=2 (B )

where the summation is taken over ea h value of k and ea h B in Bk0 .

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)

6 k`(x) (log(2N (x; k` (x)))1=q :

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

k0 = k1 (x) <


< ks (x)  i < ks+1 (x) ;

we have

i k0

N (x; i)  22

i ks (x)

N (x; ks (x))2

i k1 (x)

: : : N (x; k1 (x))2

as is shown by immediate indu tion over i . Therefore,

(log N (x; i))1=q

 (2i k0 log 2)1=q +

s
X
`=1

(2i k` (x) log N (x; k` (x)))1=q :

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

kf k Lip = D 1 kf k1 + sup jf (sd)(s; tf)(t)j :

s=
6 t

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

i j (xi )k1 kp;1  C

kxi kpLip

!1=p

Denote further by Tp0 (j ) , 1  p  2 , the smallest onstant C su h that

IEk

"i j (xi )k1  C

8 P
>
<(

>
:

kxi k2Lip)

if p = 2

k(kxi k Lip)kp;1 if 1  p < 2 :

390

The introdu tion of those two type onstants is motivated by the two possible denitions 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

hq (m(B (t; ")))d" ;

and set
(q) (T; d)
(q) (T; d) = inf m

where the inmum runs over all probability measures m on T . We then have the following theorem.

Theorem 12.17. Let 1  p  2 . There is a onstant Kp depending only on p su h that

Kp 1 Tp0 (j )  (q) (T; d)  Kp Tp (j ) :
Proof. We rst prove the left hand side inequality for p = 2 . Let (xi ) be a nite sequen e in Lip(T )
P
P
su h that, by homogeneity, kxi k2Lip = 1 . Let X = (Xt )t2T where Xt = "i xi (t) , t 2 T , and set
Pi

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

"i j (xi )k1 = IE sup j "i xi (t)j

t2T i
i

 sup
t2T

xi

(t)2

!1=2

+ K (2)(T; dX ) :

391

Now, by denition of

k
k Lip , for every s; t in T , (P xi (t)2 )1=2  D and dX (s; t)  d(s; t) . Thus

i

IEk

"i j (xi )k1  D + K (2)(T; d)

 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

(q) (T )  Kp supf(A) ; A  T ; A niteg

(where, for simpliti y, we do not spe ify q in  ). Hen e, it is enough to show that, when T is nite,
(T )  KpTp (j ) . Here, Kp denotes some onstant depending only on p and not ne essarily the same in
ea h o uren e. We laim that it is enough to show that when (T; d) is nite and ultrametri , there is a
P
nite family (xi ) in Lip(T ) with ( kxi kpLip )1=p  128 (for example!) and su h that if, for t in T ,
i
P
Xt = i xi (t) , then the anoni al distan e dX of the p -stable pro ess X = (Xt )t2T satises dX  d .
i
Indeed, we would then have 128Tp(j )  k sup jXt jkp;1 , and, by the onjun tion of Theorem 12.5 and
t2T
Proposition 12.7 for p = 2 , or (12.25) for 1  p < 2 , the result. (We use here the fa t that (12.25) also
holds for p = 1 , f. [Ta8.)
Let k0 be the largest su h that 4 k0  D . For k  k0 , denote by Bk the family of balls of T of radius
S
Bk .
4 k . Sin e T is nite, there exists k1 su h that B (x; 4 k1 ) = fxg for every x in T . Let B =
k0 kk1
For " = ("B )B2B 2 E = f0; 1gB , we dene

'" =

k1
X

k=k0 +1 B 2Bk

4 k "B IB :

 P 4 k  2D . Consider now s; t in T and let ` be the largest su h that

k>k
d(s; t)  4 ` . If B 2 Bm for some m  ` , we have IB (s) = IB (t) . It follows that

We note that k'" k1

j'" (s) '" (t)j 

k>`

4 k  2d(s; t) :

392

This shows that k'" k Lip  4 . The denition 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

j'" (s) '" (t)j  4

` 1 j"

4

` 1 j"

"B2 (t)j

B1 (s)

"B2 (t)j

B1 (s)

4 k

k>`+1
1 ` 1
4
:

Sin e j"B1 (s) "B2 (t)j is zero or one, we have

j'" (s) '" (t)j  12 4

` 1 j"

B1 (s)

"B2 (t)j :

Set N = 2 CardB . It follows from the pre eding inequality that

1X
j' (s) '" (t)jp
N "2E "
Set then x" = 32N 1=p'" , "

P

1=p

!1=p

 211=p
12 4

` 1

 321 d(s; t) :

2 E . The family (x" )"2E is a nite family of elements of Lip(T ) su h

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 identied 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; k
kp;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 ,

kz nkp;1 = sup i1=p zin  M (log(n + 1))

i1

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 dened by yin = zin if zin
otherwise. Clearly
X
jyn j2 = (zin )2  Kp00 M 2 (log(n + 1)) 1

62 fz1n; : : : ; zin g , yin = 0

0

i>i0

and the laims follows by (12.37).

Hen e, under a majorizing measure ondition of the type (q) (T; k
kp;1 ) < 1 , T is de omposable.
The next proposition des ribes a more general result based on Lemma 4.9. It deals with a natural lass of
bounded Radema her pro esses whi h, a ording to the onje ture, ould possibly des ribe all Radema her
pro esses.

Proposition 12.18. Let (an ) be a sequen e in `2 su h that for some M

X

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

"i ani j > M1 g :

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

Hen e, for all N , jyN j

Conv(yn ) .

 K1 M12 = log(4N ) . The on lusion immediately follows sin e Conv(vn ) =

Notes and Referen es

The main results of this hapter are taken from the two papers [Ta5 and [Ta8 where existen e of
majorizing measures for bounded Gaussian and p -stable pro esses, 1  p < 2 , has been established.
This hapter basi ally ompiles, with some omissions, these arti les. Referen es on Gaussian pro esses (in
the spirit of what is developed in this hapter) presenting the results at their stage of developments are the
arti le by R. Dudley [Du2, the well-known notes by X. Fernique [Fer4 and the paper by N. C. Jain and M.
B. Mar us [J-M3. A re ent a ount on both ontinuity and extrema is the set of notes by R. J. Adler [Ad.
The niteness of Dudley's entropy ondition for almost surely bounded stationary Gaussian pro esses is
due to X. Fernique [Fer4. The result orresponds to Theorems 12.8 and 12.9 in an homogeneous setting and
will be detailed in the next hapter. (That the entropy integral is not ne essary in general was known sin e
the examples of [Du1.) X. Fernique also established in [Fer5 the a posteriori important ase of existen e
of a majorizing measure in ase of an ultrametri index set. He onje tured ba k in 1974 the validity of
the general ase. This result has thus been obtained in [Ta5. Let us mention also a "volumi " approa h to
regularity of Gaussian pro esses, a tually ontrol of subsets of Hilbert spa e, in the papers [Du1 and [Mi-P
(see also [Pi18).
One limitation of Theorem 12.5 is that it an help to understand only pro esses whi h are essentially
des ribed by a single distan e. This limit to the ase of Gaussian or p -stable pro esses. In the re ent work
[Ta18, this theorem is extended to a ase where the single distan e is repla ed by a family of distan es. The
ideas of this result, when restri ted to the ase of one single distan e, yield the new proof of Theorem 12.5
presented here, that is dierent from the original proof of [Ta5, and that is somewhat simpler and more
onstru tive. Another ontribution of [Ta18 is a new method to repla e, in the proof of Proposition 12.7,
the use of Slepian's lemma by the use of Sudakov minoration and of on entration of measure (expressed
by Borell inequality in the Gaussian ase). The use of these tools allow in [Ta18 to extend Theorem 12.12
(properly reformulated) to a large lass of innitely divisible pro esses.
Theorem 12.12 omes from [Ta8. It improves upon the homogoneous ase as well as the Sudakov type
minorations obtained previously by M. B. Mar us and G. Pisier [M-P2 ( f. Chapter 5). The somewhat
more general study for the proof has already been used in empiri al pro esses in [L-T4.

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

Chapter 13. Random Fourier series

13.1. Stationarity and entropy
13.2. Random Fourier series
13.3. Stable random Fourier series and strongly stationary pro esses
13.4. Ve tor valued random Fourier series
Notes and referen es

398

Chapter 13. Random Fourier series

In Chapter 11, we evaluated random pro esses indexed by an arbitrary index set T . We now take
advantage of some homogeneity properties of T and investigate in this setting, using the general on lusions
of Chapters 11 and 12, the more on rete pro esses of random Fourier series. The tools developed so far
lead indeed to a denitive treatment of those obje ts with appli ations to Harmoni Analysis. Our main
referen e for this hapter is the work by M. B. Mar us and G. Pisier [M-P1, [M-P2 to whi h we refer for
an histori al ba kground and a urate referen es and priorities.
In a rst paragraph, we brie y indi ate how majorizing measure and entropy onditions oin ide in an
homogeneous setting. We an therefore deal next only with the simpler minded entropy onditions. Using
ne essity of majorizing measure (entropy) ondition for boundedness and ontinuity of (stationary) Gaussian
pro esses, we investigate and hara terize in this way, in the se ond se tion, almost sure boundedness and
ontinuity of large lasses of random Fourier series. The ase of stable random Fourier series and strongly
stationary pro esses is studied next with the on lusions of Se tion 12.2. We on lude the hapter with some
results and omments on random Fourier series with ve tor valued oe ients.
Let us note that we usualy deal in this hapter with omplex Bana h spa es and use, often without further
noti e, the trivial extensions to the omplex ase of various results (like e.g. the ontra tion prin iple).

13.1. Stationarity and entropy

In this paragraph, we show that on translation invariant metri s, majorizing measure and entropy onditions are the same. We shall adopt (throughout this hapter) the following homogeneous setting. Let G be
a lo ally ompa t Abelian group with unit element 0 . Let (
) = j
j be the normalized translation invariant (Haar) measure on G . Consider furthermore a metri or pseudo-metri d on G whi h is translation
invariant in the sense that d(u + s; u + t) = d(s; t) for all u; s; t in G . Let nally T be a ompa t subset
of nonempty interior of G .
Re all that N (T; d; ") denotes the minimal number of open balls (with enters in T ) of radius " > 0 in
the pseudo-metri d ne essary to over T . More generally, for subsets A; B of G , denote by N (A; B ) the
minimal number of translates of B (by elements of A ) ne essary to over A , i.e.

N (A; B ) = inf fN  1 ; 9t1 ; : : : ; tN

2 A; A 

N
[

(ti + B )g :

i=1

399

Here t + B = ft + s ; s 2 B g . We let similarly for subsets A; B of G , A + B = fs + t ; s 2 A ; t 2 B g

and dene in the same way A B , et . In parti ular, we set T 0 = T + T and T 00 = T + T 0 = T + T + T .
The following lemma is an elementary statement on the pre eding overing numbers whi h will be useful
in various parts of this hapter. We set B (0; ") = ft 2 G ; d(t; 0) < "g .

Lemma 13.1. Under the previous notations, we have:

(i) if B = T 0 \ B (0; ") , " > 0 , then N (T; d; ") = N (T; B ) ;
(ii) N (T; d; 2")  N (T; B (0; ") B (0; ")) ;
(iii) if A  G , N (T; A)  jT j=jAj ;
(iv) if A  T 0 , N (T; A A)  jT 00 j=jAj .

Proof. (i) follows immediately from the denitions. (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

Hen e, t + u = ti + v for some u; v in A . Therefore t 2 ti + A A and T  (ti + A A) . This implies

i=1
that M  N (T; A A) . Now (ti + A)iM are disjoint in T 00 = T + T 0 and thus

jT 00 j 

M
X
i=1

jti + Aj = M jAj  N (T; A A)jAj :

The proof of Lemma 13.1 is omplete.

Provided with this lemma we an ompare majorizing measure and entropy onditions in translation
invariant situations. The idea is simply that if a majorizing measure exists then Haar measure is also a
majorizing measure from whi h the on lusion then follows from the pre eding lemma.

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

jT j N (T; d; ") d"  sup Z D

jT 00 j
t2T 0

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

Now, by Fubini's theorem and translation invarian e,

Z

m(B (t; "))d(t) =

Hen e

M

Z D

jT \ B (s; ")jdm(s)  jT 0 \ B (0; ")j :

1

jT j

jT 0 \ B (0; ")j d" :

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

from whi h Proposition 13.2 follows.

Note that, onversely, if T 00 denotes restri ted normalized Haar measure on T 00 = T + T + T , then, for
any  > 0 ,
(13:1)

sup
t2T

Z 

1
d" 
T 00 (B (t; "))

Z 

jT 00 j N (T; d; ") d" :

jT j

(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

As usual, the integral is taken from 0 to

1 but of ourse stops at D . When q = 1 , we let

E (1) (T; d) =

log(1 + log N (T; d; "))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

(log N (G; dX ; "))1=2 d" < 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)) +

gn0 Im(an n (t)) ; t 2 G ;

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 ,

 () = supf" > 0 ; jT 0 \ B (0; ")j < g :

For 1 < p  2 , let

I (p) (T; d) =

Z jT 0 j

(")
d"
000 1=p
" log 4jT" j


403

where T 000 = T + T + T + T . By Lemma 13.1 and elementary arguments it an be shown that, if q is

the onjugate of p , E (q) (T; d) and I (p) (T; d) are essentially of the same order. Namely, for some onstant
Kp > 0 only depending on p ,

Kp 1 (D + I (p) (T; d))  E (q) (T; d)  Kp (D + I (p) (T; d))

where D is the diameter of (T; d) . A similar result holds for p = 1 (and q = 1 ).

13.2. Random Fourier series

In this paragraph, we take advantage of Theorem 13.3 to study a lass of random Fourier series and develop
some appli ations. The interested reader will nd in the book [M-P1 a general and histori al introdu tion
to random Fourier series. We more or less only on entrate here on one typi al situation. In parti ular, we
only onsider Abelian groups. We refer to [M-P1 for the non-Abelian ase as well as for further aspe ts.
Throughout this se tion, we x the following notations. G is a lo ally ompa t Abelian group with
identity element 0 and Haar measure (
) = j
j . We denote by V a ompa t neighborhood of 0 (by
translation invarian e, the results would apply to all ompa t sets with nonempty interior). Let be the
dual group of all hara ters of G (i.e. is a ontinuous omplex valued fun tion on G su h that
j (t)j = 1 , (s) (t) = (s + t) for all s; t in G ). Fix a ountable subset A of . Sin e the main interest
will be the study of random Fourier series with spe trum in A , and sin e A generates a losed separable
subgroup of , we an assume without restri ting the generality that itself is separable. In parti ular,
all the ompa t subsets of G are metrizable. As a on rete example of this setting, one may onsider the
ompa t group TT = IR=ZZ (identied with [0; 2 ) with ZZ as dual group.

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

ja j2 < 1 . (We sometimes omit 2 A in the summa-

.) Let also (g ) 2A be a standard Gaussian sequen e.

Following the omments at the end of Theorem 13.3, let us rst onsider the Gaussian pro ess X = (Xt )t2G
given by
tion symbol only indi ated then by

(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 dened 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

(iii) E (2) (V; dX ) < 1 .

Further, for some numeri al onstant K ,

0

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 satised 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 :

Consider the pro ess Y = (Yt )t2G dened by

(13:4)

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

ja j2 IEj j2 j (s) (t)j2 A

; s; t 2 G ;

406

whi h is translation invariant. If V is as usual a ompa t neighborhood of 0 , we shall be interested, as

previously in the Gaussian ase, in the almost sure uniform onvergen e on V of the random Fourier series Y
of (13.4). The main obje tive is to try to obtain bounds similar to the ones of the Gaussian random Fourier
series ((13.2)). The basi idea onsists in rst writing the best possible entropy estimates onditionally on
the sequen e ( ) (that is, along the Radema her sequen e) and then integrating and making use of the
translation invariant properties. The rst step is simply the ontent of the following lemma whi h is the
entropi (and omplex) version of (11.19) and Lemma 11.20.
P

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 dened by
d2 (s; t) =
if p = 2 and

jxi (s) xi

(t)j2

!1=2

dp (s; t) = k(xi (s) xi (t))kp;1

if 1  p < 2 . Then, for some Kp depending only on p ,

0


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

ja j2 IEj j2 A + E (2) (V; dY )C

A:

407

Proof. There is no loss of generality to assume by homogeneity that (for example)

X

ja j2 IEj j2

!1=2

Denote by
0 the set, of probability one, of all ! 's for whi h

the translation invariant pseudo-metri

X

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 :

Clearly, for every s; t , IEd2! (s; t) = d2Y (s; t) and

X

d! (s; t)  D(!) = 2

ja j2 j (!)j2

!1=2

< 1:

We may as well assume that D(!) > 0 for all ! in

0 . Conditionally on the set
0 , whi h only depends
on the sequen e ( ) , we now apply Lemma 13.5 (for p = 2 ). We get that, IE" denoting as usual partial
integration with respe t to the Radema her sequen e (" ) ,
X

(13:5)

IE" sup j a " 

t2V

(!) (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 , dene 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

Observe that, for every n  1 ,

(IEb2n )1=2

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
 5
2 n;
jWn j

so that in parti ular bn(
) ! 0 almost surely. Let us denote by

1 the set of full probability onsisting of

0 and of the set on whi h the sequen e (bn ) onverges to 0 . For ! in

1 , and n  1 , set

B (n; !) = ft 2 Wn ; d! (t; 0)  bn (!)=2g :

Clearly, by Fubini's theorem and denition of bn (!) ,

jB (n; !)j  jW2n 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

By this lemma, for ! in

1 , we have
Z D(!)

(log N (V; d!

; "))1=2 d" 

1
X
n=0

bn (!)(log N (V; d! ; bn+1 (!)))1=2 :

By Lemma 13.1 and (13.6), for ! in

1 and n  0 , we an write

N (V; d! ; bn+1(!))  N (V; B (n + 1; !) B (n + 1; !))

00
 jB (njV+ 1j ; !)j
00
 2 jWjV j j
n+1
j
V 00 j
 2 jV j N (V; Wn+1 )
00
 2 jjVV jj N (V; dY ; 2 n 1 ) :

409

Hen e (13.5) reads as

0


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

 K ((1 + L(V )1=2 )

IEk

a (IEj j2 )1=2 g k2

!1=2

(What we get a tually is that

IEk

a " 

k2

!1=2

 K (1 + L(V )1=2 )

+ IEk

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

 K ((1 + L(V )1=2 ) sup(IEj j2 )1=2 IEk

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

 inf IEj j IEk

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

a g . We know ((4.8)) that the onverse is always satised, i.e.

IEk

(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
satised 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 denitions 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.

Proposition 13.8. For some numeri al onstant K ,

IEk

a g

k2

!1=2

 K ((1 + L(V )1=2 )

IEk

a "

k2

!1=2

(Re all that by (13.9) the reserve inequality is satised 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 ied. 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

To the se ond, we apply (13.7) to see that it bounded by

K (1 + L(V )1=2 )(IEjgj2 I

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

ja j2 < 1 and ( ) is a symmetri sequen e of real random variables su h that

sup IEj j2 < 1 and inf
IEj j > 0 . Re all that by the symmetry assumption, ( ) has the same distribution


as ("  ) where (" ) is an independent Radema her sequen e.
where

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 dened 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

+ E (2) (V; d)A

0

 (IEkY k2 )1=2  K (1 + L(V )1=2 ) sup(IEj j2 )1=2 

ja j2

!1=2

+ E (2) (V; d)A :

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
satises 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 satises 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 satises 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 denition 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

, s; t 2 G , whi h thus provides a metri des ription of C a.s. as opposed

to the pre eding probabilisti denition. 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

Repla ing  by  and b by  b , we get that, sin e j j = 1 ,

IEk

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).

Proposition 13.11. The spa e C a.s. is of otype 2 .

Proof. We need to show that there is some onstant C su h that if a1 ; : : : ; aN are elements of C a.s. ,
then
N
X
i=1

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. dened for every in

by a =

N
P

i=1

jai j2

N
X

IE[[

1=2

. By Jensen's inequality and (4.3), it is lear that

1
"i ai 2  [ a 2
2
i=1

414

so that we have only to show that

N
P

[ ai 2  C [ a 2 . We simply dedu e this from (13.8). Independently of

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 satised, 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

jF (x) F (y)j  jx yj and jF (x)j  1 for all x; y 2 CI :

Let f be a fun tion in C (G) su h that fb belongs to C a.s. . Then, h = F f belongs to C a.s. and for
some numeri al onstant K1  1 ,
(13:11)

[ 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 ,

kXs Xt k2 = kfs ftk2

where the L2 norm on the left is understood with respe t to the Gaussian sequen e (g ) and the one on
the right with respe t to Haar measure on G . For (13.11), sin e F is 1 -Lips hitz, we have that

khs ht k2  kfs ft k2 and khk2  1

and the inequality then follows from (for example) Corollary 3.14 (in some omplex formulation).
Let B be the spa e of the fun tions f in C (G) whose Fourier transform fb belongs to C a.s. = C a.s. (G) .
Equip B with the norm

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 dened 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 :

 1 , sin e 4fh = (f + h)2 (f h)2 , as a orollary of (13.11)

 2K1 (2 + [ fb + [ b
[ fh
h ) :

The inequality jjfhjj  jjf jj jjhjj follows from denition of

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) denes
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 ( ) satises 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 (
) = j
j . 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 =

j (tj )j2 dm( ) :

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 denition
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

where 0p = 02 j os xjp dx=2

. (Only in the Gaussian ase, p = 2 , 1 and 2 are ne essarily
independent.) This denition is one 2 -dimensional extension of the real stable variables for whi h spe tral
measures are on entrated on f 1; +1g . Let A be a ountable subset of . Let further (e ) 2A be a
P
sequen e of independent variables distributed as e and (a ) 2A be omplex numbers with ja jp < 1 .

Then

Xt =

2A

a e (t) ;

t 2 G;

denes 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 denition (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) =

j (s) (t)jp dm( )

1=p

dX denes 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

k sup jXt jkp;1  Kp 1(E (q) (V; dX ) L(V )1=q D(V ))

t2V

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 ))

 kX kp;1  Kp ((1 + L(V )1=q )jmj1=p + E (q) (V; dX ))

where m is the spe tral measure of X and D(V ) the diameter of (V; dX ) .

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

d! (s; t) = k( j 1=p (!) Re(wj (!)(Yj (!; s) Yj (!; t))))kp;1 :

Sin e the Yj 's take their values in , the dual group of G , it is easy to verify that d! is, for almost all
! , ontinuous on V  V . Indeed, if  is a metri for whi h V is ompa t, we dedu e from (5.8) and
Corollary 5.9 that
IE sup d! (s; t)  Kp IE sup jY1 (s) Y1 (t)j
 (s;t)<"
 (s;t)<"
s;t2V
s;t2V
for all " > 0 . ( Kp denotes here and below some onstant only depending on 1 < p < 2 .) The laim thus
follows. Further, sin e k Re(w1 (Y1 (s) Y1 (t)))kp = 0p dX (s; t) , we have from exa tly the same tools that
IEd! (s; t)  KpdX (s; t)

(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"
!

(!)"j Re(wj (!)Yj (!; t))

t2V

has a version with almost all

(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

IEkX k  Kp (1 + L(V )1=q + E (q) (V; dX )) :

Sin e IEkX k is equivalent to kX kp;1 (Proposition 5.6), the proof of Theorem 13.12 is thus omplete (re all
we have assumed by homogeneity that jmj = 1 ).

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

. Let 1  p < 2 . Let (a ) 2A be

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) ;

in terms of the translation invariant pseudo-metri

0

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 dened 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

kY kp;1  Kp sup k kp;1 (1 + L(V )1=q )

ja jp

!1=p

+ E (q) (V; d)A

(where kY kp;1 = k sup jYt jkp;1 ).

t2V
Proof. It is entirely similar (a tually somewhat simpler) to the proofs of Theorems 13.6 and 13.12 so
that we only mention a few observations. By independen e and symmetry, Y an be repla ed by
X

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

is bounded below for u su iently large. Therefore, if

same holds for

a  onverges uniformly almost surely, the

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  .

13.4. Ve tor valued random Fourier series

In the last part of this hapter, we present some appli ations of the previous results to ve tor valued
stationary pro esses and random Fourier series. The results are still fragmentary and only on ern so far
Gaussian variables.
Let B be a separable Bana h spa e with dual spa e B 0 . Re all that by a pro ess X = (Xt )t2T with
values in B we simply mean a family su h that, for ea h t , Xt is a Borel random variable with values in
B . X is Gaussian if for every t1 ; : : : tN in T , (Xt1 ; : : : ; XtN ) is Gaussian (in B N ). As in the pre eding
se tions, let G be a lo ally ompa t Abelian group with identity 0 and dual group of hara ters . Let us
x also a ompa t metrizable neighborhood V of 0 . A pro ess X = (Xt )t2G indexed by G with values in
B is said to be stationary if, as in the real ase, for every u in G , (Xu+t )t2G has the same distribution
(on B G ) as X . Sin e B is separable, this is equivalent to say that for every f in B 0 , the real pro ess
(f (Xt ))t2G is stationary.
Almost sure boundedness and ontinuity of ve tor valued stationary Gaussian pro esses may be hara terized rather easily through the orresponding properties along linear fun tionals. This is the ontent
of the following statement. While this result is related to tensorization of Gaussian measures studied in
Se tion 3.3, it does not seem possible to dedu e it from the omparison theorems based on Slepian's lemma.
Instead we use majorizing measures and the deep results of Chapter 12. Re all that L(V ) = log(jV 00 j=jV j) ,
V 00 = V + V + V .

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

Note that, by the results of Se tion 13.1, X is ontinuous on V if and only if

lim sup

Z 

!0 kf k1 0

(and kXs

Xt k2 is ontinuous on V

(log N (V; df (X ) ; "))1=2 d" = 0

 V ) where df (X ) (s; t) = kf (Xs ) f (Xt )k2 , f 2 B 0 , s; t 2 G .

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

d"  K IE sup0 f (X0 ) = K IEkX0 k

f 2B1

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.

d((f; t); (g; s)) = kf (Xt ) g(Xs )k2 ;

f; g 2 B 0 , s; t 2 G . To ontrol the integral on the right of (13.19), note the following. By the triangle
inequality and stationarity,
d((f; t); (g; s))  dX0 (f; g) + df (X ) (s; t)

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

IE sup f (Xt )  2K sup

B10 V
B10

1

1
log
m(B (f; "))

1=2

d" + sup
B10 V

log

V 00 (Bdf (X) (t; "))

!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. Dene then (using the ontra tion

prin iple) the Gaussian random Fourier series X = (Xt )t2G by

(13:20)

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,

g x onverges uniformly almost surely if and only if






X

f (x )g (t) =
lim sup IE sup 
kf k1 t2V  2F


where the limit is taken over the nite sets F in reasing to A .

The s alar ase investigation of Se tions 13.2 and 13.3 invites to onsider the same onvergen e question
of ve tor valued random Fourier series of the type (13.20) when for example the Gaussian sequen e (g )
is repla ed by a Radema her sequen e (" ) or a standard p -stable sequen e ( ) , 1

 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

" x is hara terized as

g x onverge simultaneously. We know that

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

" x is only dominated by

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

Let A be a ountable subset of . Let further (x ) 2A be a sequen e in a omplex Bana h spa e B

P
and let ( ) 2A be independent symmetri real random variables. Assuming that  x is almost surely

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 denes 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.

Theorem 13.16. For a Bana h spa e B , the following are equivalent:

(i) B does not ontain subspa es isomorphi to 0 .
(ii) Every almost surely uniformly bounded random Fourier series of the type (13.21) with oe ients
in B is almost surely uniformly onvergent.

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 k
k 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

inf knk (!)xnk k > 0 :

k

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 . Dene 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)

= sup sup sup 2

N t2G nN
= sup 2 n
n

i2I (n)





X


n

g
"
(
t
)
i
i


i2I (n)


jgi j

(where we have used that ("n ) generates `1 in L1 (G) ). Now sup 2 n

Indeed, sup 2 n
n

i2I (n)

IEjgi j < 1 , and, by Chebyshev's inequality,

8
< X
IP 
:
i2I (n)




gi 


i2I (n)

jgi j < 1 almost surely.

9
=

jgi j IEj j > 2n ;  2 n :

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.

Notes and Referen es

The main referen es to this hapter are the book [M-P1 by M. B. Mar us and G. Pisier and their paper
[M-P2 (see also [M-P3). Random Fourier series go ba k to Paley, Salem and Zygmund. Kahane's ideas
[Ka1 signi antly ontributed to the neat a hievements of [M-P1.
Theorem 13.3 is due to X. Fernique [Fer4 (with of ourse a dire t entropi proof). (See also [J-M3 for an
exposition of this result more in the setting of random Fourier series.) It is the translation invariant version

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 innitely
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

Chapter 14. Empiri al pro ess methods in Probability in Bana h spa es

14.1. The entral limit theorem for Lips hitz pro esses
14.2. Empiri al pro esses and random geometry
14.3. Vapnik-Chervonenkis lasses of sets
Notes and referen es

431

Chapter 14. Empiri al pro ess methods in Probability in Bana h spa es

The purpose of this hapter is to present appli ations of the random pro ess te hniques developed so far to
innite dimensional limit theorems, and in parti ular the entral limit theorem (CLT). More pre isely, we will
be interested for example in the CLT in the spa e C (T ) of ontinuous fun tions on a ompa t metri spa e
T . Sin e C (T ) is not well behaved with respe t to the type or otype 2 properties, we will have rather to
seek for ni e lasses of random variables in C (T ) for whi h a entral limit property an be established. This
point of view leads to enlarge this framework and to investigate limit theorems for empiri al measures or
pro esses. Random geometri des riptions of the CLT may then be produ ed through this approa h as well
as omplete des ription for ni e lasses of fun tions (indi ator fun tions of some sets) on whi h the empiri al
pro esses are indexed. While these random geometri des riptions do not solve the entral limit problem in
innite dimension (and are probably of little use in appli ations), they however learly des ribe the main
di ulties inherent to the problem from the empiri al point of view.
We do not try to give here a omplete a ount on empiri al pro esses and their limiting properties but
rather on entrate on some useful methods and ideas related to the material already dis ussed in this book.
The examples of te hniques we hose to present are borrowed from the work by R. Dudley [Du4, [Du5
and E. Gine and J. Zinn [G-Z2, [G-Z3, and we a tually refer the interested reader to these authors for a
omplete exposition. The rst se tion of this hapter presents various results on the CLT for subgaussian and
Lips hitz pro esses in C (T ) under metri entropy or majorizing measure onditions. In the se ond se tion,
we introdu e the language of empiri al pro esses and dis uss the ee t of pregaussianness in two ases: the
rst one on erns uniformly bounded lasses while the se ond provides a random geometri des ription of
Donsker lasses, i.e. lasses for whi h the CLT holds. Vapnik-Chervonenkis lasses of sets form the matter
of Se tion 14.3 where it is shown how these lasses satisfy the lassi al limit properties uniformly over all
probability measures, and are a tually hara terized in this way.

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 satises 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)

lim sup IP sup

n!1
d(s;t)<


 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) satises 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 denes (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
satises 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)



pnSn (t)  < " :

IE sup

d(s;t)<

Hen e, X satises 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 :

Then X satises the CLT.

We turn to the se ond lass of random variables in C (T ) we will study here whi h are the Lips hitz
random variables. They will be shown to be onditionally subgaussian and will therefore satisfy the CLT
under onditions similar to the ones used for subgaussian variables. One rst and main result is the following
theorem.

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 ,

jX (!; s) X (!; t)j  M (!)d(s; t) :

Then, if (T; d) satises 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; d) , X satises the CLT in C (T ) .

Re all that we may assume equivalently (Theorem 12.9) that d is the L2 -pseudo-metri of a Gaussian
random variable in C (T ) . We would like to mention that the exposition of the proof of Theorem 14.2 we
give is slightly more ompli ated than it should be. It should a tually be similar to the proof of Theorem
14.5 below. We hose this exposition in order to in lude in the same pattern Theorem 14.3.

Proof. Let X , and (Xi ) , be dened on (

; A; IP) . By Proposition 10.4, or a simple symmetrization
argument, we may and do assume that X is symmetri ally distributed. Thus, (Xi ) has the same distribution

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

jXi (!; s) Xi (!; t)j2

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 ied 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)<

It is now easy to on lude

Theorem 14.2. Fix " > 0 and let a = a(") > 0 be su h that
( the proof of )

a2  2IEM 2 =" . Hen e IP

n
P

j =1

IP

sup

d(s;t)<

Mj2 > a2 n


 Sn (s)



 "=2 for all n . For all  > 0 , we an write




pnSn (t)  > "

 2" + IPf sup jY n (s) Y n (t)j > "g

d(s;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 satised with = "2 =2a , we nd
that X satises (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 ) satises 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

 2T2(j )(IEkX k2Lip )1=2 :

In parti ular, X already satises 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 modied 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

jX (!; s) X (!; t)j  M (!)d(s; t) :

Then, if 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 ;

X satises the CLT in C (T ) .

Proof. We rst need transform the (ne essary) pregaussian property into a majorizing measure ondition. There exists a Gaussian variable in C (T ) with L2 -metri dX (s; t) = kXs Xt k2 . By the omments
next to Theorem 11.18, this Gaussian pro ess is also ontinuous with respe t to dX and thus, by Theorem
12.9, there is a probability measure m0 on (T; dX ) whi h satises the same majorizing measure ondition
as m on (T; d) . We would like to have this property for the maximum of those two distan es d and dX .
Clearly,  = m  m0 on T  T equipped with the metri de((s; t); (s0 ; t0 )) = max(d(s; s0 ); dX (t; t0 )) satises
lim sup
!0 T T

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 denition 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
denition 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) :

. For any random A > 0 , we an write by the triangle inequality and



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 + )

Let us now observe that on the set


(

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 



> u(4k(Zi )k2;1 + )

(
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

"i Xi (t)Ifk(Mj )jn k2;1 apng :

Lemma 14.4 implies that for all s; t in T and all u > 0 ,

IPfjY n (s) Y n (t)j > (4a + 1)ud(s; t)g  4 exp( u2=6)
sin e jXi (s) Xi (t)j  Mi d(s; t) and kXi (s) Xi (t)k2  d(s; t) for all i and s; t in T . From this result,
the proof of Theorem 14.3 is ompleted exa tly as the proof of Theorem 14.2 by the subgaussian results
(Proposition 11.19).
We on lude this se tion with an analogous study of some spe tral measures of p -stable random ve tors in
C (T ) . We already know the los e relationships between the Gaussian CLT and the question of existen e of a
stable random ve tor with given spe tral measure. The next example is another instan e of this observation.
Given a positive nite Radon measure  on C (T ) , we would like to determine onditions under whi h 
is the spe tral measure of some p -stable random variable in C (T ) with 1  p < 2 (re all the ase p < 1 is
trivial, f. Chapter 5). Sin e this seems a di ult task in general, we onsider, as for the CLT, the parti ular
ase orresponding to Lips hitz pro esses. Assume for simpli ity (and without any loss of generality) that
 is a probability measure so that it is the distribution of a random variable Y in C (T ) .

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 ,

jY (!; s) Y (!; t)j  M (!)d(s; t)

for some positive random variable M in Lp . Assume there is a probability measure m on (T; d) su h that
lim sup

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 denes 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

"j Yj is then seen to be onvergent almost surely and in L1 in C (T ) (It^o-Nisio theorem).

1 1=p
P
By Corollary 5.5, p 1
"j Yj therefore denes there a p -stable random variable with spe tral measure
j

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

Cq d(s; t)q k(j 1=p Mj (!))kqp;1

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.

14.2. Empiri al pro esses and random geometry

In this se tion, we examine the CLT through yet another angle, namely by empiri al pro ess methods. We
a tually only present a short overview of these empiral te hniques with, in parti ular, a random geometri
hara terization of lasses for whi h the entral limit property holds. We refer to [Du5 and [G-Z3 for some
of the basi s of the theory as well as for a more detailed investigation.
We rst introdu e the empiri al pro ess language. Let (S; S ) be a measurable spa e. If P is a probability
on (S; S ) , (Xi ) will denote here, unless otherwise indi ated, a sequen e of independent random variables
dened on some probability spa e (
; A; IP) with values in S and with ommon law P . We will also use
randomizing sequen es like Radema her or standard Gaussian sequen es ("i ) or (gi ) and denote a ordingly
by IP" , IE" , IPg , IEg partial integration with respe t to ("i ) or (gi ) . The empiri al measures Pn
asso iated to P are dened as the random measures on S given by

Pn (!) =

n
1X

;
n i=1 Xi (!)

! 2
; n 2 IN

(re all the Xi 's have ommon law P ).

In this se tion (and the next one), Lp = Lp (P ) , 0  p  1 , is understood to be Lp (S; S ; P ; IR) (we
write Lp or Lp (P ) depending on the ontext and the ne essity of spe ifying the underlying probability
P ). kf kp denotes the Lp -norm ( 1  p  1 ) of the measurable fun tion f on S , dp (f; g) = kf gkp its

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 dened 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 , dene
random elements in the spa e `1 (F ) of bounded fun tions F ! IR equipped with the sup-norm k
kF . 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 innite 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 denitions. A lass F as before is said to be
a Glivenko-Cantelli lass for P , or P satises the strong law of large numbers uniformly on F , if, with
probability one,
lim kP (f ) P (f )kF = 0 :
n!1 n
This denition 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 denition 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 satises 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 denitions 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 denitions, 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

lim sup IP "i f (Xi )= n > " < " :

;
:
n!1
i=1
F
The equivalen e holds similarly if the Radema her sequen e ("i ) is repla ed by an orthogaussian sequen e
(gi ) . From the integrability properties in the CLT, in the form for example of Corollary 10.2 and (10.2),
note that if F is a P -Donsker lass we also have that

(14:6)

n

1 X

p
lim
lim
sup
IE
"
f
(
X
)


i
i
!0 n!1


n i=1

F

=0

and similarly with (gi ) in pla e of ("i ) .

Provided with these denitions and observations, we now turn to the two results on Donsker lasses
we intend to present. The rst one des ribes the ee t of pregaussianness on the equi ontinuity ondition
of Theorem 14.6 for uniformly bounded lasses of fun tions. It ombines Sudakov's minoration with real
p
exponential bounds. For every " > 0 and integer n , F";n denotes F for  = ("= n)1=2 .

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

By denition of the entropy numbers, there exists

p
d2 (f; g)  ("= n)1=2 su h that
(14:7)

F ; d2 ; 12

 !!1=2
" 1=2
pn
:

G = G ("; n) maximal in F with respe t to the relations

p

CardG  exp( n (")2 n=") :

444

By maximality, for every f in

F there exists g in G satisfying d2 (f; g) < ("=pn)1=2 . Therefore, for every

 > 0 , and n su iently large depending on  , we an write for all > 0 ,

8
n
< X
IP "i f (Xi )=
:

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

So, by hypothesis, it is enough to show that for all > 0 ,

8
n
< X

lim
lim
sup
IP
"i f (Xi )=

!0 n!1
:

(14:8)

pn > = = 0 :


;

i=1

G

Set now, for every n ,

A("; n) = f8f 6= g in G = G ("; n) ; dn;2 (f; g)  2d2 (f; g)g

 n
P

1=2

where we re all that dn;2 (f; g) are the random distan es

(f g)2 (Xi )=n
. Let h = f g , f 6= g
i=1
p
in G ; then khk1  2 sin e F is uniformly bounded by 1 and khk2  ("= n)1=2 by denition of G . By
Lemma 1.6, for all n large enough,
IPfkhkn;2 > 2khk2g  IP

( n
X

i=1

(h2 (Xi ) IEh2 (Xi )) > 3nkhk22

 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

For ea h n and ! in A("; n) , onsider the Gaussian pro ess

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

d"  K IEkWP (f )kF

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 denes 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 denition 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 :
`

Dene 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 denition 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 ied 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

dn;2 (f2 ; f20 ) = kf2 f20 kn;2

`j

k(` (f ) ` 1 (f ))Ifj` (f )

`j

` 1 (f )ja(f;`)g kn;2

k(` (f 0 ) ` 1 (f 0 ))Ifj` (f 0 )

` 1 (f 0 )ja(f 0 ;`)g kn;2

and thus, on the set A(t) , for all f; f 0 ,

dn;2 (f2 ; f20 )  K2 1 t2 j+2  8K2 1t(f; f 0 )

(by denition of and j ). From this property, it follows from the majorizing measure bound of Theorem
11.18 and (14.10) that, for all t > 0 ,
(14:12)

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 denition 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
`

and that  is a probability. By (14.12), integration by parts

n
X
IE gi f (Xi )=

i=1

 t2 where t2 is numeri al. Therefore, if t  t0 =

pn

F2 F2

 t0 + t1 u
0

448

F , kf2k2  kf k2 + 2

from whi h (ii) immediately follows sin e, for any f in

`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

` (f )jIfj`+1 (f ) `(f )j>a(f;`+1)g ) :

By Cau hy-S hwartz and Chebyshev's inequalities,

kf1k1 


``0
X

``0

a(f; ` + 1)

1 kf

` (f )k2 k`+1 (f ) ` (f )k2

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

F1  F F2 , we already know from (ii) that

n
X
IE "i f (Xi )=

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

and further, by Lemma 6.3,

n
X
IE (

i=1

jf (Xi )j IEjf (Xi )j)=pn  4(v + Ku) :

Sin e kf1k1  K1 un 1=2 for all f1 in

omplete.

F1

F1 , (i) immediately follows. The proof of Theorem 14.8 is therefore

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

(where K is numeri al). In parti ular,

pn

n
F1 ()

n
F2 ()

=0

n
X
K lim sup lim sup IE "i f (Xi )=

!0 n!1

i=1

pn

F

F is P -Donsker if and only if

n
X

lim
lim
sup
IE

!0 n!1

i=1

jf (Xi )j=pn

F1n()

= 0:

14.3. Vapnik-Chervonenkis lasses of sets

While the previous se tion dealt with random hara terizations of Donsker lasses, this paragraph is
devoted to the study of ni e lasses of indi ator fun tions for whi h the lassi al limit theorems an be
established. These lasses of sets are the so- alled Vapnik-Chervonenkis lasses whi h naturally extend the
ase of the intervals [0; t , 0  t  1 , on [0; 1 . As we will see moreover, the limit properties of empiri al
pro esses indexed by Vapnik-Chervonenkis lasses a tually hold uniformly over all probability distributions.

450

Let S be a set and C be a lass of subsets of S . Let A be a subset of S of ardinality k . Say

that C shatters A if ea h subset of A is the tra e of an element of C , i.e. Card(C \ A) = 2k where
C \ A = fC \ A ; C 2 Cg . Say that C is a Vapnik-Chervonenkis lass (VC lass in short) if there exists an
integer k  1 su h that no subset A of S of ardinality k is shattered by C , i.e. for all A in S with
CardA = k , we have Card(C \ A) < 2k . Denote by v(C ) the smallest k with this property. The lass
C = f[0; t ; 0  t  1g in [0; 1 is a VC lass with v(C ) = 2 . The following result is the most striking fa t
about VC lasses.

Proposition 14.10. Let

C be a VC lass in S and let v = v(C ) . Then, for any nite subset A of S ,

Card(C \ A)  CardfB  A ; CardB < vg :

In parti ular, if CardA = n and n  v ,

Card(C \ A) 

 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.

Proposition 14.11. Let A be a nite set and

U a lass of subsets of A . Then,

CardU  CardfB  A ; B is shattered by Ug :

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 dene 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 denition 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

dQ (A; B ) = (Q(A4B ))1=2 = kIA IB k2

(where A
B = (A \ B ) [ (A \ B ) and where the norm k
k2 is understood with respe t to Q ). Re all
the entropy numbers N (C ; dQ ; ") . The next theorem is a onsequen e of Proposition 14.10 and appears as
the fundamental property in the study of limit theorems for empiri al pro esses indexed by VC lasses.

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

for all k 6= ` and integer M . Therefore, if M is hosen su h that N 2 (1 "2 )M < 1 ,

IPf9k 6= ` ; (Ak 4A`) \ fX1; : : : ; XM g 6= ;g > 0
and there exist therefore points x1 ; : : : ; xM in S su h that, for k =
6 ` , (Ak 4A`) \ fx1 ; : : : ; xM g) =6 ; .
Proposition 14.10 then indi ates that, ne essarily,


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

 v log 4"2e + log logv N

 v log 4"2e + 1e log N



where we have used that log x  x=e , x > 0 . It follows that

log N
an inequality whi h is also satised when log N
Theorem 14.12 is established.

 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.

Theorem 14.13. Let

P on (S; S ) .

C  S be a VC lass. Then C is a Donsker lass for every probability measure

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)

lim lim sup IP

!0 n!1

i=1

p
ID )(Xi )= n > " = 0


453

for all " > 0 (where, of ourse, C; D belong to

C ). Re all the empiri al measures Pn (!) = P Xi (!) =n ,

 i=1
n
P

! 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 

(log N (C ; dQ ; "))1=2 d" = 0 ;

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

By Lemma 6.3 (a tually the subsequent omment), we also have that

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 satised, 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

This gives (14.14) so that Theorem 14.13 is established.

The pre eding proof based on the key Theorem 14.12 a tually arries more information than the a tual
statement of Theorem 14.13. It indeed indi ates a uniformity property over all probability measures P .
With the same argument leading to (14.15) through Theorem 14.12, and as we a tually used it in the proof,
there is a numeri al onstant K su h that if C is VC,
sup IEkn(C )kC  Kv(C )1=2

(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

for all P . In parti ular, if P = k1 xi where x1 ; : : : ; xk are points in S , GP an be realized as

i=1

GP (C ) =

p1

k
X

k i=1

gi (xi (C ) P (C )) ;

C 2C;

455

where (gi ) is a standard normal sequen e. Therefore, from (14.18),

k
X


IE gi xi (C )

(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

we learly get that

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)

for all probabilities P :

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

Jensen's inequality on (i ) yields then

n
X


IE "i IC (Xi )

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

whi h is a ontradi tion. The proof of Proposition 14.14 is omplete.

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 ) dened 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

(provided there exists one). We have the following result.

C is a VC lass if and only if j is an operator of type

Therorem 14.15. In the pre eding notations,

2 . Moreover, for some numeri al onstant K ,

K 1 (v(C ))1=2  T2 (j )  K (v(C ))1=2 :

Proof. We establish that T2 (j )  K (v(C ))1=2 . Let (i ) be a nite sequen e in M (S; S ) . To prove the
P
type 2 inequality, we may assume that the measures i are positive and, by homogeneity, that ki k2 = 1 .
i
P
Set Q = ki ki . Then Q is a probability measure on (S; S ) and we have learly that
i

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 denition 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 :

1)1=2 =2  v1=2 =4 whi h ompletes the proof of Theorem 14.15.

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

C is a tually a VC lass as soon as the asso iated operator j has

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

and onsider the lass C of subsets of f1; 2; : : : ; ng of the form fi

Theorem 14.15 applied to this lass yields

2 f1; : : : ; ng ; xi (t) = 1g , t 2 T .

 T2 (j )pn  K (nv(C ))1=2 :

Therefore, by denition of v(C ) , the on lusion of the theorem is fullled 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.

Notes and referen es

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 ,

k sup jXs Xt j k2;1  " :

d(s;t)<"

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 denition 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

Chapter 15. Appli ations to Bana h spa e theory

15.1. Subspa es of small odimension
15.2. Conje tures on Sudakov's minoration for haos
15.3. An inequality of J. Bourgain
15.4. Invertibility of submatri es
15.5. Embedding subspa es of Lp into `N
p
15.6. Majorizing measures on ellipsoids
15.7. Cotype of the anoni al inje tion `N
1 ! L2;1
15.8. Mis ellaneous problems
Notes and referen es

462

Chapter 15. Appli ations to Bana h spa e theory

This last hapter emphasizes some appli ations of isoperimetri methods and pro ess te hniques of Probability in Bana h spa es to lo al theory of Bana h spa es. The appli ations we present are only a sample of
some of the re ent developments in lo al theory of Bana h spa es (and we refer to the lists of referen es and
seminars and pro eedings for further main examples in the histori al developments). They demonstrate the
power of probabilisti ideas in this ontext. This hapter is organized along its subtitles of rather independent ontext. Several questions and onje tures are presented in addition, some with details as in Se tions
15.2 and 15.6, the others in the last paragraph on mis ellaneous problems.

15.1. Subspa es of small odimension

Before turning to the obje t of this rst se tion, it is onvenient to brie y present a overing lemma in
the spirit of Lemma 9.5 whi h will be of help here. We denote by B2 = B2N the Eu lidean unit ball of IRN .

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

so that CardHe  (1 + 2=)N . By maximality of He , it is easily seen that ea h x in B2 an be written as

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

jxj  2 sup jhx; hij

h2He

for all x in IRN .

 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

`(T ) = IE sup  gi ti  = N sup jhx; tijd N (x)


t2T  i=1
IR t2T

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)

IPfjG(x)j < ujxjg 


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

Choose then for example  = k=2u2 and (15.1) follows.

Then next lemma is the main step of this proof. It is based on the isoperimetri type inequalities for
Gaussian measures.

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 denition 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 dene the random variables
jG(x)j :
A = sup jG(x)j ;
B = inf
x2S jxj
x2T

465

By Lemma 15.3 applied to T , for every u > 0 ,

IPfA > (8 + u)`(T )g  5k exp

ku2
;
8

so that, if u = 6 for example (k  1 ),

IPfA > 14`(T )g  exp( 2k) :
On the other hand, by (15.1),
IPfB

< ug  exp(K12 k)


eu2 k=2
:
k

If we hoose here u = K2 1 k where K2 = exp(K12 + 3) , it follows that

IPfB < K2 1 kg  exp( 2k) :

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

y)j `(T ) jG(!; x y)j `(T )

jxj  jyj + `p(T )  jGB(!;
+ p =
+ p
(! )
B (!)
k


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 , dene the two Gaussian pro esses

Xx;y = hG(x); yi + g =

N X
k
X
i=1 j =1

gij xi yj + g

where g is a standard normal variable independent of (gij ) and

Yx;y =

N
X
i=1

gi xi +

k
X
j =1

gj0 yj :

466

It is easy to see that for all x; x0 in S and y; y0 in S2k

1,

IE(Xx;y Xx0 ;y0 ) IE(Yx;y Yx0 ;y0 ) = (1

hx; x0 i)(1 hy; y0 i)

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 denition 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 > 

>
;

 IPfZk > 2g IP sup

N
X

x2S i=1

gi xi > 

N
X
 IPfZk > 2g 1 IE sup gi xi
x2S i=1

where we have set Zk =

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

sin e IEZk4  (k + 1)2 (elementary omputations), we get that




1
k
1
2
2
IPfZk  k=10 g  1

2
10 k + 1
2
at least if k  3 something we may assume without any loss of generality (in reasing if ne essary K in the
p
on lusion of the theorem). Hen e, by the pre eeding, if  = k=20 , the left side of (15.3) is larger than
1
2

p20 IE sup

N
X

k x2S i=1

gi xi :

Let then S = r 1 T \ S2N

467

where r > 0 . We have obtained from (15.3) (with  = k=20 ) that

p20 `(rT ) 12 exp( k=800) :

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 denition 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,
(

IPf inf sup Yx;y > g  IP Zk

x2S y2S k 1
2

N
P

and sup gi xi . For every

x2S i=1

N
X

sup gi xi > 
x2S i=1
(

 IPfZk  m g IP sup

N
X

x2S i=1
(

 1 IPfm Zk > g IP sup

gi xi > m 2
N
X

x2S i=1

By Lemma 3.1, if m M

gi xi > M + (m M

2) :

2 > 0 , this is larger than

1

1
exp( 2 =2)
2

1
exp[ (m M
2

2)2 =2 :

Let us then hoose  = (m M )=3 to get the lower bound

1 exp[ (m M )2 =18
and (15.3) thus reads as

IPf inf jG(X )j > 0g  1

x2S

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

IPf diam(T \ KerG)  2rg  IPf inf jG(x)j > 0g

x2S
2

 1 32 exp 4 181 10k 2`(rT )

!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 simplied 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

Yx0 ;y0 j2 IEjXx;y

so that this dieren e is always

1,

N
X
i=1

gi xi + jxj

k
X
j =1

gj0 yj :

we have

Xx0 ;y0 j2 = jxj2 + jx0 j2 2jxj jx0 jhy; y0 i 2hx; x0 i(1

 jxj2 + jx0 j2 2jxj jx0 jhy; y0 i 2jxj jx0 j(1

hy; y0 i)
hy; y0i)

 0 and equal to 0 if x = x0 . By Theorem 3.16, this implies that

IE inf sup Yx;y  IE inf sup Xx;y
x2S y2S k 1
x2S y2S k 1
2
2

and hen e, by denition of Xx;y and Yx;y and with S = r 1 T \ S2N

IE inf jG(x)j  ak
x2S

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

whi h is majorized using on entration ((1.6) e.g.) by

"

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

15.2. Conje tures on Sudakov's minoration for haos

Denote by `2 (ININ) the spa e of all sequen es t = (tij ) indexed by ININ su h that jtj =

P 2
t

i;j

ij

!1=2

<

1 . Let T be a subset of `2 (IN  IN) . Let further

! (gi ) be an orthogaussian sequen e (on (
; A; IP) ) and
onsider the Gaussian haos pro ess

i;j

gi gj tij
P

t2T
gi gj tij j ,

. While we have studied in Chapter 3 the integra-

bility properties and tail behavior of sup j

little seems to be known on the "metri geometri "
t2T i;j
onditions on T equivalent to this supremum to be almost surely nite (if there are any?). The su ient onditions of Theorem 11.22 are too strong and by no way ne essary. One approa h ould be to
view the pre eding haos!!
pro ess, after de oupling, as a mixture of Gaussian pro esses, i.e. to study, given
P
P
!0 ,
gi
gj0 (!0 )tij
where (gj0 ) is a standard Gaussian sequen e onstru ted on some dierent
i
j
t2T
probability spa e (
0 ; A0 ; IP0 ) . Unfortunately, this approa h seems to be doomed to failure: the random
distan es
0
1

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 denes 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

ktk_ = sup0 jhth; h0 ij = sup jthj

jhj;jh j1

where th =

hj tij

. Clearly ktk_  jtj .

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 .

Proposition 15.4. Let T be as before, T = ft 2 `2 (n  n); ktk_  1g . There is a numeri al onstant

> 0 (independent of n ) su h that

(i) (log N (T; j
j; n))1=2  n ;

(ii) (log N (T; k
k_ ; 12 ))1=2  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 ,

 2B2n , CardH  5n su h that B2n  ConvH . By the pre eding, sin e

IP

8
<

8h; h0 2 H ;





X

0

h
h
"
i j ij 

 i;j


p= 1
>4 n  :
;

By denition of k
k_ 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

It follows from this proposition that, for " = n ,

"(log N (T; j
j; "))1=4  3=2  3=2 `(2) (T ) ;

and, for " = 1=2 ,

"(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

sup "(log N (T; k
k_ ; "))1=2  K`(2)(T )

">0

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

Proof. We simply write that

  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

By symmetry, if ("i ) is a Radema her sequen e independent of (geik ) , (gj0 ) ,

n

X

IE
geik gj0 xij
i;j;k=1

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.

15.3. An inequality of J. Bourgain

In his remarkable re ent work on (p) -sets [Bour, J. Bourgain establishes the following inequality. Let
(i ) be independent random variables with ommon distribution
IPfi = 1g = 1 IPfi = 0g = ;
Let T be a subset of IRN
+ and set

E=

0 < < 1:

(log N (T; "B2N ))1=2 d"

(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

t2T CardI m i2I

X

 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 .

Lemma 15.7. Let t in IRN

+ with k(ti )k2;1
p
onstant K su h that for all u  K m ,
(

IP

max

Cardm

i2I

 1 and let also 1  m  N . There is a numeri al

)

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

IPfj tj > ugA :

IPf1 > u j g
IPf1

> u2 j g  IE

Therefore, for all integers i  N and all u > 0 ,

IPfZi > ug 

(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

We also observe that

i>2j

Zi 

p
X
`=j

2` Z2` :

It follows from these two observations that, for all j  0 ,

IP

( m
X

i=1

Zi > u

8
p
<X

 IP :

`=j

whenever (u` ) are positive numbers su h that

p
X
u
>
 IPf2` > Z2` > u`g
2 ; `=j

2`Z2`
p
P

`=j

9
=

u`  u=2 . Let v` = 10 2u2 (` j)=2 , w` = 10(2`)1=2 ,

j  `  p , and set u` = max(v` ; w` ) . It is lear that

`j

v`  u=4 while, if u  K m where K  103 ,

u
w`  3
10(2p+1)1=2  :
4
`p

Hen e we have that

(15:7)

p
P
`=j

IP

u`  u=2 . By the binomial estimates (15.6),

( m
X

i=1

Zi > u

 `
p 
X
e2` 2

u2`

`=j

Note that for 2  x  4 ,

log

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

This learly holds by denition of j  1 and also if j = 0 sin e u  K m ( K  103 ). Hen e

"

(15:8)
for K  4e104 .

exp

2j log

u2j
e2j

!#

 exp

u2 1
log
K

475

We now would like to show that for every ` > j

2` log

(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 satised sin e by denition 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 satised.
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 .

Proof of Theorem 15.6. For s; t in IRN , dene the random distan e



X
1 1=2
D(s; t) = log
max  i (si
CardI m 

i2I



ti )


Lemma 15.7 implies that for all s; t and u  K (m log 1 )1=2 ,

IPfD(s; t) > ujs tjg  K exp

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

Hen e, for all measurable sets A , and all s; t ,

Z

D(s; t)dIP  K IP(A)js tj

 
 !
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

sup D(s; t)dIP  K IP(A) D

A s;t2T

1
1
+ R m log
IP(A)

1=2

+E

and hen e ((11.4)), for all u > 0 ,

(

!)



u2
1 1=2
IP sup D(s; t) > u + K R m log
+E

K exp
:

KR2
s;t2T


Sin e for every t , by Lemma 15.7,

(

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.

15.4. Invertibility of submatri es

This se tion is devoted to the exposition of one simple but signi ant result of the work [B-T1 (see also
[B-T2) by J. Bourgain and L. Tzafriri. The proof of this result uses several probabilisti ideas and arguments
already en ountered throughout this book.
Let A be a real N  N matrix onsidered as a linear operator on IRN . Denote by kAk = kAk2!2 its
N
norm as an operator `N
2 ! `2 . If  is a subset of f1; : : : ; N g , denote by R the restri tion operator,
that is the proje tion from IRN onto the span of the unit ve tors (ei )i2 where (ei ) is the anoni al
basis of IRN . Rt is the transpose operator. By restri ted invertibility of A , we mean the existen e of a
subset  of f1; : : : ; N g with ardinality of the order of N su h that R ARt is an isomorphism. If the
diagonal of A is the identity matrix I , this will be a hieved by simply onstru ting the set  su h that
kR (A I )Rt k < 1=2 .

477

The following statement is the main result we present.

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 satises

k(R ARt ) 1 k < 1 + " :

The following proposition, whose proof is based on a random hoi e argument, is the main step in the
proof of Theorem 15.8.

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

k
k2!1 is the operator norm `M2 ! `M1 ( M = Card ).

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 laries the passage through the norm k
k2!1 .

Proposition 15.11. Let u : `n2

su h that

! `m1 . There exists a subset  of f1; : : : ; mg with Card  m=2

 1=2
kR uk2!2  m kuk2!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

Let  = fi  m ; i  2=mg . Then Card

!1=2

 m=2 and, from the pre eding,

 1=2
kuRt k2!2  2 kuk1!2

from whi h Proposition 15.11 follows.

These two propositions learly imply the theorem. If N  8= and A is an N  N matrix with aii = 0 ,
there exists, by Proposition 15.10,  in f1; : : : ; N g su h that Card  N=2 and

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 

Theorem 15.8 immediately follows.

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

(re all that aii = 0 ), we have that

(15:10)

4 X
IEkA(!)k2!1  N
B :
2 I I

479

We therefore estimate BI for ea h xed I  f1; : : : ; N g . We have that

X

i j aij ei

i62I;j 2I

For every i and h , let di (h) =

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

By Cau hy-S hwarz,



X

 + sup

jhj1 i62I


IEi )jdi (h)j



X

 + sup

jhj1 i62I


i0 )jdi (h)j

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

i0 )jdi (h)j



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


Summarizing, we have obtained so far that

BI





X

4IE sup  "i i di (h) +
jhj1  i62I


p
kAk N :

480

Going ba k to the denition of di (h) , we see that


2


X

sup  "i i di (h)
jhj1  i62I



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 :

 kAk2 for every j , we nally get that

0

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 :

This estimate holds for any I  f1; : : : ; N g . Hen e, by (15.10),

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 fullls the on lusion
of Proposition 15.10. The proof is omplete.

15.5. Embedding subspa es of Lp into `Np

This se tion is devoted to the following problem of lo al theory of Bana h spa es. Given an n -dimensional
subspa e E of Lp = Lp ([0; 1; dt) , 1  p < 1 , and  > 0 , what is the smallest N = N (E; ) su h that

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 dened as the innum 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

2 n(log n)2 max

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

k
kp = k
kLp() , 1  p < 1 , the norm of Lp (S; ; ) where  is

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 .

! 0 where E k denotes the onditional expe tation with

From this observation, we on entrate on subspa es E of dimension n of `M

p for some xed M . To
embed E into `M
p 1 where M1 is of the order M=2 , we will, for ea h oordinate, ip a oin and disregard the
oordinate if "head" omes up. More formally, onsider a sequen e " = ("i ) of Radema her random variables
M
M
1=p
and onsider the operator U" : `M
p ! `p given by: if x = (xi )iM 2 `p , U" (x) = ((1 + "i ) xi )iM .
We will give onditions under whi h U" is, with large probability, almost an isometry when restri ted to
M
E . We note that U" (`M
p ) is isometri to `p 1 where M1 = Cardfi  M ; "i = 1g and, with probability

 1=2 , we have M1  M=2 . For x in `Mp , onsider the random variable

Zx = kU" (x)kpp
We have

Zx =

M
X
i=1

(1 + "i )jxi

jp

M
X
i=1

kxkpp :
jp

jxi =

M
X
i=1

"i jxi jp :

Let E1 denote the unit ball of E and set

AE =



M
X


sup  "i xi p 

x2E1 

The restri tion R" of U" to E satises kR" k

AE  1=2 ,

i=1

j j :

 (1 + AE )1=p , kR" 1k  (1 AE )1=p so that, when

d(E; U" (E ))  1 +

Sin e IPfAE  3IEAE g  2=3 , we have therefore obtained:

12
A :
p E

483

Proposition 15.14. Let E be a subspa e of `M

p , 1  p < 1 , of dimension n and let AE be as
before. If IEAE  1=6 , there exists M1  M=2 and a subspa e H of `M
p 1 su h that
d(E; H )  1 +

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.

Lemma 15.15. Let E be an n -dimensional subspa e of `M

p , 1  p < 1 . Then, one an nd a
probability measure  on f1; : : : ; M g and a subspa e F of Lp() isometri to E whi h admits a basis
n
P
2
1=2 for all j  n .
( j )jn orthogonal in L2() su h that
j = 1 and k j k2 = n
j =1

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)

 Lp () . Our main task in the proof of both theorems


 M0
X
E = IE sup  i "i
x2F1  i=1

jx(i)j

an be ni ely estimated (re all that i = (fig)) ). If we denote by G  `M

p the image of F by the map

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)

d(E; H ) = d(F; H ) = d(G; H )  1 +

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

We turn to the proof of Theorem 15.12.

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 denition 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

= 1 , we an write by Cau hy-S hwarz that

n
X
j =1

h j ; yj i =


n
X

j =1

n
X

j =1

j (t)yj (t)A d(t)

11=2

yj (t)2 A

d(t)  K (E ) :

Hen e we have obtained that

(15:13)

n
X

IE sup h gj n1=2 j ; xi  n1=2 K (E ) :

x2F1 j =1

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

Hen e (15.13) reads as

n1=2

j;

M
X

xi = IE sup h i 1=2 gi vi ; xi :
x2F1 i=1

M
X

IE sup h i 1=2 gi vi ; xi  n1=2 K (E ) :

x2F1 i=1
Finally, sin e i  2=M for all i , by the ontra tion prin iple,


 M0

X


IE sup  i gi x(i)
x2F1  i=1


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 ) :

Proposition 15.16 follows (with C = 2  ).

We establish Theorem 15.12 by a simple iteration of the pre eding proposition. We show that, for
  C 1 , there exists a subspa e H of `N1 su h that d(E; H )  1 + C and N  CK (E )2  2 n where C
is numeri al. Note that for any Bana h spa es X; Y ,

486

K (Y )  d(X; Y )2 K (X ) . As we have seen, given  > 0 , there exists M and a subspa e H 0 of `M

1 with
d(E; H 0 )  1 +  . In parti ular, K (H 0 )  (1 + )2 K (E ) . Let C1 be the onstant of Proposition 15.16
and set C2 = 288C1 and assume that 0 <   10 2 . We an assume further that M  C22 K (E )2  2 n
otherwise we simply take H = H 0 . By (15.12), we onstru t by indu tion a sequen e of integers (Mj )j0 ,
j
M0 = M , satisfying Mj+1  3Mj =4 and subspa es H j , j  0 , of `M
1 su h that, for all j  0 ,
d(H j ; H j+1 )  1 + C2 K (E )

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 ).

If follows in parti ular that

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

d(H j ; H j+1 )  1 + 36C

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

Further, for all r  1 ,

n

X


IE gj j
j =1

 Cr1=2

where C is numeri al.

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

, so that, for all i  M 0 ,

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

p=2 kxk2 p kxkp

p
2

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,


 2=M , i  M 0 . Let J = fi  M 0 ; i > 1=M 2g . Then, by Lemma


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

Our aim is to study the pro ess

P 1=2

i2J

i "i jx(i)jp , x 2 F1 , with asso iated pseudo-metri

(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 :

For a proof observe that if a; b  0 ,

ap bp  p(ap
Thus

(x; y)2  2p2

i2J

1 + bp 1 )ja

bj :

i max(jx(i)j2p 2 ; jy(i)j2p 2 )jx(i) y(i)j2 :

If p  2 , we pro eed as follows. For all i , jx(i)j2p 2  max

jx(j )jp
j
kx yk2J . Hen e, sin e kxkp ; kykp  1 , using Lemma 15.17,

(x; y)2  2p2n(p

2)=2 kx

yk2J

i2J

2 jx(i)jp

i (jx(i)jp + jy(i)jp )

and (15.18) is satised. When p  2 , Holder's inequality with  = p=(2p

that
X
i max(jx(i)j2p 2 ; jy(i)j2p 2 )jx(i) y(i)j2 p
i2J

!(2p 2)=p

max(jx(i)jp ; jy(i)jp )

i
i2J
 (kxkpp + kykpp)(2p 2)=p kx

yk2p p  4 :

and, if i 2 J , jx(i) y(i)j2 

i2J

i jx(i)

2) and  = p=(2

y(i)jp

!(2 p)=p

p) shows

489

This yields (15.19).

The following proposition is the basi entropy estimate whi h will be required for the ase p  2 . It is
based on the dual version of Sudakov's minoration ((3.15)) whi h will also be used for p  2 . For every
r  1 , denote by BF;r the unit ball of F onsidered as a subspa e of Lr () (in parti ular BF;p = F1 ).

Proposition 15.18. Let p

u > 0,

 2 and let F  Lp () be as given by Lemma 15.15. Then, for every

log N (BF;p ; uBJ ) 

C
n log M
u2

where C is numeri al.

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)

log N (BF;2 ; uBF;r ) 

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

and the on lusion follows from (15.20).

Let us now show how to dedu e the portion p  2 of Theorem 15.13. By (15.18),
Z 2pn
Z 1
1
=
2
(
p
2)
=
4
(log N (BF;p ; uBJ ))1=2 du :
(log N (F1 ; ; u)) du  2pn
0

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

It follows that for some numeri al onstant C ,

1

(log N (F1 ; ; u))1=2 du  [Cp2 np=2 (log n)2 log M 1=2 :

Therefore, by Dudley's majoration theorem (Theorem 11.17) and by (15.17), if n  M ,

E 

p=2

n
Cp2

(log n)2 log M

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 dene  ,
0    1 , by
1 1  
=
+ :
q
2
h
For x; y in BF;2 , by Holder's inequality,

kx ykq  kx yk12  kx ykh  21  kx ykh

so that, if kx ykh  (v=2)1= , then kx ykq  v . Hen e, (15.20) for r = h yields


 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

it follows that (re all v  2n(2 p)=2p ),

log N (BF;2 ; vBF;q )  Chn n2=h

 v  2p=(2 p)

Let us then hoose

h = h(n) = max(q; log n)

so that

log N (BF;2 ; vBF;q )  Chn

 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)

log N (BF;p ; vBF;2 )  Chn

 v  2p=(2 p)

where the onstant C may be hosen independent of p .

As in the proof of Proposition 15.18, if r = log M 2 , BF;r  eBJ . Thus, using furthermore the properties
of entropy numbers, for u; v > 0 ,


u
log N (BF;p ; uBJ )  log N (BF;p ; vBF;2 ) + log N BF;2 ; BF;r :
ev

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 denition 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.

15.6. Majorizing measures on ellipsoids

Consider a sequen e (yn ) is a Hilbert spa e H su h that jyn j  (log(n + 1)) 1=2 for all n and set
P
T = fyn ; n  1g . We know ( f. Se tion 12.3) that the anoni al Gaussian pro ess Xt = gi ti , t = (ti ) 2
i
T  H , is almost surely bounded. The same holds of ourse if X is indexed by ConvT . In parti ular,
by Theorem 12.8, there is a majorizing measure on ConvT . However, no expli it onstru tion is known.
The di ulty is that this majorizing measure should depend on the relative position of the yn 's, not just
on their lengths. More generally, we an ask: given a set A in H with a majorizing measures, onstru t
a majorizing measure on ConvA . Of a similar nature: given sets Ai , i  n , with majorizing measure,
n
P
onstru t a majorizing measure on n1 Ai .
i=1

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;

 1 . In H = `2 , onsider the ellipsoid

X x2

i
2
a
i
i

1 :

493

Let (gi ) be an orthogaussian sequen e. Sin e


2
X


IE sup  gi xi 

x2E 

= 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 :

2 2k CardIk  4 . Consider then the ellipsoid

(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 p (log N ((n) ; 2 pB2 ))1=2  C

(where B2 is the unit ball of `2 ).

Let therefore n = (nk ) be a xed element of U . Set for all k , `k = nk + 2k and onsider thus the
produ t of balls
(
)
 = (n) = x 2 H ; 8k ;

Note that sin e

(15:24)

2 2k CardIk  4 and

i2Ik

x2i  2 `k :

 3 , by Cau hy-S hwartz and denition of `k ,

X
p
(2 `k CardIk )1=2  2 3 :
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
(

B (k) = (xi )i2Ik ;

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 ) :

Let us hoose in this inequality

"2k = 2 `k
where j is su h that k(j

1)  k < k(j ) . We have that

X

k<k(p)

by denition 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

log N (B (k) ; "k B2 )

k(j 1)k<k(j )

CardIk A log(22(p j)+2 ) :

It follows that for some numeri al onstant C

X

(15:27)

2 p(log N (; 2 p B2 ))1=2  C

For every j , set

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

uj  2 3 by (15.24). Sin e (2`k CardIk ) is in reasing,

X

k(j 1)k<k(j )

CardIk  uj (2`k(j)

CardIk(j) 1 )1=2 :

496

By denition of k(j ) ,

k>k(j ) 1

2 `k > 2 2j
X

k(j ) 1<k<k(j +1)

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

k(j ) 1<k<k(j +1)

X

k(j ) 1<k<k(j +1)

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

(2j+1 (j + 1)!N ((n); 2 j B2 )) 1 x(j;n)

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 denition of m ,
m(B (x; 2 j+1 ))  m(B (x(j ); 2 j ))

 (2j+1 (j + 1)!N (('j (n)); 2 j B2 )) 1 :

Note that, for every " > 0 ,

N (('j (n)); "B2 )  N ((n); "B2 ) :

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.

15.7. Cotype of the anoni al inje tion `N1 ! L2;1

In this se tion, we develop a onsequen e of Sudakov's minoration for Radema her averages (Theorem
4.15) to the otype properties of the inje tion `N
1 ! L2;1 , a result due to S. J. Montgomery-Smith [MS1.
Let S be a ompa t metri spa e and C (S ) be the Bana h spa e of ontinuous fun tions on S equipped
with the supnorm k
k1 . Consider an operator T from C (S ) to a Bana h spa e B . We denote by C2 (T )
the Radema her otype 2 onstant of T , i.e. C2 (T ) is the smallest number C su h that
X

kT (xi

)k2

!1=2

X


C IE "i xi

for all nite sequen es (xi ) in C (S ) . In parti ular, we have that

(15:29)

kT (xi

)k2

!1=2

 C sup

s2S i

jxi (s)j :

This is expressed by saying that T is (2; 1) -summing ( f. [Pie). Hen e, if T : C (S ) ! B is of otype 2 ,

it is (2; 1) -summing (i.e. satises (15.29)) with a (2; 1) -summing onstant less than C2 (T ) .
We re all that for a measurable fun tion x on a probability spa e (S; ; ) , we an dene a quasi-norm
by

kxk2;1 =

((jxj > t))1=2 dt :

498

This quasi-norm denes 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 k
k2;1 as dened 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

(jxj > t)dt = kxk1

jxjd :

Hen e, if (xi ) is a nite sequen e in C (S ) ,

X

kxi k22;1

kxi k1 jxi jd  sup

s

!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() satises
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

for some numeri al onstant K1 .

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

8s 2 A ; (xi (s) xi (sA ))iM 2 K1 (B1 + 2

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

The main obje tive will be to establish the following fa t.

Lemma 15.22. If  has N atoms, then

X

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

+ K1 + K1 K2 2 k=2 (log(N + 1))1=2

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) :

This shows indeed Theorem 15.20.

We are thus left with the proof of Lemma 15.22.

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)

kxk2;1  2(1 + log(a

1=2 ))1=2 kxk

2:

Indeed, assuming kxk2 = 1 , we have kxk1  a1=2 . Hen e,

kxk2;1  1 +
1+

Z a 1=2

Z

dt
(t(jxj > t))1=2 p
t
1=2

t(jxj > t)dt

Z a 1=2

dt
t

!1=2

501

and (15.32) follows.

The se ond observation is as follows. Let  be the probability measure on (S; ) that assigns mass
1=N to ea h atom of  . Let  = 21 ( +  ) . Sin e (jxj > t)  2(jxj > t) , we have that kxkL2;1() 
p
2kxkL2;1() .  assigns mass  1=2N to ea h atom of  . Thus, by (15.32),

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

15.8. Mis ellaneous problems

In this last se tion, we present various problems on (or related to) the topi s developed in this book.
Some of them have already been explained in their ontext so that we only brie y re all them here.

Problem 1. Does inequality (1.1) (Chapter 1) of A. Ehrhard [Eh1

 1 ( N (A + (1 )B ))   1 ( N (A)) + (1 ) 1 ( N (B ))
hold for all Borel sets A; B of IRN (and not only onvex ones)?

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

(and [ n; nB = fx ; jj  n ; x 2 B g , D + D = fx + y ; x; y 2 Dg ). Is it true that for some ompa t

onvex set A with N (A) > 0 , we have A  E ? It is not di ult to see that this problem is equivalent to the
following. Does there exist n with the following property: whenever B  IRN is su h that N (B )  1=2 ,
then Bn ontains a onvex set A for whi h N (A)  1=2 . It does not seem to be known whether n = 3
works.

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 satises 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
satises 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 satises 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 satises 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 innite
dimensional random variable satises 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).

Notes and referen es

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 rened 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 simplies 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 renement of this result (with a
simplied 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.