Lp-convergence of a certain class of product martingales

Abstract

We establish the Kakutani dichotomy property for two generalized Rademacher–Riesz product measures μ, ν that either μ, ν are equivalent measures or they are mutually singular according as a certain series converges or diverges. We further give sufficient conditions so that in the equivalence case the Radon–Nikodym derivative dμ/dν belongs to Lp(v) for all positive real numbers p, by proving that a certain product martingale converges in Lp(v) for p ≧ 1.