Properties of local orthonormal systems Part I: Unconditionality in Lp$L^p$, 1

Assume that we are given a filtration (Fn)$(\mathcal F_n)$ on a probability space (Ω,F,P)$(\Omega,\mathcal F,\mathbb {P})$ of the form that each Fn$\mathcal F_n$ is generated by the partition of one atom of Fn−1$\mathcal F_{n-1}$ into two atoms of Fn$\mathcal F_n$ having positive measure. Additionally, assume that we are given a finite‐dimensional linear space S$S$ of F$\mathcal F$‐measurable, bounded functions on Ω$\Omega$ so that on each atom A$A$ of any σ$\sigma$‐algebra Fn$\mathcal F_n$, all Lp$L^p$‐norms of functions in S$S$ are comparable independently of n$n$ or A$A$. Denote by Sn$S_n$ the space of functions that are given locally, on atoms of Fn$\mathcal F_n$, by functions in S$S$ and by Pn$P_n$ the orthoprojector (with respect to the inner product in L2(Ω)$L^2(\Omega)$) onto Sn$S_n$. Since S=span{1Ω}$S = \operatorname{span}\lbrace \mathbbm 1_\Omega \rbrace$ satisfies the above assumption and Pn$P_n$ is then the conditional expectation En$\mathbb {E}_n$ with respect to Fn$\mathcal F_n$, for such filtrations, martingales (Enf)$(\mathbb {E}_n f)$ are special cases of our setting. We show in this article that certain convergence results that are known for martingales (or rather martingale differences) are also true in the general framework described above. More precisely, we show that the differences (Pn−Pn−1)f$(P_n - P_{n-1})f$ form an unconditionally convergent series and are democratic in Lp$L^p$ for 1