Inequality for Burkholder's martingale transform

preprint2015arXivOpen access

Abstract

We find the sharp constant C=C(τ,p,EG,EF)C=C(τ,p, \mathbb{E}G, \mathbb{E}F) of the following inequality ∥(G2+τ2F2)1/2∥p≤C∥F∥p,\|(G^{2}+ τ^{2} F^{2})^{1/2} \|_{p} \leq C \|F\|_{p}, where GG is the transform of a martingale FF under a predictable sequence ε\varepsilon with absolute value 1, 1<p<21<p< 2, and ττ is any real number.

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