Sharp moment estimates for martingales with uniformly bounded square functions

We provide sharp bounds for the exponential moments and $p$-moments, $1\leqslant p \leqslant 2$, of the terminate distribution of a martingale whose square function is uniformly bounded by one. We introduce a Bellman function for the corresponding extremal problem and reduce it to the already known Bellman function on $\mathrm{BMO}([0,1])$. In the case of tail estimates, a similar reduction does not work exactly, so we come up with a fine supersolution that leads to sharp tail estimates.

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