Abstract
An inequality for certain random sequences more general than martingales or nonnegative submartingales is proved. Three special cases are deduced, one of which generalizes and refines a result of Austin. As an application of the inequality, the special cases are used to give new proofs of Burkholder's $L \log L$ and $L_p$ (for $1 < p \leqslant 2$) inequalities for the square function of a martingale or a nonnegative submartingale.
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