Abstract
A method is introduced for the simultaneous study of the square function and the maximal function of a martingale that can yield sharp norm inequalities between the two. One application is that the expectation of the square function of a martingale is not greater than 3 \sqrt 3 times the expectation of the maximal function. This gives the best constant for one side of the Davis two-sided inequality. The martingale may take its values in any real or complex Hilbert space. The elementary discrete-time case leads quickly to the analogous results for local martingales M M indexed by [ 0 , ∞ ) [0,\infty ) . Some earlier inequalities are also improved and, closely related, the Lévy martingale is embedded in a large family of submartingales.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
