We provide sharp bounds for the exponential moments and p-moments, 1 ≤ p≤ 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 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.

Original languageEnglish
Pages (from-to)181-217
Number of pages37
JournalMathematische Zeitschrift
Volume302
Issue number1
DOIs
StatePublished - 1 Sep 2022

    Scopus subject areas

  • Mathematics(all)

    Research areas

  • Bellman function, Burkholder method, Martingale, Square function

ID: 99965297