Research output: Contribution to journal › Article › peer-review
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 language | English |
---|---|
Pages (from-to) | 181-217 |
Number of pages | 37 |
Journal | Mathematische Zeitschrift |
Volume | 302 |
Issue number | 1 |
DOIs | |
State | Published - 1 Sep 2022 |
ID: 99965297