Orthogonal martingales under differential subordination and applications to Riesz transforms (Q678948)

Let \((\Omega,{\mathcal A},\mathbb{F},P)\) be a filtered probability space, \(X= \{X_t\}_{t\geq 0}\) and \(Y=\{Y_t\}_{t\geq 0}\) be the càdlàg separable Hilbert space \(H\)-valued \((P,\mathbb{F})\)-martingales such that the quadratic variation process \([X,Y]_t\), \(t\geq 0\), is identically \(0\) and \([X,X]_t-[Y,Y]_t\), \(t\geq 0\), is a nondecreasing and nonnegative process. It is proved that if \(X\) and \(Y\) are \(R^1\)-valued, then for \(1<p<\infty\) the following sharp inequalities hold: \[ |Y|_p\leq C_p|X|_p,\qquad|\sqrt{X^2+ Y^2}|_p\leq E_p|X|_p,\tag{\(*\)} \] where \(|X|_p=\sup_t |X_t|_p\), \(C_p=\text{cot}(\pi/2p^*)\), \(E_p= \sqrt{1+ C^2_p}\), \(p^*= \max\{p,p/(p-1)\}\). In addition, if \(1<p\leq 2\), \(X\) may be taken to be \(H\)-valued; if \(2\leq p<\infty\), \(Y\) may be taken to be \(H\)-valued. Moreover, the inequalities \((*)\) are strict if \(0<|X|_p< \infty\) and \(p\neq 2\). Using the inequalities \((*)\) for \(j\)th Riesz transform \[ R_jf(x)= \Gamma\Biggl({n+ 1\over 2}\Biggr)\pi^{-(n+ 1)/2} \int_{\mathbb{R}^n} {x_j- y_j\over|x-y|^{n+1}} f(y)dy,\quad x= (x_1,\dots,x_n),\;f\in L^p(\mathbb{R}^n), \] it is proved that for \(1<p<\infty\), \[ |R_jf|_p\leq C_p|f|_p,\quad\Bigl|\sqrt{(R_jf)^2+ f^2}\Bigr|_p\leq E_p|f|_p,\quad j=1,\dots,n.\tag{\(**\)} \] Moreover, the inequalities \((**)\) are sharp and strict if \(p\neq 2\) and \(0<|f|_p<\infty\).