Common strict character of some sharp infinite-sequence martingale inequalities (Q1078897)

The first of the authors proved in a previous paper [Proc. Am. Math. Soc. 85, 427-433 (1982; Zbl 0494.60047)] that for any martingale difference sequence \((X_ n)_ n\) the inequality \[ (1)\quad P(\sum^{\infty}_{i=0}X^ 2_ i\geq 1)\leq e^{1/2}\sup_{n}E| \sum^{n}_{i=0}X_ i\quad | \] holds. Then the first author and \textit{J. Kemperman} [J. Multivariate Anal. 13, 328-352 (1983; Zbl 0521.60048)] proved that under the same hypotheses the inequality \[ (2)\quad P(| X_ i| \geq 1\quad for\quad some\quad i=1,2,...)\leq (\sup_{n}E| \sum^{n}_{i=0}X_ i|)/\ln 2 \] holds. In this paper the authors prove that if the martingale difference sequence \((X_ n)_ n\) is not trivial (i.e. \(X_ n\) is not equal to 0 beginning from some \(n_ 0)\), then the inequalities (1) and (2) are strict. The authors develop a general procedure to yield strictness of inequalities (Lemma 2.2, Lemma 3.6, Lemma 4.5) which is interesting in itself.