A new aspect of \(L_{\infty}\) in the space of BMO-martingales (Q1092515)

Let \(M=(M_ t,{\mathcal F}_ t)\) be a continuous BMO-martingale. Then the associated exponential martingale \({\mathcal E}(M)\) satisfies the reverse Hölder inequality \[ (R_ p)\quad E[{\mathcal E}(M)^ p_{\infty}| {\mathcal F}_ T]\leq C_ p{\mathcal E}(M)^ p_ T \] for some \(p>1\), where T is an arbitrary stopping time [see: \textit{C. Doléans-Dade} and \textit{P. A. Meyer}, Lect. Notes Math. 721, 313-331 (1979; Zbl 0406.60029), and \textit{M. Emery}, Ann. Inst. Henri Poincaré, Probab. Stat. 21, 59-71 (1985; Zbl 0611.60043)]. Our claim is, in a word, that the \((R_ p)\) condition bears upon the distance between M and \(L_{\infty}\) in BMO. Especially, we shall prove that M belongs to the BMO-closure of \(L_{\infty}\) if and only if \({\mathcal E}(\lambda M)\) satisfies all \((R_ p)\) for every real number \(\lambda\). Some related problems are also considered.