Weighted inequalities for vector operators on martingales (Q1898944)

The author considers maximal functions \(U^*\), \(V^*\) of nonnegative adapted processes (martingales) \(U\), \(V\) associated with Banach space valued martingales \(f\). The main result is a sufficient condition involving conditioning on pre-stopping time-sigma algebras, which ensure Burkholder-Davis-Gundy type inequalities \(E(\Phi(U^*(f))) \leq KE(\Phi(V^*(f)))\), where \(\Phi\) is a nondecreasing function satisfying a standard growth condition and expectation is with respect to a weighted measure of the given one. As an application the authors rederive more classical Burkholder-Davis-Gundy type inequalities involving the usual maximal function and the square function, respectively, of \(f\). Another application is to convergence of Haar and Walsh series.