On the reverse Hölder inequality for a continuous exponential martingale (Q2758282)

Let \(1<p<\infty\), \(\alpha_p=\sqrt{p}(\sqrt{p}+\sqrt{p-1})\), and let \(M\) be a uniformly integrable continuous martingale. It is shown that if NEWLINE\[NEWLINE \sup_T \left\|E\left[\exp\left({1\over 2}\alpha_p(M_\infty - M_T)\right)\biggl|{\mathcal F}_T\right]\right\|_\infty <\infty, NEWLINE\]NEWLINE where the supremum is taken over all stopping times \(T\), then the exponential martingale \({\mathcal E}(M):= \exp (M - {1 \over 2} \langle M \rangle)\) satisfies the reverse Hölder inequality: NEWLINE\[NEWLINE E[{\mathcal E} (M)^p_\infty \mid {\mathcal F}_T] \leq C_p {\mathcal E} (M)^p_T NEWLINE\]NEWLINE with a constant \(C_p\) independent of a stopping time \(T\). An example is given showing that for every \(p>1\) the constant \(\alpha_p/2\) in the hypothesis is the best possible.