Exponential inequalities for two-parameter martingales (Q5950010)

The authors prove the following exponential inequality for two-parameter martingales: Let \(M=\{M_z, z\in\mathbb{R}^2_+\}\) be a two-parameter martingale whose quadratic variation \(([M]_z,\;z\in\mathbb{R}^2_+)\) is bounded by an increasing function \(f(z)\). Then it holds that, for all \(\beta>0\), \[ P\left[\sup_{0\leq u\leq z}|M_u|>\beta\right]\leq Ce^{-\beta/4\sqrt{f(z)}}, \] where \(C\) is a universal constant. This result generalizes and simplifies the exponential estimate obtained by \textit{Yu. S. Mishura} [Ukr. Math. J. 39, No.~3, 275-279 (1987); translation from Ukr. Mat. Zh. 39, No.~3, 353-358 (1987; Zbl 0635.60049)].