On the concave \(\Phi\)-inequalities for nonnegative submartingales (Q701561)

Let \(\Phi_1,\Phi_2\) be nonnegative nondecreasing functions, and \(\Phi_1\) be concave. The authors prove the equivalence of the following two conditions: (i) \(E\Phi_1(Mf)\leq cE\Phi_2(Z_0+A_{\infty})\) for every nonnegative submartingale \(f=(f_n)_{n\geq 0}\) with its Doob's decomposition \(f=Z+A\), where \(Z\) is a martingale in \(L^1\) and \(A\) is a nonnegative increasing and predictable process. (ii) There exist positive constants \(c,t_0\) such that \(\int_t^{\infty}\frac{\Phi_1(s)}{s^2} ds\leq c\frac{\Phi_2(t)}{t}\), \(\forall t>t_0\). If \(\Phi_1=\Phi_2\), the condition (ii) above is equivalent to the classical condition \(\overline{p_{\Phi}}<1\). As a consequence, for a concave function \(\Phi\), \(\overline{p_{\Phi}}<1\) if and only if \(E\Phi_1(Mf)\leq cE\Phi_2(Z_0+A_{\infty})\) for every nonnegative submartingale \(f\).