Inequalities for dominated martingales

Let \((M_n,{\mathcal F}_n)\) and \((N_n,{\mathcal F}_n)\) be Hilbert space valued martingales and \((d_n)\), \((e_n)\) the corresponding difference sequences. Suppose for any non-decreasing \(\phi: \mathbb{R}_+\to\mathbb{R}_+\) and every \(n\in\mathbb{N}\) almost surely \({\mathbf E}(\phi(|d_n|)|{\mathcal F}_{n-1})\leq{\mathbf E}(\phi(|e_n|)|{\mathcal F}_{n-1})\). (In fact, the author shows that a somewhat weaker condition suffices for his purpose.) Let \(\Phi: \mathbb{R}_+\to\mathbb{R}_+\) be convex and twice differentiable such that \(\Phi(0)= \Phi'(0)= 0\). Then, under the assumption of some technical inequalities involving \(\Phi\) and its derivatives, \(\| M_n\|_\Phi\leq C_\Phi\| N_n\|_\Phi\), \(n= 0,1,2,\dots\), where \(\|.\|_\Phi\) denotes the Orlicz norm with respect to \(\Phi\), and \(C_\Phi\) is a constant depending on \(\Phi\) only. Under the same conditions, for \(1< p<\infty\), \({\mathbf E}|M_n|^p\leq C_p{\mathbf E}|N_n|^p\), \(n\in\mathbb{N}\), with \(C_p\) depending on \(\Phi\) and \(p\) only. The approach unifies and extends the classical Burkholder inequalities for subordinated martingales and the inequalities for tangent martingales and leads to moment inequalities for Rosenthal-type dominated martingales and variance-dominated Gaussian martingales with constants of optimal order.

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