Subordination by orthogonal martingales in $L^{p}, 1<p\le 2$

Details Subordination by orthogonal martingales in $L^{p}, 1<p\le 2$ Subordination by orthogonal martingales in $L^{p}, 1<p\le 2$

2010-12-04

arxiv.org/abs/1012.0948v1

Mathematics

Probability

5 pages

Scientific paper

We are given two martingales on the filtration of the two dimensional Brownian motion. One is subordinated to another. We want to give an estimate of $L^p$-norm of a subordinated one via the same norm of a dominating one. In this setting this was done by Burkholder in \cite{Bu1}--\cite{Bu8}. If one of the martingales is orthogonal, the constant should drop. This was demonstrated in \cite{BaJ1}, when the orthogonality is attached to the subordinated martingale and when $2\le p<\infty$. This note contains an (almost obvious) observation that the same idea can be used in the case when the orthogonality is attached to a dominating martingale and $1

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