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Sharp ratio inequalities for a conditionally symmetric martingale

Osękowski A.

Bulletin of the Polish Academy of Sciences. Mathematics

2010

Vol. 58, no 1

65-77

Let ƒ be a conditionally symmetric martingale and let S(ƒ) denote its square function. (i) For p, q > 0, we determine the best constants Cp,q such that [wzór...]. Furthermore, the inequality extends to the case of Hilbert space valued ƒ. (ii) For N = 1,2,... and q > 0, we determine the best constants C'N,q such that [wzór...]. These bounds are extended to sums of conditionally symmetric variables which are not necessarily integrable. In addition, we show that neither of the inequalities above holds if the conditional symmetry is not assumed.