Burkholder, D. L. Boundary value problems and sharp inequalities for martingale transforms. (English) Zbl 0556.60021 Ann. Probab. 12, 647-702 (1984). Let \(p^*=\max (p,q)\) where \(1<p<\infty\) and \(1/p+1/q=1\). Let \(d=(d_ 1,d_ 2,...)\) be a martingale difference sequence in real \(L^ p(0,1)\), \(\epsilon =(\epsilon_ 1,\epsilon_ 2,...)\) be a sequence of numbers in \(\{\)-1,1\(\}\) and \(n\geq 1\). The author proves that \[ \| \sum^{n}_{k=1}\epsilon_ kd_ k\|_ p\leq (p^*-1)\| \sum^{n}_{k=1}d_ k\|_ p \] and that the constant \((p^*-1)\) is the best possible. He shows further that strict inequality holds iff \(p\neq 2\) and \(\| \sum^{n}_{k=1}d_ k\|_ p>0.\) This result is an improvement over an earlier result of the author [Ann. Math. Stat. 37, 1494-1504 (1966; Zbl 0306.60030)] by giving the best constant and the conditions for equality. The paper contains a number of other sharp inequalities for martingale transforms and stochastic integrals. The underlying method in obtaining these results rests on finding an upper or lower solution to a boundary value problem. Reviewer: B.L.S.Prakasa Rao Cited in 10 ReviewsCited in 169 Documents MSC: 60G46 Martingales and classical analysis 60G42 Martingales with discrete parameter 60H05 Stochastic integrals Keywords:martingale difference sequence; sharp inequalities for martingale transforms Citations:Zbl 0306.60030 PDFBibTeX XMLCite \textit{D. L. Burkholder}, Ann. Probab. 12, 647--702 (1984; Zbl 0556.60021) Full Text: DOI