Sharp inequalities for linear combinations of orthogonal martingales

Yong Ding, Loukas Grafakos, Kai Zhu

For any two real-valued continuous-path martingales $X=\{X_t{\}}_{t\ge 0}$ and $Y=\{Y_t{\}}_{t\ge 0}$, with $X$ and $Y$ being orthogonal and $Y$ being differentially subordinate to $…