On Burkholder function for orthogonal martingales and zeros of Legendre polynomials

TL;DR

This paper investigates the bounds of orthogonal martingales' moments, revealing a novel constant involving zeros of Legendre functions, which differs from classical Burkholder estimates and connects to special functions.

Contribution

The paper establishes a new sharp estimate for orthogonal martingales' moments involving zeros of Legendre functions, extending Burkholder's classical results.

Findings

New constant involving zeros of Legendre functions for orthogonal martingales

Asymptotic behavior of the constant as p approaches infinity

Connection between martingale inequalities and special functions

Abstract

Burkholder obtained a sharp estimate of $\E|W|^p$ via $\E|Z|^p$, where $W$ is a martingale transform of $Z$, or, in other words, for martingales $W$ differentially subordinated to martingales $Z$. His result is that $\E|W|^p\le (p^*-1)^p\E|Z|^p$, where $p^* =\max (p, \frac{p}{p-1})$. What happens if the martingales have an extra property of being orthogonal martingales? This property is an analog (for martingales) of the Cauchy-Riemann equation for functions, and it naturally appears from a problem on singular integrals (see the references at the end of Section~1). We establish here that in this case the constant is quite different. Actually, $\E|W|^p\le (\frac{1+z_p}{1-z_p})^p\E|Z|^p$, $p\ge 2$, where $z_p$ is a specific zero of a certain solution of a Legendre ODE. We also prove the sharpness of this estimate. Asymptotically, $(1+z_p)/(1-z_p)=(4j^{-2}_0+o(1))p$, $p\to\infty$, where $j_0$ is the first positive zero of the Bessel function of zero order. This connection with zeros of special functions (and orthogonal polynomials for $p=n(n+1)$) is rather unexpected.