## What is the optimal growth of the constant in BDG?

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Let $X$ be a continuous local martingale, and $\langle X \rangle$ be its quadratic variation process. The "standard" proof of Burkholder-Davis-Gundy inequalities found in books yields $(\mathsf{E} |X|^{p})^{1/p} \le O(p) \cdot (\mathsf{E} \langle X \rangle ^{p/2})^{1/p}$ for large $p$.

Can the growth rate be improved to, say, $O(p^{1/2})$? For example, if $\langle X \rangle$ is bounded, this estimate gives exponential tails for $|X|$, which is clearly suboptimal, since they should be Gaussian.

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What is $\langle X \rangle$? – Bill Johnson May 31 at 20:49
Quadratic variation. Updated the post to clarify this. – Alexander Shamov May 31 at 20:52

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The best constants are known, and you can't do better than p-1 for p > 2. This was proven by Davis I think, but I'm not sure if that applies specifically to continuous martingales. – George Lowther May 31 at 21:56
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