Abstract
Much of this paper will be devoted to answering a question about stochastic integrals, Question 1 below. Question 2 is even more basic. The primary goal is to introduce a method that can be used to study these and other questions about martingale maximal functions.
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Davis, B., Song, R. (2011). Sharp Norm Comparison of Martingale Maximal Functions and Stochastic Integrals. In: Davis, B., Song, R. (eds) Selected Works of Donald L. Burkholder. Selected Works in Probability and Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7245-3_36
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DOI: https://doi.org/10.1007/978-1-4419-7245-3_36
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