Let
W be a weight, i.e., a uniformly integrable, continuous-path martingale, and let
878a2048c147717e53186451554b7427" title="Click to view the MathML source">W∗ denote the associated maximal function. We show that if
b016af446456854381a" title="Click to view the MathML source">X is an arbitrary càdlàg martingale and
X∗,
ae884e430e636017d2a8ac53045926e" title="Click to view the MathML source">[X] denote its maximal and square functions, then
where
The estimate is sharp for
95b3367bdc47c0d44f6e8ba53ff56" title="Click to view the MathML source">p∈{1,2}. Furthermore, it is proved that if
ae3ea24e" title="Click to view the MathML source">p>2, then the above weighted inequality does not hold with any finite constant
8def7d81036a169f6a87fbd0f17dbe" title="Click to view the MathML source">γp depending only on
e6e0f799fa227293c04ecc8d606cc" title="Click to view the MathML source">p.