Merryfield's inequality for multiparameter martingales
Abstract
Abstract We extend an inequality of Merryfield, valid in the continuous setting, to discrete multiparameter martingales. As a consequence, we obtain the comparison of the maximal function with the square function: for regular multiparameter filtrations and . This estimate is new in the case of more than two parameters, and provides an alternative proof of Brossard's famous two‐parameter result.
Fields of Study & Subjects
Housing Market and Economics
Publication details
- Journal / source
- Bulletin of the London Mathematical Society
- Volume
- 58
- Issue
- 9
- Publication date
- 24 August 2026
- Language
- EN