In this note we prove the following good-$\lambda$ inequality, for $r>2$, all $\lambda > 0$, $\delta \in \big(0, \frac{ 1}{ 2} \big)$ \[ \nu\big\{ V_r(f) > 3 \lambda ; \mathcal{ M}(f) \leq \delta \lambda\big\} \leq 4 \nu\{ s(f) > \delta \lambda\} + { \delta^2 \left(1+\frac{ 16}{ r-2}\right)^2} \cdot \nu\big\{ V_r(f) > \lambda\big\}, \] where $\mathcal{ M}(f)$ is the martingale maximal function, $s(f)$ is the conditional martingale square function. This immediately proves that $V_r(f)$ is bounded on $L^p$, $1 < p <\infty$ and moreover is integrable when the maximal function is.
Categories: math.CA math.PR