Differential subordination under change of law

Abstract

We prove optimal ${L}^2$ bounds for a pair of Hilbert space valued differentially subordinate martingales under a change of law. The change of law is given by a process called a weight and sharpness in this context refers to the optimal growth with respect to the characteristic of the weight. The pair of martingales are adapted, uniformly integrable, and cadlag. Differential subordination is in the sense of Burkholder, defined through the use of the square bracket. In the scalar dyadic setting with underlying Lebesgue measure, this was proved by Wittwer, where homogeneity was heavily used. Recent progress by Thiele-Treil-Volberg and Lacey, independently, resloved the so-called non-homogenous case of discrete in time filtrations with two completely different proofs. The general case for continuous-in-time filtrations remained open and is adressed here. As a by-product, we give the needed explicit expression of a Bellman function of four variables for the weighted estimate of subordinate martingales with jumps.