On Maz’ya’s Φ-Inequalities for Martingale Fractional Integration and Their Bellman Functions

Inspired by a conjecture of Vladimir Maz'ya on Φ-inequalities in the spirit of Bourgain and Brezis, we establish some Φ-inequalities for fractional martingale transforms. These inequalities may be thought of as martingale models of Φ-inequalities for differential operators. The proofs rest on new simple Bellman functions.