Sharp martingale inequalities and applications to Riesz transforms on manifolds, Lie groups and Gauss space

Abstract: We prove new sharp $L^p$, logarithmic, and weak-type inequalities for martingales under the assumption of differentially subordination. The $L^p$ estimates are "Fyenman-Kac" type versions of Burkholder's celebrated martingale transform inequalities. From the martingale $L^p$ inequalities we obtain that Riesz transforms on manifolds of nonnegative Bakry-Emery Ricci curvature have exactly the same $L^p$ bounds as those known for Riesz transforms in the flat case of $\R^n$. From the martingale logarithmic and weak-type inequalities we obtain similar inequalities for Riesz transforms on compact Lie groups and spheres. Combining the estimates for spheres with Poincar\'e's limiting argument, we deduce the corresponding results for Riesz transforms associated with the Ornstein-Uhlenbeck semigroup, thus providing some extensions of P.A. Meyer's $L^p$ inequalities.