The classical Davis inequality , where is the square function and is the maximal function, is true with a universal constant for any martingale on any filtration. A natural analog in the setting of (F4) doubly indexed filtrations, i.e. such that the operators and commute and their product is , is the conjecture where . It was known to be true only with some highly restrictive additional assumptions, e.g. regularity of the filtration ( for any positive martingale ) or being a strong martingale (). We prove the inequality assuming just the (F4) condition.

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