Burkholder-Gundy-Davis Inequality in Martingale Hardy Spaces with Variable Exponent

In this paper, the classical Dellacherie’s theorem about stochastic process is extended to variable exponent Lebesgue spaces. As its applications, we obtain variable exponent analogues of several famous inequalities in classical martingale theory, including convexity lemma, Burkholder-Gundy-Davis’ inequality and Chevalier’s inequality. Moreover, we investigate some other equivalent relations between variable exponent martingale Hardy spaces.