Lp bound from a tail domination inequality

ID: lp-bound-from-a-tail-domination-inequality

Let , , and . Assume the displayed tail inequality and finite positive-threshold superlevel measures. First split at to obtain . Layer cake representation and Tonelli theorem imply . Integrating the original inequality against then gives , with . This is the analytic estimate behind the Doob Lp maximal inequality.

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