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

We prove new sharp LpLp, logarithmic, and weak-type inequalities for martingales under the assumption of differential subordination. The LpLp estimates are “Feynman–Kac” type versions of Burkholder's celebrated martingale transform inequalities. From the martingale LpLp inequalities we obtain that Riesz transforms on manifolds of nonnegative Bakry–Emery Ricci curvature have exactly the same LpLp bounds as those known for Riesz transforms in the flat case of RdRd. 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 Poincaré'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 LpLp inequalities.