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International audienceBurkholder obtained a sharp estimate of ${\bf E}|W|^p$ via ${\bf E}|Z|^p$, for martingales $W$ differentially subordinated to martingales $Z$. His result is that ${\bf E}|W|^p\le (p^*-1)^p{\bf E}|Z|^p$, where $p^* =\max \big(p, {p\over p-1}\big)$. What happens if the martingales have an extra property of being orthogonal martingales? This property is an analog (for martingales) of the Cauchy-Riemann equation for functions, and it naturally appears in a problem on singular integrals (see the references at the end of Section~1). We establish here that in this case the constant is quite different. Actually, ${\bf E}|W|^p\le \big({1+z_p\over 1-z_p}\big)^p{\bf E}|Z|^p$, $p\ge 2$, where $z_p$ is a specific zero of a certain solution of the Legendre ODE. We also prove the sharpness of this estimate. Asymptotically, $(1+z_p)/(1-z_p)=(4j^{-2}_0 +o(1))p$, $p\to\infty$, where $j_0$ is the first positive zero of the Bessel function of zero order. This connection with zeros of special functions (and orthogonal polynomials for $p=n(n+1)$) is rather unexpected

On Burkholder function for orthogonal martingales and zeros of Legendre polynomials