The "standard" proof of Burkholder-Davis-Gundy inequalities found in books yields $(\mathsf{E} |M|^{p})^{1/p} \le O(p) \cdot (\mathsf{E} \langle X \rangle ^{p/2})^{1/p}$ for large $p$.

Can the growth rate be improved to, say, $O(p^{1/2})$? For example, if $\langle X \rangle$ is bounded, this estimate gives exponential tails for $|M|$, which is clearly suboptimal, since they should be Gaussian.