  We provide a simple proof, as well as several generalizations, of a recent
result by Davis and Suh, characterizing a class of continuous submartingales
and supermartingales that can be expressed in terms of a squared Brownian
motion and of some appropriate powers of its maximum. Our techniques involve
elementary stochastic calculus, as well as the Doob-Meyer decomposition of
continuous submartingales. These results can be used to obtain an explicit
expression of the constants appearing in the Burkholder-Davis-Gundy
inequalities. A connection with some balayage formulae is also established.
