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In this paper, we consider the martingale Hardy spaces defined with the help of the mixed $$L_{\overrightarrow{p}}$$ L p → -norm. Five mixed martingale Hardy spaces will be investigated: $$H_{\overrightarrow{p}}^{s}$$ H p → s , $$H_{\overrightarrow{p}}^S$$ H p → S , $$H_{\overrightarrow{p}}^M$$ H p → M , $$\mathcal {P}_{\overrightarrow{p}}$$ P p → , and $$\mathcal {Q}_{\overrightarrow{p}}$$ Q p → . Several results are proved for these spaces, like atomic decompositions, Doob’s inequality, boundedness, martingale inequalities, and the generalization of the well-known Burkholder–Davis–Gundy inequality.

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We study unboundedness properties of functions belonging to Lebesgue and Lorentz spaces with variable and mixed norms using growth envelopes. Our results extend the ones for the corresponding classical spaces in a natural way. In the case of spaces with mixed norms, it turns out that the unboundedness in the worst direction, i.e., in the direction where $$p_{i}$$ p i is the smallest, is crucial. More precisely, the growth envelope is given by $${\mathfrak {E}}_{{\mathsf {G}}}(L_{\overrightarrow{p}}(\varOmega )) = (t^{-1/\min \{p_{1}, \ldots , p_{d} \}},\min \{p_{1}, \ldots , p_{d} \})$$ E G ( L p → ( Ω ) ) = ( t - 1 / min { p 1 , … , p d } , min { p 1 , … , p d } ) for mixed Lebesgue and $${\mathfrak {E}}_{{\mathsf {G}}}(L_{\overrightarrow{p},q}(\varOmega )) = (t^{-1/\min \{p_{1}, \ldots , p_{d} \}},q)$$ E G ( L p → , q ( Ω ) ) = ( t - 1 / min { p 1 , … , p d } , q ) for mixed Lorentz spaces, respectively. For the variable Lebesgue spaces, we obtain $${\mathfrak {E}}_{{\mathsf {G}}}(L_{p(\cdot )}(\varOmega )) = (t^{-1/p_{-}},p_{-})$$ E G ( L p ( · ) ( Ω ) ) = ( t - 1 / p - , p - ) , where $$p_{-}$$ p - is the essential infimum of $$p(\cdot )$$ p ( · ) , subject to some further assumptions. Similarly, for the variable Lorentz space, it holds$${\mathfrak {E}}_{{\mathsf {G}}}(L_{p(\cdot ),q}(\varOmega )) = (t^{-1/p_{-}},q)$$ E G ( L p ( · ) , q ( Ω ) ) = ( t - 1 / p - , q ) . The growth envelope is used for Hardy-type inequalities and limiting embeddings. In particular, as a by-product, we determine the smallest classical Lebesgue (Lorentz) space which contains a fixed mixed or variable Lebesgue (Lorentz) space, respectively.