[step:Upper bound $\|f\|_{\mathrm{BMO}_p} \le C_{p,n}\|f\|_{\mathrm{BMO}}$ via the John–Nirenberg layer-cake]
We assume $f \in \mathrm{BMO}(\mathbb{R}^n)$ with $\|f\|_{\mathrm{BMO}} > 0$ (the case $\|f\|_{\mathrm{BMO}} = 0$ has $f$ a.e. constant, both sides vanish, and the inequality is automatic). Fix a cube $Q \subset \mathbb{R}^n$. The [layer-cake representation](/theorems/???) of an $L^p$ integral applied to the non-negative measurable function $|f - f_Q|^p$ on the finite measure space $(Q, \mathcal{B}(Q), \mathcal{L}^n|_Q)$ states
\begin{align*}
\int_Q |f(x) - f_Q|^p\, d\mathcal{L}^n(x) = \int_0^\infty p\lambda^{p-1}\,\mathcal{L}^n(\{x \in Q : |f(x) - f_Q| > \lambda\})\, d\mathcal{L}^1(\lambda).
\end{align*}
Apply the [John–Nirenberg Inequality](/theorems/3180) to the inner level set: there exist $c_1, c_2 > 0$ depending only on $n$ such that
\begin{align*}
\mathcal{L}^n(\{x \in Q : |f(x) - f_Q| > \lambda\}) \le c_1|Q|\exp\!\left(-\frac{c_2\lambda}{\|f\|_{\mathrm{BMO}}}\right).
\end{align*}
Substituting and pulling out $|Q|$,
\begin{align*}
\int_Q |f - f_Q|^p\, d\mathcal{L}^n \le c_1 p|Q| \int_0^\infty \lambda^{p-1}\exp\!\left(-\frac{c_2\lambda}{\|f\|_{\mathrm{BMO}}}\right)\, d\mathcal{L}^1(\lambda).
\end{align*}
Substitute $t := c_2\lambda/\|f\|_{\mathrm{BMO}}$, so that $\lambda = (\|f\|_{\mathrm{BMO}}/c_2)\,t$ and $d\mathcal{L}^1(\lambda) = (\|f\|_{\mathrm{BMO}}/c_2)\,d\mathcal{L}^1(t)$, and the integration interval $(0, \infty)$ is preserved (substitution by an increasing diffeomorphism of $(0, \infty)$):
\begin{align*}
\int_0^\infty \lambda^{p-1}\exp(-c_2\lambda/\|f\|_{\mathrm{BMO}})\, d\mathcal{L}^1(\lambda)
&= \left(\frac{\|f\|_{\mathrm{BMO}}}{c_2}\right)^p \int_0^\infty t^{p-1}e^{-t}\, d\mathcal{L}^1(t) \\
&= \left(\frac{\|f\|_{\mathrm{BMO}}}{c_2}\right)^p \Gamma(p),
\end{align*}
where $\Gamma(p) := \int_0^\infty t^{p-1}e^{-t}\, d\mathcal{L}^1(t)$ is the [Gamma function](/theorems/???) value at $p$, finite because $p > 0$. Therefore
\begin{align*}
\frac{1}{|Q|}\int_Q |f - f_Q|^p\, d\mathcal{L}^n \le c_1 p\,c_2^{-p}\,\Gamma(p)\,\|f\|_{\mathrm{BMO}}^p.
\end{align*}
Taking the $p$-th root and the supremum over $Q$ gives
\begin{align*}
\|f\|_{\mathrm{BMO}_p} \le \left(c_1 p\,\Gamma(p)\right)^{1/p}c_2^{-1}\|f\|_{\mathrm{BMO}} =: C_{p,n}\|f\|_{\mathrm{BMO}},
\end{align*}
where $C_{p, n} := \left(c_1 p\,\Gamma(p)\right)^{1/p}c_2^{-1}$ depends only on $n$ (through $c_1, c_2$) and $p$.
[/step]