I have seen on this video (van Embde Boas Trees) at time 8:00 that:
$$T(\lg u) = T(\lg u/2) + \mathcal{O}(1) = \mathcal{O}(\lg \lg u)$$
and that
$$T(u) = T(\sqrt{u}) + \mathcal{O}(1) = \mathcal{O}(\lg \lg u)$$
have the same complexity.
I don't see the connection on why these two recurrences have the same complexity.
Note that in the first recurrence $$ T(\lg(u)) = T\left(\frac{\lg (u)}2\right) + \mathcal O(1) = \mathcal O(\lg(\lg(u))) $$ you have $$ \frac{\lg(u)}{2} = \frac{1}{2} \lg(u) = \lg\left(u^{\frac 1 2}\right) = \lg(\sqrt{u}) $$ so you can rewrite it as $$ T(\lg(u)) = T(\lg(\sqrt{u})) + \mathcal O(1) = \mathcal O(\lg(\lg(u))). $$ Then letting $T'(z) = T(\lg z)$ you obtain $$ T'(u) = T'(\sqrt{u}) + \mathcal O(1) = \mathcal O(\lg(\lg(u))). $$