A norm inequality for Itô processes (Q1380137)

This paper provides a norm inequality of the kind \(\| Y\|^p\leq K(p,\alpha)\| X\|^p\) for related Itô processes \(X\) and \(Y\) where \(Y\) is \(\alpha\)-subordinate (so-called) to \(X\) and the constant \(K\) is best possible. The result is closely related to one of \textit{D. L. Burkholder} [Ann. Probab. 22, No. 2, 995-1025 (1994; Zbl 0816.60046)].