Sharpness of Lenglart's domination inequality and a sharp monotone version (Q2064872)

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Sharpness of Lenglart's domination inequality and a sharp monotone version
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    Sharpness of Lenglart's domination inequality and a sharp monotone version (English)
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    6 January 2022
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    This paper answers an open question formulated by \textit{D. Revuz} and \textit{M. Yor} [Continuous martingales and Brownian motion. 3rd ed. Berlin: Springer (1999; Zbl 0917.60006)] (question IV.1 on page 178) by proving the sharpness of the constant \(c_p=p^{-p}/(1-p)\) in Lenglart's inequality (see [\textit{E. Lenglart}, Ann. Inst. Henri Poincaré, Nouv. Sér., Sect. B 13, 171--179 (1977; Zbl 0373.60054)]). Moreover, in the more specific case of a non-decreasing process, the authors derive a new ``monotone'' version of Lenglart's inequality, with a constant \(p^{-p}\). In particular, the authors show that this constant is sharp.
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    BDG inequality
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    Garsia's lemma
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    Lenglart's domination inequality
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    monotone Lenglart's inequality
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    sharpness
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