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

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.