Exact inequalities for the maximum of a skew Brownian motion (Q355255)

Let \((W^{\alpha}_t)_{t\geq 0}\) (where \(0<\alpha<1\)) be the unique strong solution of the equation of a skew Brownian motion with the initial condition \(W_0^{\alpha}=0\), see [\textit{J. M. Harrison} and \textit{L. A. Shepp}, Ann. Probab. 9, 309--313 (1981; Zbl 0462.60076)] for details. The paper indicates the optimal constant \(M_{\alpha}\) (\(0<M_{\alpha}<\sqrt{2}\)) such that the inequality \[ \text{E}\left(\max_{0\leq t\leq \tau}W_t^{\alpha}\right)\leq M_{\alpha}\sqrt{\text{E}\tau} \] holds for any Markov moment \(\tau\). The proof is based on the solution to an optimal stopping problem. The above result extends the well-known inequalities for the standard Brownian motion and its module.