The best Doob-type bounds for the maximum of Brownian paths (Q4387151)

For the standard Brownian motion \( (B_t : t \geq 0) \) started at zero the following inequality chain is known \[ A_pE \Biggl( \int_0^{\tau} | B_t |^{p-2}dt \Biggr) \leq E\Bigl( \max_{0\leq t\leq\tau} | B_t |^p\Bigr) \leq B_pE\Biggl( \int_0^{\tau} | B_t |^{p-2}dt \Biggr) \] for \( p>1 \) and all stopping times \( \tau \). The author proves for \( 0<p\leq 1+q\), \(q>0\), the estimate \[ E\Bigl( \max_{0\leq t\leq \tau} | B_t |^p \Bigr) \leq \gamma_{p,q}E\Biggl( \int_0^{ q-1} dt\Biggr)^{p/(q+1)}. \tag{\(*\)} \] Furthermore, he gives the best values \( \gamma_{p,q}^* \) in \((*)\) and the corresponding optimal stopping time \( \tau^* \). The results obtained extend to all non-negative submartingales. For the entire collection see [Zbl 0883.00024].