Best bounds in Doob's maximal inequality for Bessel processes (Q5926421)

The main result of this paper is the following: Let \(\{ Z_t, {\mathbb P}_z\}\) be a Bessel process of dimension \(\alpha > 0\) starting at \(z \geq 0\); then the following (maximal) inequality holds: \[ {\mathbb E}_z \max_{0\leq t\leq \tau} Z^p_t \leq {\left(\frac{p}{p -(2 -\alpha)}\right)}^{p (2-\alpha)}{\mathbb E}_z Z^p_{\tau}- \frac{p}{p- (2-\alpha)} z^p, \] for every stopping time \(\tau\) such that \({\mathbb E}_z \tau^{p/2}\) \( < \infty\), and all \(p > (2-\alpha)\wedge 0\). The constants appearing in the inequality are best possible. The main argument consists in solving a certain optimal stopping problem, by applying the principle of smooth fit and the maximality principle.