Sharp maximal $L^p$-estimates for martingales

Abstract

Let $X$ be a supermartingale starting from $0$ which has only nonnegative jumps. For each $0<p<1$ we determine the best constants $c_p$, $C_p$ and $\mathfrak{c}_p$ such that $$ \,\,\,\,\sup_{t\geq 0}\left|\left|X_t\right|\right|_p\leq C_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p,$$ $$ \,\,||\sup_{t\geq 0}X_t||_p\leq c_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p$$ and $$ ||\sup_{t\geq 0}|X_t|\;||_p\leq \mathfrak{c}_p\left|\left|-\inf_{t\geq 0}X_t\right|\right|_p.$$ The estimates are shown to be sharp if $X$ is assumed to be a stopped one-dimensional Brownian motion. The inequalities are deduced from the existence of special functions, enjoying certain majorization and convexity-type properties. Some applications concerning harmonic functions on Euclidean domains are indicated.