Let B=(Bt)t[ges ]0
be standard Brownian motion started at zero. We prove
formula here
for all c>1 and all stopping times τ for B
satisfying
E(τr)<∞ for some r>1/2.
This
inequality is sharp, and equality is attained at the stopping time
τ*=inf{t>0[mid ]St
[ges ]u*, Xt
=1∨αSt},
where
u*=1+1/ec(c−1)
and α=(c−1)/c for c>1, with
Xt=[mid ]Bt[mid ]
and
St=
max0[les ]r[les ]t[mid ]Br[mid ].
Likewise, we prove
formula here
for all c>1 and all stopping times τ for B
satisfying
E(τr<∞ for some
r>1/2. This inequality is sharp,
and equality is attained at the stopping time
σ*=inf{t>0[mid ]St
[ges ]v*, Xt
=αSt},
where v*=c/e(c−1)
and
α=(c−1)/c for c>1. These
results
contain and refine the results on the
Llog L-inequality of Gilat [6]
which are obtained by analytic methods. The method of proof used here is
probabilistic and is based upon solving the optimal stopping problem with
the payoff
formula here
where F(x) equals either xlog+x
or
xlog x. This optimal stopping problem has some new interesting
features, but in essence is solved by applying the principle of smooth
fit and the
maximality principle. The results extend to the case when B starts
at
any given point (as well as to all non-negative submartingales).