On maximal inequalities for some jump processes

We present a solution to the considered in [5] and [22] optimal stopping problem for some jump processes. The method of proof is based on reducing the initial problem to an integro-differential free-boundary problem where the normal reflection and smooth fit may break down and the latter then be replaced by the continuous fit. The derived result is applied for determining the best constants in maximal inequalities for a compound Poisson process with linear drift and exponential jumps. -- Jump process ; stochastic differential equation ; maximum process ; optimal stopping problem ; compound Poisson process ; It^o's formaula ; integro-differential free-boundary problem ; normal reflection ; continuous and smooth fit ; maximality principle ; maximal inequalities