Graversen, S. E.; Peskir, G. - In: Stochastic Processes and their Applications 69 (1997) 1, pp. 111-125
If B = (Bt)t [greater-or-equal, slanted] 0 is a standard Brownian motion started at x under Px for x [greater-or-equal, slanted] 0, and [tau] is any stopping time for B with Ex([tau]) < [infinity], then for each p > 1 the following inequality is shown to be sharp: The sharpness is realized through the stopping times of the...</[infinity],>
