The Sharp Constant for the Burkholder-Davis-Gundy Inequality and Non-Smooth Pasting

We revisit the celebrated family of BDG-inequalities introduced by Burkholder, Gundy \cite{BuGu70} and Davis \cite{Da70} for continuous martingales. For the inequalities $$\mathbb{E}$[\tau^{\frac{p}{2}}] \leq C_p $\mathbb{E}$[(B^*(\tau))^p]$with$0 < p < 2$ we propose a connection of the optimal constant $C_p$ with an ordinary integro-differential equation which gives rise to a numerical method of finding this constant. Based on numerical evidence we are able to calculate, for $p=1$, the explicit value of the optimal constant $C_1$, namely $C_1=1,27267\dots$. In the course of our analysis, we find a remarkable appearance of “non-smooth pasting” for a solution of a related ordinary integro-differential equation.