Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 28 / 1 / c / Solution

Put $V=\mathbb{E}{X}_n^2$. For $c\ge 0$, the process $(X_m+c{)}^2$ is a nonnegative submartingale, by the conditional Jensen inequality. A crossing of $x$ by $X$ implies a crossing of $(x+c{)}^2$ by this squared process. Since $\mathbb{E}{X}_n=\mathbb{E}{X}_0=0$, the Doob maximal inequality givesFor $V>0$, differentiation of the last expression gives $2(cx-V)/(x+c{)}^3$, so its minimum over $c\ge 0$ occurs at $c=V/x$. Substitution proves the one-sided martingale maximal inequalityIf $V=0$, then $X_n=0$ almost surely and $X_m=\mathbb{E}[X_n\mid {\mathcal{F}}_m]=0$ for every $m\le n$, so the same conclusion holds. The constant is sharp: at one step take $X_1=x$ with probability $V/(V+x^2)$ and $X_1=-V/x$ otherwise. This has mean zero, variance $V$, and achieves equality.