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 (Acta Math. 124 (1970) 249–304) and Davis (Israel J. Math. 8 (1970) 187–190) for continuous martingales. For the inequalities $\mathbb{E}[\tau^{\frac{p}{2}}]\leq C_{p}\mathbb{E}[(B^{*}(\tau))^{p}]$ with $0