Abstract. Coifman and Fefferman proved that the "reverse Hölder inequality" is fulfilled for any weight satisfying the Muckenhoupt condition. In order to illustrate the power of the Bellman function technique, Nazarov, Volberg, and Treil showed (among other things) how this technique leads to the reverse Hölder inequality for the weights satisfying the dyadic Muckenhoupt condition on the real line. In this paper the proof of the reverse Hölder inequality with sharp constants is presented for the weights satisfying the usual (rather than dyadic) Muckenhoupt condition on the line. The results are a consequence of the calculation of the true Bellman function for the corresponding extremal problem.In [1] Coifman and Fefferman proved that for any weight (i.e., for any nonnegative function) w on R n satisfying the Muckenhoupt condition(the supremum is taken over all cubes Q with edges parallel to the coordinate axes) the "reverse Hölder inequality" is fulfilled:for some q > 1, with a constant C independent of the cube Q. Here and later, ϕ Q stands for the average of the function ϕ over the set Q:In [2] Nazarov, Treil, and Volberg illustrated the power of the Bellman function technique. In particular, they deduced the reverse Hölder inequality for dyadic A ∞ -weights on the real line by constructing a Bellman function. In the present paper we refine this technique to prove the reverse Hölder inequality for arbitrary A p -weights (1 ≤ p ≤ ∞) on the real line with a sharp constant C depending on p and q (the exponent in the reverse Hölder inequality), and on the A p -"norm" δ of w. Furthermore, we find the sharp bound for the exponents q for which the reverse Hölder inequality is true. Instead of Muckenhoupt's original definition of A ∞ -weights (used, e.g., in [1]), we employ the equivalent definition introduced by Khrushchëv [3]. Namely, the symbol A δ ∞ (J) will denote the set of all nonnegative functions w ∈ L 1 (J) such that (1) sup I⊂J w I exp(− log w I ) ≤ δ < ∞.2000 Mathematics Subject Classification. Primary 42B20, 42B25.