SOME REMARKS ON BLACKWELL–ROSS MARTINGALE INEQUALITIES

SOME REMARKS ON BLACKWELL–ROSS MARTINGALE INEQUALITIES

Under a suitable condition on the conditional moment generating function of the martingale differences, an exponential supermartingale is used to generalize certain martingale inequalities due to Blackwell and Ross.

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Veröffentlicht in:Probability in the engineering and informational sciences 2007-01, Vol.21 (1), p.109-115
1. Verfasser: Khan, Rasul A.
Format: Artikel
Sprache:eng
Schlagworte:
Mathematical analysis
Mathematical models
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Zusammenfassung:Under a suitable condition on the conditional moment generating function of the martingale differences, an exponential supermartingale is used to generalize certain martingale inequalities due to Blackwell and Ross.
ISSN:0269-9648
1469-8951
DOI:10.1017/S0269964807070076