Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingales

Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingales

A Burkholder-type inequality for supermartingales and martingales is proved. The proof reduces to a refinement of the corresponding arguments by S. V. Nagaev, who obtained the inequality with a greater value of the upper bound.

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Veröffentlicht in:Theory of probability and its applications 2009-01, Vol.53 (1), p.173-179
1. Verfasser: Presman, E. L.
Format: Artikel
Sprache:eng
Schlagworte:
Inequality
Random variables
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Beschreibung
Zusammenfassung:A Burkholder-type inequality for supermartingales and martingales is proved. The proof reduces to a refinement of the corresponding arguments by S. V. Nagaev, who obtained the inequality with a greater value of the upper bound.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97983468