On Probability and Moment Inequalities for Supermartingales and Martingales
Burkholder's type inequality is stated for the special class of martingales, namely the product of independent random variables. The constants in the latter are much less than in the general case which is considered in Nagaev (Acta Appl. Math. 79, 35-46, 2003; Teor. Veroyatn. i Primenen. 51(2),...
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| Veröffentlicht in: | Acta applicandae mathematicae 2007-07, Vol.97 (1-3), p.151-162 |
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| creator | Nagaev, S V |
| description | Burkholder's type inequality is stated for the special class of martingales, namely the product of independent random variables. The constants in the latter are much less than in the general case which is considered in Nagaev (Acta Appl. Math. 79, 35-46, 2003; Teor. Veroyatn. i Primenen. 51(2), 391-400, 2006). On the other hand, the moment inequality is proved, which extends these by Wittle (Teor. Veroyatn. i Primenen. 5(3), 331-334, 1960) and Dharmadhikari and Jogdeo (Ann. Math. Stat. 40(4), 1506-1508, 1969) to martingales. |
| doi_str_mv | 10.1007/s10440-007-9131-0 |
| format | Article |
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| subjects | Constants Independent variables Inequalities Inequality Martingales Mathematical models Mathematics Probability Random variables Studies Theory |
| title | On Probability and Moment Inequalities for Supermartingales and Martingales |
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