\(L_p\)-version of the Dubins-Savage inequality and some exponential inequalities

DOI10.1007/s10959-008-0206-2zbMath1166.60016OpenAlexW2171340905MaRDI QIDQ1028625

Rasul A. Khan

Publication date: 6 July 2009

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-008-0206-2

zbMATH Keywords

martingalemoment generating functionexponential inequalitiesstochastic sequencesupermartingaleDubins-Savage inequality

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Strong limit theorems (60F15)

Related Items (4)

Time-uniform Chernoff bounds via nonnegative supermartingales ⋮ Catoni-style confidence sequences for heavy-tailed mean estimation ⋮ A composite generalization of Ville's martingale theorem using e-processes ⋮ On the Bias, Risk, and Consistency of Sample Means in Multi-armed Bandits

Cites Work

• On the existence and path properties of stochastic integrals
• On tail probabilities for martingales
• A remark on the strong law
• Refinements of the Dubins-Savage inequality
• A general class of exponential inequalities for martingales and ratios
• SOME REMARKS ON BLACKWELL–ROSS MARTINGALE INEQUALITIES
• A TCHEBYCHEFF-LIKE INEQUALITY FOR STOCHASTIC PROCESSES
• An $L^p$-Convergence Theorem
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