Prophet regions and sharp inequalities for pth absolute moments of martingales

DOI10.1016/0047-259X(86)90072-2zbMath0594.60019OpenAlexW2069087438MaRDI QIDQ1077068

David C. Cox, Robert P. Kertz

Publication date: 1986

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(86)90072-2

zbMATH Keywords

optimal stoppinginequalitysharp inequalitiesYoung's inequalityconjugate function theoryDoob'sprophet problem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Common strict character of some sharp infinite-sequence martingale inequalities ⋮ Prophet inequalities for averages of independent non-negative random variables ⋮ Expectation inequalities associated with prophet problems¹ ⋮ Prophet region for independent random variables with a discount factor ⋮ Continuity Properties of Optimal Stopping Value ⋮ Extremal distributions for the prophet region in the independent case

Cites Work

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• On a class of martingale inequalities
• Stop rule and supremum expectations of i.i.d. random variables: A complete comparison by conjugate duality
• Comparisons of stop rule and supremum expectations of i.i.d. random variables
• Every nonnegative submartingale is the absolute value of a martingale
• Prophet Inequalities and Order Selection in Optimal Stopping Problems
• Stop Rule Inequalities for Uniformly Bounded Sequences of Random Variables
• Ratio comparisons of supremum and stop rule expectations
• On the Distribution of Maxima of Martingale
• The General Moment Problem, A Geometric Approach

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