Some best possible prophet inequalities for convex functions of sums of independent variates and unordered martingale difference sequences

DOI10.1214/AOP/1024404420zbMath0880.60017OpenAlexW2062015147MaRDI QIDQ1356368

Michael J. Klass, Kwok Pui Choi

Publication date: 7 January 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404420

zbMATH Keywords

convex functionmediansums of independent random variablesmaximum of partial sumsprophet inequalitiesunordered martingale difference sequence

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

From Conditional Independence to Conditionally Negative Association: Some Preliminary Results ⋮ Maximal Inequalities for Dependent Random Variables

Cites Work

• Iterated logarithm laws for asymmetric random variables barely with or without finite mean
• Ratio prophet inequalities for convex functions of partial sums
• Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates
• Unnamed Item

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