On the Behavior of the Constant in a Decoupling Inequality for Martingales
- 1 May 1994
- journal article
- Published by JSTOR in Proceedings of the American Mathematical Society
- Vol. 121 (1) , 253-258
- https://doi.org/10.2307/2160390
Abstract
Let and be two martingales with respect to the same filtration <!-- MATH $({\mathcal{F}_n})$ --> such that their difference sequences and satisfy <!-- MATH \begin{displaymath} P({d_n} \geq \lambda |{\mathcal{F}_{n - 1}}) = P({e_n} \geq \lambda |{\mathcal{F}_{n - 1}}) \end{displaymath} -->
Keywords
This publication has 8 references indexed in Scilit:
- Best Constants in Martingale Version of Rosenthal's InequalityThe Annals of Probability, 1990
- Best constant in the decoupling inequality for non-negative random variablesStatistics & Probability Letters, 1990
- A uniform CLT for uniformly bounded families of martingale differencesJournal of Theoretical Probability, 1989
- Comparison of moments for tangent sequences of random variablesProbability Theory and Related Fields, 1988
- Comparison of martingale difference sequencesPublished by Springer Nature ,1985
- Some Inequalities for the Distribution of Sums of Independent Random VariablesTheory of Probability and Its Applications, 1978
- On the Estimation of Moments of Sums of Independent Random VariablesTheory of Probability and Its Applications, 1975
- Distribution Function Inequalities for MartingalesThe Annals of Probability, 1973