Ratio prophet inequalities for convex functions of partial sums (Q1801880): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
(One intermediate revision by one other user not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Best constants in martingale version of Rosenthal's inequality / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: A best possible improvement of Wald's equation / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Maximizing \(E\max _{1\leq k\leq n}S^+_ k/ES^+_ n:\) A prophet inequality for sums of i.i.d. mean zero variates / rank | |||
Normal rank |
Revision as of 17:28, 17 May 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Ratio prophet inequalities for convex functions of partial sums |
scientific article |
Statements
Ratio prophet inequalities for convex functions of partial sums (English)
0 references
15 December 1993
0 references
Let \(\Phi(0)\geq 0\) and assume \(\Phi\) to be convex and non-decreasing on \([0,\infty)\). Let \(X_ 1,X_ 2,\dots\) be independent mean zero random variables, \(S_ n=X_ 1+\dots+X_ n\) and \(S^*_ n=\max_{1\leq m\leq n} S^ +_ m\). Then for any \(n\geq 1\), \(E\Phi(S^*_ n)\leq 5E\Phi(S^ +_ n)\). Moreover, if the \(X\)'s are i.i.d., then the constant in this inequality can be improved to \(2-n^{-1}\leq 3\).
0 references
prophet inequalities
0 references
expectations involving maxima of partial sums
0 references