Sharp inequality for randomly stopped sums of independent non-negative random variables (Q1332317): Difference between revisions
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Property / cites work: A note on second moment of a randomly stopped sum of independent variables / rank | |||
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Property / cites work: Stopped Random Walks / rank | |||
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Property / cites work: On a domination of sums of random variables by sums of conditionally independent ones / rank | |||
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Property / cites work: A best possible improvement of Wald's equation / rank | |||
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Latest revision as of 16:44, 22 May 2024
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English | Sharp inequality for randomly stopped sums of independent non-negative random variables |
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Sharp inequality for randomly stopped sums of independent non-negative random variables (English)
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10 October 1994
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Let \(X_ 1, X_ 2, \dots\) be independent nonnegative random variables and \(\tau\) a stopping time. The author shows for \(1 \leq p < \infty\) \[ E \left( \sum^ \tau_{k = 1} X_ k \right)^ p \leq 2^{p-1} E \left( \sum^{\tau'}_{k=1} X_ k \right)^ p, \] where \(\tau'\) is a copy of \(\tau\) independent of the sequence \(X_ 1, X_ 2, \dots\) He demonstrates that the constant \(2^{p-1}\) is best possible.
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moment inequality
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stopping time
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