Ratio prophet inequalities for convex functions of partial sums (Q1801880): Difference between revisions
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English | Ratio prophet inequalities for convex functions of partial sums |
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Ratio prophet inequalities for convex functions of partial sums (English)
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15 December 1993
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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 \(2-n^{-1}\leq 3\).
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prophet inequalities
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expectations involving maxima of partial sums
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