Sharp inequality for randomly stopped sums of independent non-negative random variables (Q1332317): Difference between revisions

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.