Refinements of the Dubins-Savage inequality (Q1592268)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Refinements of the Dubins-Savage inequality |
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Refinements of the Dubins-Savage inequality (English)
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6 August 2001
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The aim of this paper is to sharpen the Dubins-Savage inequality for certain supermartingales whose conditional moment-generating functions are suitably bounded. In particular, sharper inequalities are derived for generalized Gaussian, sub-normal and sub-Poisson sequences.
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Dubins-Savage inequality
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supermartingale
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generalized Gaussian sequence
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sub-normal sequence
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sub-Poisson sequence
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