Addendum to ``An extension of an inequality of Hoeffding to unbounded random variables'': The non-i.i.d. case (Q616534)

Let \(S_n=X_1+\dots+X_n\) be a sum of independent random variables. In a recent paper, the author [Lith. Math. J. 48, No. 2, 137--157 (2008; Zbl 1153.60009)] obtained an extension of an inequality of \textit{W. Hoeffding} [J. Am. Stat. Assoc. 58, 13--30 (1963; Zbl 0127.10602)] when the \(X_n\) are unbounded positive random variables. It was assumed that the means \(E(X_k)\), \(1\leq k\leq n\), are known. In this addendum, the author proves that the inequality still holds if only an upper bound for the mean \(E(S_n)\) is known. It is further shown that the independence of \(X_k\) can be replaced by a supermartingale-type assumption.