Moment inequality for the martingale square function

DOI10.4064/BA61-2-11MaRDI QIDQ2866790zbMATH OpenOpenAlexFDO

Authors Adam Osȩkowski

Publication date 16 December 2013

Published in Bulletin of the Polish Academy of Sciences, Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9a1493fd40029ebbd35474ee333d444fd5a332c5

zbMATH Keywords

best constantsmartingalesmethod of momentssum of squares of the increments

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

Review text

Consider a martingale sequence over a filtration. The main result of this work provides an upper bound on the first moment of the \(n\)th term of the sequence by the sum of the squares of the increments of the sequence up to the \(n\)th term. This upper bound carries a multiplicative factor which is a function of \(n\) and it is determined explicitly through a recursion. This multiplicative factor is best possible in the sense that there is a martingale sequence that almost attains it.

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Cited in

(1)

• A weak-type inequality for the martingale square function

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