Inequalities for tails of adapted processes with an application to Wald's lemma

DOI10.1007/BF01047575MaRDI QIDQ1210341zbMATH OpenOpenAlexWikidataFDO

Authors Victor H. de la Peña

Publication date 8 August 1993

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01047575

zbMATH Keywords

inequalitiestail probability versionWald's lemma

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Review text

A new tail probability version of Wald's lemma for expectations of randomly stopped sums of independent random variables is introduced. The new Lenglart and good lambda inequalities comparing the tails of various types of adapted processes are also given.

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Cites work

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Cited in

(1)

• Decoupling and domination inequalities with application to Wald's identity for martingales

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