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SOME REMARKS ON BLACKWELL–ROSS MARTINGALE INEQUALITIES
Published online by Cambridge University Press: 15 December 2006
Abstract
Under a suitable condition on the conditional moment generating function of the martingale differences, an exponential supermartingale is used to generalize certain martingale inequalities due to Blackwell and Ross.
- Type
- Research Article
- Information
- Probability in the Engineering and Informational Sciences , Volume 21 , Issue 1 , January 2007 , pp. 109 - 115
- Copyright
- © 2007 Cambridge University Press
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