Refinements of the Dubins-Savage inequality

Authors
Khan, RA Tomkins, RJ
Citation
Ra. Khan et Rj. Tomkins, Refinements of the Dubins-Savage inequality, J THEOR PR, 13(3), 2000, pp. 659-672
Citations number
6
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF THEORETICAL PROBABILITY
ISSN journal
08949840 → ACNP
Volume
13
Issue
3
Year of publication
2000
Pages
659 - 672
Database
ISI
SICI code
0894-9840(200007)13:3<659:ROTDI>2.0.ZU;2-E
Abstract
This paper sharpens the Dubins-Savage inequality for certain supermartingal es whose conditional moment-generating functions are suitably bounded. In p articular, sharper inequalities are derived for generalized gaussian, sub-n ormal and sub-Poisson sequences. A related inequality due to Khan is also r efined.