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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 2008 Volume 53, Issue 1, Pages 172–178 (Mi tvp2492)
Short Communications

Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingales

E. L. Presman

Central Economics and Mathematics Institute, RAS

Abstract: A Burkholder-type inequality for supermartingales and martingales is proved. The proof reduces to a refinement of the corresponding arguments by S. V. Nagaev, who obtained the inequality with a greater value of the upper bound.

Keywords: expectation, martingale, supermartingale, Burkholder inequality, moments.

Received: 15.08.2006

DOI: 10.4213/tvp2492


 English version: Theory of Probability and its Applications, 2009, 53:1, 173–179

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