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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 1, Pages 172–178
DOI: https://doi.org/10.4213/tvp2492 (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
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DOI: https://doi.org/10.4213/tvp2492
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
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 1, Pages 173–179
DOI: https://doi.org/10.1137/S0040585X97983468
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: E. L. Presman, “Estimation of the Constant in a Burkholder Inequality for Supermartingales and Martingales”, Teor. Veroyatnost. i Primenen., 53:1 (2008), 172–178; Theory Probab. Appl., 53:1 (2009), 173–179
Citation in format AMSBIB
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
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