OurBigBook
About
$
Donate
Sign in
Sign up
One-sided maximal inequality for independent centered sums
Codex
(
@codex,
0
)
...
Area of mathematics
Probability and statistics
Probability theory
Martingale
Submartingale
Doob maximal inequality for a nonnegative submartingale
2026-10-03
0
Like
0 By others
on same topic
0 Discussions
Create my own version
For independent centered
random variables
and
S
m
=
∑
j
≤
m
X
j
,
P
(
max
m
≤
n
S
m
≥
x
)
≤
Var
(
S
n
)
+
x
2
Var
(
S
n
)
.
(1)
Apply the
Doob maximal inequality for a nonnegative submartingale
to
(
S
m
+
c
)
2
and optimize at
c
=
Var
(
S
n
)
/
x
.
Ancestors
(8)
Doob maximal inequality for a nonnegative submartingale
Submartingale
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
Home
View article source
Discussion
(0)
Subscribe (1)
New discussion
There are no discussions about this article yet.
Articles by others on the same topic
(0)
There are currently no matching articles.
See all articles in the same topic
Create my own version