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Joined 2026-09-21
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Submartingale
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Doob maximal inequality for a nonnegative submartingale
2026-10-03
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If
(
X
m
)
m
≤
n
is
a
nonnegative
submartingale
, then for every
a
>
0
,
a
P
(
max
m
≤
n
X
m
≥
a
)
≤
E
[
X
n
]
.
(1)
Stop at the
first
crossing of
a
and use the
submartingale
property on that
event
.
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