On the Rosenthal's inequality for locally square integrable martingales

被引：3
|
作者：
Ren, YF [1 ]
Tian, FJ
机构：
[1] Naval Univ Engn, Dept Math, Wuhan 430033, Peoples R China
[2] Hubei Univ, Inst Math & Comp Sci, Wuhan 430062, Peoples R China
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2003年 / 104卷 / 01期
关键词：
locally square integrable martingale; Rosenthal's inequality; Burkholder-Gundy inequality; stopping time; supermartingale;
D O I：
10.1016/S0304-4149(02)00251-X
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Moment inequalities for locally square integrable martingales are considered. The growth rates of the constants in Rosenthal's inequality for locally square integrable martingales and Burkholder-Gundy inequality for martingales with symmetric jumps are given. (C) 2002 Elsevier Science B.V. All rights reserved.
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页码：107 / 116
页数：10
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