Prophet regions and sharp inequalities for pth absolute moments of martingales

David C. Cox and Robert P. Kertz

Journal of Multivariate Analysis, 1986, vol. 18, issue 2, 242-273

Abstract: Exact comparisons are made relating EY0p, EYn-1p, and E(maxj = 1. Specifically, for p > 1, the set of ordered triples {(x, y, z) : X = EY0p, Y = E Yn-1p, and Z = E(maxj 0, and = an-1,py if x = 0; here [psi]n,p is a specific recursively defined function. The result yields families of sharp inequalities, such as E(maxj

Keywords: martingales; sharp; inequalities; for; stochastic; processes; prophet; problem; extremal; distributions; optimal; stopping; theory; of; moments; conjugate; duality; Young's; inequality; Doob's; inequality (search for similar items in EconPapers)
Date: 1986
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