On the Rosenthal's inequality for locally square integrable martingales

Yao-Feng Ren and Fan-Ji Tian

Stochastic Processes and their Applications, 2003, vol. 104, issue 1, 107-116

Abstract: 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.

Keywords: Locally; square; integrable; martingale; Rosenthal's; inequality; Burkholder-Gundy; inequality; Stopping; time; Supermartingale (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (2)

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