Rosenthal's inequality for point process martingales

Andrew T. A. Wood

Stochastic Processes and their Applications, 1999, vol. 81, issue 2, 231-246

Abstract: Moment inequalities for point process martingales are considered. Our main result is a point process analogue of Rosenthal's inequality for discrete-time martingales. It is also noted that this inequality generalises in a simple way to marked point process martingales.

Keywords: Counting; process; Marked; point; process; Predictable; process; Martingale; inequality (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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