Maximal inequalities for g-martingales

Wei Wang

Statistics & Probability Letters, 2009, vol. 79, issue 9, 1169-1174

Abstract: Maximal inequalities play an important role in the classical martingale theory. This paper studies maximal inequalities for g-martingales under the g-expectation framework. Two kinds of maximal inequalities for g-martingales are obtained.

Date: 2009
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