A note on the domination inequalities and their applications

Yaofeng Ren and Jing Shen

Statistics & Probability Letters, 2012, vol. 82, issue 6, 1160-1168

Abstract: In this note, we present some refinements of the well-known domination inequalities. Let X be an adapted positive cadlag process dominated by a predictable increasing process A with A0=0. We derive some sharper constants in the inequalities. For the widely used inequality E[(X∞∗)p]≤2−p1−pE(A∞p),0Keywords: Domination inequality; Increasing process; Locally square integrable martingale; Ornstein–Uhlenbeck process; Bessel process (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715212000740
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:82:y:2012:i:6:p:1160-1168

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2012.03.002

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().