Refinements of the Dubins–Savage Inequality

Rasul A. Khan () and R. J. Tomkins ()
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Rasul A. Khan: Cleveland State University
R. J. Tomkins: University of Regina

Journal of Theoretical Probability, 2000, vol. 13, issue 3, 659-672

Abstract: Abstract This paper sharpens the Dubins–Savage inequality for certain supermartingales whose conditional moment-generating functions are suitably bounded. In particular, sharper inequalities are derived for generalized gaussian, sub-normal and sub-Poisson sequences. A related inequality due to Khan is also refined.

Keywords: Dubins–Savage inequality; supermartingale; generalized gaussian sequence; sub-normal sequence; sub-Poisson sequence (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1007802326865

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