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Start Over Descriptor "Stopping time" Topic absolute value Journal theory of probability & its applications

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1. THE KOLMOGOROV INEQUALITY FOR THE MAXIMUM OF THE SUM OF RANDOM VARIABLES AND ITS MARTINGALE ANALOGUES.

Author

KORDZAKHIA, N. E., NOVIKOV, A. A., and SHIRYAEV, A. N.

Subjects
*RANDOM variables, *MARTINGALES (Mathematics), *ABSOLUTE value, *INDEPENDENT variables
Abstract

We give a survey of the results related to extensions of the Kolmogorov inequality for the distribution of the absolute value of the maximum of the sum of centered independent random variables to the case of martingales considered at random stopping times. [ABSTRACT FROM AUTHOR]

Published
2023
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