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Refinements of the Dubins–Savage Inequality

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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.

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Authors and Affiliations

  1. Department of Mathematics, Cleveland State University, Euclid Avenue at East 24th Street, Cleveland, Ohio, 44115, U.S.A.

    Rasul A. Khan

  2. University of Regina, Regina, SK, S4S OA2, Canada

    R. J. Tomkins

Authors
  1. Rasul A. Khan
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  2. R. J. Tomkins
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Khan, R.A., Tomkins, R.J. Refinements of the Dubins–Savage Inequality. Journal of Theoretical Probability 13, 659–672 (2000). https://doi.org/10.1023/A:1007802326865

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  • DOI: https://doi.org/10.1023/A:1007802326865

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