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Common strict character of some sharp infinite-sequence martingale inequalities

A procedure is given for proving strictness of some sharp, infinite-sequence martingale inequalities, which arise from sharp, finite-sequence martingale inequalities attained by degenerating extremal distributions. The procedure is applied to obtain strictness of the sharp inequalities of Cox and Kemperman and of Cox (sharp form of Burkholder's inequality) for all nontrivial martingale difference sequences X0,X1,....
Year of publication:
1985
Authors: Cox, David C. ; Kertz, Robert P.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 20.1985, 1, p. 169-179
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008873091
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