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On the Rosenthal's inequality for locally square integrable martingales

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  • Ren, Yao-Feng
  • Tian, Fan-Ji

Abstract

Moment inequalities for locally square integrable martingales are considered. The growth rates of the constants in Rosenthal's inequality for locally square integrable martingales and Burkholder-Gundy inequality for martingales with symmetric jumps are given.

Suggested Citation

  • Ren, Yao-Feng & Tian, Fan-Ji, 2003. "On the Rosenthal's inequality for locally square integrable martingales," Stochastic Processes and their Applications, Elsevier, vol. 104(1), pages 107-116, March.
    • Handle: RePEc:eee:spapps:v:104:y:2003:i:1:p:107-116
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    References listed on IDEAS

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    1. Ibragimov, R. & Sharakhmetov, Sh., 2001. "The best constant in the Rosenthal inequality for nonnegative random variables," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 367-376, December.
    2. Ren, Yao-Feng & Liang, Han-Ying, 2001. "On the best constant in Marcinkiewicz-Zygmund inequality," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 227-233, June.
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    Cited by:

    1. Balan, Raluca M. & Ndongo, Cheikh B., 2016. "Intermittency for the wave equation with Lévy white noise," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 214-223.
    2. Lee, Chihoon & Weerasinghe, Ananda, 2011. "Convergence of a queueing system in heavy traffic with general patience-time distributions," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2507-2552, November.

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