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A note on the domination inequalities and their applications

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  • Ren, Yaofeng
  • Shen, Jing

Abstract

In this note, we present some refinements of the well-known domination inequalities. Let X be an adapted positive cadlag process dominated by a predictable increasing process A with A0=0. We derive some sharper constants in the inequalities. For the widely used inequality E[(X∞∗)p]≤2−p1−pE(A∞p),0

Suggested Citation

  • Ren, Yaofeng & Shen, Jing, 2012. "A note on the domination inequalities and their applications," Statistics & Probability Letters, Elsevier, vol. 82(6), pages 1160-1168.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:6:p:1160-1168
    DOI: 10.1016/j.spl.2012.03.002
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    References listed on IDEAS

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    1. Ren, Yao-Feng, 2008. "On the Burkholder-Davis-Gundy inequalities for continuous martingales," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 3034-3039, December.
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