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Refinements of the Dubins–Savage Inequality

Author

Listed:
  • Rasul A. Khan

    (Cleveland State University)

  • R. J. Tomkins

    (University of Regina)

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.

Suggested Citation

  • Rasul A. Khan & R. J. Tomkins, 2000. "Refinements of the Dubins–Savage Inequality," Journal of Theoretical Probability, Springer, vol. 13(3), pages 659-672, July.
    • Handle: RePEc:spr:jotpro:v:13:y:2000:i:3:d:10.1023_a:1007802326865
    DOI: 10.1023/A:1007802326865
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    References listed on IDEAS

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    1. Khan, Rasul A., 1992. "A remark on Dubins--Savage inequality," Statistics & Probability Letters, Elsevier, vol. 13(3), pages 189-192, February.
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    Cited by:

    1. Rasul A. Khan, 2009. "L p -Version of the Dubins–Savage Inequality and Some Exponential Inequalities," Journal of Theoretical Probability, Springer, vol. 22(2), pages 348-364, June.

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