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Refinements of the Dubins-Savage inequality. (English) Zbl 0966.60008
The aim of this paper is to sharpen 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.

60E15 Inequalities; stochastic orderings
60G42 Martingales with discrete parameter
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