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Some remarks on Blackwell-Ross martingale inequalities. (English) Zbl 1112.60033
Summary: Under a suitable condition on the conditional moment generating function of the martingale differences, an exponential supermartingale is used to generalize certain martingale inequalities due to Blackwell and Ross.

60G42 Martingales with discrete parameter
60E15 Inequalities; stochastic orderings
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[1] Ross, Probability in the Engineering and Informational Sciences 9 pp 493– (1995)
[2] DOI: 10.1214/aoms/1177728798 · Zbl 0055.37002
[3] DOI: 10.1023/A:1007802326865 · Zbl 0966.60008
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