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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.

MSC:
60G42 Martingales with discrete parameter
60E15 Inequalities; stochastic orderings
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References:
[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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