Maximal Probability Inequalities for Sto
✍
F. Móricz
📂
Article
📅
1995
🏛
John Wiley and Sons
🌐
English
⚖ 346 KB
## Abstract Let __X~a,b~__ be nonnegative random variables with the property that __X~a,b~ ≦ X~a,c~ + X~c.b~__ for all 0__≦ a < c < b ≦ T__, where __T >__ 0 is fixed. We define __M~a,b~ =__ sup {__X~a,c~: a < c ≦ h__} and establish bounds for __P__[__M~a,b~ ≧ λ__] in terms of given bounds for __P[X