随机变量和最大值的Kolmogorov不等式及其鞅类似物

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Theory of Probability and its Applications Pub Date : 2023-11-01 DOI:10.1137/s0040585x97t991568

N. E. Kordzakhia, A. A. Novikov, A. N. Shiryaev

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引用次数: 0

摘要

我们给出了关于有中心的独立随机变量和的最大值的绝对值分布的Kolmogorov不等式的推广到考虑在随机停止时间的鞅情况下的有关结果。

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The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues

We give a survey of the results related to extensions of the Kolmogorov inequality for the distribution of the absolute value of the maximum of the sum of centered independent random variables to the case of martingales considered at random stopping times.

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来源期刊

Theory of Probability and its Applications 数学-统计学与概率论

CiteScore

1.00

自引率

16.70%

发文量

审稿时长

6 months

期刊介绍： Theory of Probability and Its Applications (TVP) accepts original articles and communications on the theory of probability, general problems of mathematical statistics, and applications of the theory of probability to natural science and technology. Articles of the latter type will be accepted only if the mathematical methods applied are essentially new.