Probabilistic inequalities | Martingale theory | Statistical inequalities

Doob's martingale inequality

In mathematics, Doob's martingale inequality, also known as Kolmogorov’s submartingale inequality is a result in the study of stochastic processes. It gives a bound on the probability that a submartingale exceeds any given value over a given interval of time. As the name suggests, the result is usually given in the case that the process is a martingale, but the result is also valid for submartingales. The inequality is due to the American mathematician Joseph L. Doob. (Wikipedia).

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From playlist Zill DE 2.5 Solutions by Substitutions

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From playlist Lagrange multipliers

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From playlist Proofs

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From playlist Differential Equations

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Related pages

Sample space | Stochastic process | Expected value | Natural number | Layer cake representation | Brownian motion | Mathematics | Martingale (probability theory) | Stopping time | Joseph L. Doob | Conditional expectation | Kolmogorov's inequality | Lebesgue integration | Stopped process | Probability measure | Jensen's inequality