On the invariance of some martingale inequalities for the processes of more general kind

I. V. Pavlov

N. E. Bauman Moscow State Technical University

Abstract: A generalization of some inequalities for sub(super)martingales is presented for a wider class of processes with additional restrictions on the stopping set.

Keywords: martingale, sub(super)martingale, Markov time, Markov timeof the first passage, stopping set.

Received: 30.12.1993

DOI: 10.4213/tvp2935

 English version: Theory of Probability and its Applications, 1997, 41:2, 288–295

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