关于非负独立同分布随机变量停止和的精确不等式的注记

A Note on Sharp Inequality of Stopped Sumsof Non-Negative IID Random Variables

  • 摘要: Hitczenko2证明了不等式\mathrmE\left(\sum_i=1^\tau \xi_i\right)^r \leq C_r \mathrmE\left(\sum_i=1^\tau^\prime \xi_i\right)^r, \quad 1 \leq r<\infty,其中(ξi)为非负独立随机变量,r为停时,r'为停时r的一个复制品,且与(ξi)独立,2r-1是最佳常数,我们证明了,对于非负独立同分布的(ζi),2r-1也是最佳常数,从而解决了Hitczenko2提出的问题。

     

    Abstract: Hitczenko 2 studied the following inequality \mathrmE\left(\sum_i=1^\tau \xi_i\right)^r \leq C_r \mathrmE\left(\sum_i=1^\tau^\prime \xi_i\right)^r, \quad 1 \leq r<\infty where (ξi) is a sequence of independent non-negative random variables, r is a stopping time, r’ is a copy of r independent of the sequence (ξi), and Cr is a constant which does not dependent on (ξi). He obtained that the best possible constant for above inequality is Cr = 2r-1. A question concerning the best possible constant for the above inequality when (ξi) is a sequence of non-negative i.i.d. random variables was raised in Hitczenko 2. We show here that the constant Cr = 2r-1 is also sharp for sums of non-negative i.i.d. random variables.

     

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