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 = 2
r-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 = 2
r-1 is also sharp for sums of non-negative i.i.d. random variables.