Demimartingale的不等式及利用.pdf

Demimartingale ℄ {Xn , n ≥ 1} {Ω, F , P } Rnf gÆ Cov{f (X , X , , X ), g(X , X , , X )} ≥ 0 1 2 n 1 2 n j {X , X , , X } PA S = X (S = 0) 1 2 n j i 0 i=1 Rn f E {(S −S )f (S , S , , S )} ≥ 0 j +1 j 1 2 j {S , j ≥ 1} Demimartingale PA n j Demimartingale Demimartingale Newman Right[6] 1982 Doob’s Demimartingale [6] Demimartingale : Demimartingale ; i Demimartingale INEQUALITIES OF DEMIMARTINGALE WITH APPLICATIONS ABSTRACT Let {Ω, F , P } be a probability space and {Xn , n ≥ 1} be a sequence of random variables defined on it.A finit sequence {X , X , , X } is said 1 2 n to be associated if for any two component wise non-decreasing functions f and g on Rn ,Cov{f (X , X , , X ), g(X , X , , X )} ≥ 0. Suppose 1 2 n 1 2 n 1 n X , X , , X ∈ L , EX = 0.letS = X Assume that forj = 1, 2, 1 2 n i i=1 i E [(S −S )f (S , , S )] ≥ 0,for all component non-decreasing functions j +1 j 1 n f such that