XIV: 04, 26-48, LNM 784 (1980)
LENGLART, Érik;
LÉPINGLE, Dominique;
PRATELLI, Maurizio
Présentation unifiée de certaines inégalités de la théorie des martingales (
Martingale theory)
This paper is a synthesis of many years of work on martingale inequalities, and certainly one of the most influential among the papers which appeared in these volumes. It is shown how all main inequalities can be reduced to simple principles: 1) Basic distribution inequalities between pairs of random variables (``Doob'', ``domination'', ``good lambda'' and ``Garsia-Neveu''), and 2) Simple lemmas from the general theory of processes
Comment: This paper has been rewritten as Chapter XXIII of Dellacherie-Meyer,
Probabilités et Potentiel E ; see also
1621. A striking example of the power of these methods is Barlow-Yor, {\sl Jour. Funct. Anal.}
49,1982
Keywords: Moderate convex functions,
Inequalities,
Martingale inequalities,
Burkholder inequalities,
Good lambda inequalities,
Domination inequalitiesNature: Original Retrieve article from Numdam