A simple proof of a theorem of Blackwell and Dubins on the maximum of a uniformly integrable martingale

David Gilat; Isaac Meilijson

Séminaire de probabilités de Strasbourg (1988)

  • Volume: 22, page 214-216

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Gilat, David, and Meilijson, Isaac. "A simple proof of a theorem of Blackwell and Dubins on the maximum of a uniformly integrable martingale." Séminaire de probabilités de Strasbourg 22 (1988): 214-216. <http://eudml.org/doc/113635>.

@article{Gilat1988,
author = {Gilat, David, Meilijson, Isaac},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {maximum of a uniformly integrable martingale; martingale-pair},
language = {fre},
pages = {214-216},
publisher = {Springer - Lecture Notes in Mathematics},
title = {A simple proof of a theorem of Blackwell and Dubins on the maximum of a uniformly integrable martingale},
url = {http://eudml.org/doc/113635},
volume = {22},
year = {1988},
}

TY - JOUR
AU - Gilat, David
AU - Meilijson, Isaac
TI - A simple proof of a theorem of Blackwell and Dubins on the maximum of a uniformly integrable martingale
JO - Séminaire de probabilités de Strasbourg
PY - 1988
PB - Springer - Lecture Notes in Mathematics
VL - 22
SP - 214
EP - 216
LA - fre
KW - maximum of a uniformly integrable martingale; martingale-pair
UR - http://eudml.org/doc/113635
ER -

References

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  1. [1] J. Azéma & M. Yor, a. Une solution simple au problème de Skorokhod.b. Le problème de Skorokhod: complements. Sem. Prob. XIII, LN721, Springer (1978). Zbl0414.60055
  2. [2] D. Blackwell & L.E. Dubins, A converse to the dominated convergence theorem, Illinois J. Math.7 (1963), 508-514. Zbl0146.37503
  3. [3] R.V. Chacon & J.B. Walsh, One dimensional potential embedding, Sem. Prob. XLN511, Springer (1976). Zbl0329.60041
  4. [4] L.E. Dubins & D. Gilat, On the distribution of maxima of martingales, Proc. AMS68 (1978), 337-338. Zbl0351.60049
  5. [5] G.H. Hardy & J.E. Littlewood, A maximal theorem with function theoretic applications, Acta Math.54 (1930), 81-116. Zbl56.0264.02JFM56.0264.02
  6. [6] I. Meilijson & A. Nadas, Convex majorization with an application to the length of critical paths, J. Appl. Prob.16 (1970), 671-677. Zbl0417.60025
  7. [7] E. Perkins, The Careteli-Davis solution to the H1-embedding problem and an optimal embedding in BM, in Sem. on Stochastic Processes, Birkhauser (1985). Zbl0607.60071
  8. [8] D.P. van der Vecht, Inequalities for stopped Brownian motion, CWI Tract No. 21, Amsterdam, Holland (1986). Zbl0581.60064MR831940

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