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Maximal inequalities for g-martingales

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  • Wang, Wei

Abstract

Maximal inequalities play an important role in the classical martingale theory. This paper studies maximal inequalities for g-martingales under the g-expectation framework. Two kinds of maximal inequalities for g-martingales are obtained.

Suggested Citation

  • Wang, Wei, 2009. "Maximal inequalities for g-martingales," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1169-1174, May.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:9:p:1169-1174
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