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Sharp Ratio Inequalities for aConditionally Symmetric Martingale

机译:条件对称Mar的夏普比率不等式

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Let f be a conditionally symmetric martingale and let S( f) denote its square function. (i) For p, q > 0, we determine the best constants C_(p,q) such that sup E(|f_n|~p)/((1+S_n~2(f))~q)≤C_(p,q). Furthermore, the inequality extends to the case of Hilbert space valued f. (ii) For N = 1,2, ... and q > 0, we determine the best constants C_(N,q)~' such that sup E(f_n~(2N-1))/((1+S_n~2(f))~q)≤C_(N,q)~' These bounds are extended to sums of conditionally symmetric variables which are not necessarily integrable. In addition, we show that neither of the inequalities above holds if the conditional symmetry is not assumed.
机译:令f为条件对称mar,令S(f)表示其平方函数。 (i)对于p,q> 0,我们确定最佳常数C_(p,q),使得sup E(| f_n |〜p)/(((1 + S_n〜2(f))〜q)≤C_( p,q)。此外,不等式扩展到值f的希尔伯特空间的情况。 (ii)对于N = 1,2,...且q> 0,我们确定最佳常数C_(N,q)〜',使得sup E(f_n〜(2N-1))/((1 + S_n 〜2(f))〜q)≤C_(N,q)〜'这些界限扩展到不一定是可积的条件对称变量之和。另外,我们证明了如果不假设条件对称性,上述两个不等式都不成立。

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