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Results tagged with martingales
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user 27773
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Looking for a citation for this simple generalization of the Markov bound to non-negative su...
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \ge c$ h …
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