Lenglart's inequality

Template:Short description In the mathematical theory of probability, Lenglart's inequality was proved by Èrik Lenglart in 1977. Later slight modifications are also called Lenglart's inequality.

Statement

Let Template:Math be a non-negative right-continuous ${ℱ}_t$-adapted process and let Template:Math be a non-negative right-continuous non-decreasing predictable process such that $𝔼[X(\tau )\mid {ℱ}_0]\le 𝔼[G(\tau )\mid {ℱ}_0]<\mathrm{\infty }$ for any bounded stopping time $\tau$. Then Template:Ordered list

References

General sources

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