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On the Martingales Upcrossings Inequality
Published online by Cambridge University Press: 20 November 2018
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In this note we present a very simple proof of the upcrossings inequality (see [6], and the note at the end) for martingale sequences—one of the basic results in the theory of martingales—which does not make use of the notion of optional random variable, as is done in the usual proofs of the inequality.
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- Copyright © Canadian Mathematical Society 1973