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An inequality from applied probability

Published online by Cambridge University Press:  09 April 2009

W. Henderson
W. Henderson
Affiliation:
Department of Mathematics, University of Adelaide, South Australia 5001, Australia.
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Abstract

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J. F. C. Kingman (1967) proved that if {φn}, n = 1, 2, …, N is any set of Radon-Nikodym derivatives of λn w.r.t. μn, when λn, μn are the restrictions of λ, μ respectively to a sub σ-algebra Gn of G then where bn ≧ 0 ∀n and .

Type
Research Article
Information
Journal of the Australian Mathematical Society , Volume 25 , Issue 3 , May 1978 , pp. 269 - 274
Copyright
Copyright © Australian Mathematical Society 1978

References

Kingman, J. F. C. (1967), ‘An Inequality Involving Radon–Nikodym Derivatives’, Proceedings of the Cambridge Philosophical Society 63, 195–198.Google Scholar
Mitrinović, D. S. (1970), Analytic Inequalities (Springer-Verlag).CrossRefGoogle Scholar