Advances in Stochastic Inequalities: AMS Special Session on Stochastic Inequalities and Their Applications, October 17-19, 1997, Georgia Institute of Technology

Front Cover
This volume contains 15 articles based on invited talks given at an AMS Special Session on ``Stochastic Inequalities and Their Applications'' held at Georgia Institute of Technology (Atlanta). The session drew international experts who exchanged ideas and presented state-of-the-art results and techniques in the field. Together, the articles in the book give a comprehensive picture of this area of mathematical probability and statistics. The book includes new results on the following: convexity inequalities for ranges of vector measures; inequalities for tails of Gaussian chaos and for independent symmetric random variables; Bonferroni-type inequalities for sums of stationary sequences; Rosenthal-type second moment inequalities; variance inequalities for functions of multivariate random variables; correlation inequalities for stable random vectors; maximal inequalities for VC classes; deviation inequalities for martingale polynomials; and expectation equalities for bounded mean-zero Gaussian processes. Various articles in the book emphasize applications of stochastic inequalities to hypothesis testing, mathematical finance, statistics, and mathematical physics.
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Bounds on the nonconvexity of ranges of vector measures with atoms
1
The class of Gaussian chaos of order two is closed by taking limits in distribution
13
Two inequalities and some applications in connection with p mixing a survey
21
Variance inequalities for functions of multivariate random variables
43
A note on sums of independent random variables
69
Exponential integrability of diffusion processes
75
Local dependencies in random fields via a Bonferronitype inequality
85
Pricingdifferentials and bounds for lookback options and prophet problems in probability
97
A correlation inequality for stable random vectors
121
A note on the maximal inequalities for VC classes
125
Comparison of moments via Poincarétype inequality
135
Fractional sums and integrals of rconcave tails and applications to comparison probability inequalities
149
Product formula tails and independence of multiple stable integrals
169
A domination inequality for martingale polynomials
195
A logconcavity proof for a Gaussian exponential bound
209
Copyright

Other editions - View all

Common terms and phrases

Bibliographic information