On the von Bahr-Esseen inequality

Details On the von Bahr-Esseen inequality On the von Bahr-Esseen inequality

2010-08-31

arxiv.org/abs/1008.5350v1

Mathematics

Probability

Scientific paper

The well-known von Bahr-Esseen bound on the absolute pth moments of martingales with p in (1,2] is extended to a large class of moment functions, and now with a best possible constant factor (which depends on the moment function). As an application, measure concentration inequalities for separately Lipschitz functions on product spaces are obtained. Relations with p-uniformly smooth and q-uniformly convex normed spaces are discussed.

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