Lenglart's inequality explained

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 be a non-negative right-continuous

l{F}t

-adapted process and let be a non-negative right-continuous non-decreasing predictable process such that

E[X(\tau)\midl{F}0]\leqE[G(\tau)\midl{F}0]<infty

for any bounded stopping time

\tau

. Then

References

General sources