Inequalities In Analysis And Probability (Third Edition)

The book introduces classical inequalities in vector and functional spaces with applications to probability. It develops new analytical inequalities, with sharper bounds and generalizations to the sum or the supremum of random variables, to martingales, to transformed Brownian motions and diffusions, to Markov and point processes, renewal, branching and shock processes.In this third edition, the inequalities for martingales are presented in two chapters for discrete and time-continuous local mar