Table of Contents
Journal of Applied Mathematics and Stochastic Analysis
Volume 2004, Issue 1, Pages 97-106
http://dx.doi.org/10.1155/S104895330420301X

What random variable generates a bounded potential?

Department of Mathematics, Kiev National University, 64 Vladimirskaya Street, Kiev 01033, Ukraine

Received 29 March 2002; Revised 4 October 2003

Copyright © 2004 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

It is known that if a predictable nondecreasing process generates a bounded potential, then its final value satisfies the Garsia inequality. We prove the converse, that is, a random variable satisfying the Garsia inequality generates a bounded potential. We also propose some useful relations between the Garsia inequality and the Cramer conditions, and different ways how to construct a potential.