Inequalities for tails of adapted processes with an application to Wald's lemma

In this paper we introduce a new tail probability version of Wald's lemma for expectations of randomly stopped sums of independent random variables. We also make a connection between the works of Klass^{(18, 19)} and Gundy⁽¹¹⁾ on Wald's lemma. In making the connection, we develop new Lenglart and Good Lambda inequalities comparing the tails of various types of adapted processes. As a consequence of our Good Lambda inequalities we include the following result. Let {d _i }, {e _i } be two sequences of variables adapted to the same increasing sequence of σ-fields ? _n ↗?, (e.g., ? _n =σ({d _i } _i=1 ⁿ , {E _i } _i=1 ⁿ ), and letN?∞ be a stopping time adapted to {? _n }. Then for allp>0, there exists a constant 0<C _p <∞ depending onp only, such that $$\mathop {\overline {\lim } }\limits_\lambda \lambda ^p P\left( {\mathop {\sup }\limits_{1 \leqslant n \leqslant N} \left\| {\sum\limits_{i = 1}^n {d_i } } \right\| > \lambda } \right) \leqslant C_p \mathop {\overline {\lim } }\limits_\lambda \lambda ^p P\left( {\mathop {\sup }\limits_{1 \leqslant n \leqslant N} \left\| {\sum\limits_{i = 1}^n {e_i } } \right\| > \lambda } \right)$$ This result holds when the sequences are real, tangent, and either conditionally symmetric or nonnegative, or alternatively, if {d _i } is a sequence of independent random variables and {e _i } is an independent copy of {d _i }, withN a stopping time adapted to the filtration generated by {d _i } only. Other examples include Hilbert space valued differentially subordinate conditionally symmetric martingale differences. The result is true for more general operators applied to sequences as shown by an example comparing the square function of a conditionally symmetric sequence to the maximum of its absolute partial sums.