A general class of exponential inequalities for martingales and ratios (Q1807186): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1214/aop/1022677271 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1971031270 / rank | |||
Normal rank |
Revision as of 20:17, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A general class of exponential inequalities for martingales and ratios |
scientific article |
Statements
A general class of exponential inequalities for martingales and ratios (English)
0 references
9 November 1999
0 references
The author derives several new exponential inequalities for a martingale difference sequence \((d_i,F_i)\), which satisfies either \(E[|d_j|^k\mid F_{j-1}]\leq (k!/2)\sigma^2_j c^{k-2}\) or \(P(|d_j|\leq c\mid F_{j-1})= 1\), for \(k>2\), \(0< c<\infty\), where \(\sigma^2_j= E[d^2_j\mid F_{j-1}]\). For example, put \(V^2_n= \sum^n_{j=1} \sigma^2_j\) and \(M_m= \sum^n_{j=1} d_j\), and then for all \(x,y>0\), \[ P(M_n\geq x, V^2_n\text{ for some }n)\leq \exp\Biggl\{-{x^2\over 2(y+ cx)}\Biggr\}. \] The proof of the above and related results is based on decoupling techniques introduced by \textit{S. Kwapien} and \textit{W. A. Woyczynski} [in: Almost everywhere convergence, 237-265 (1989; Zbl 0693.60033)] and further developed by the author and others. The author gives also results for continuous time square integrable martingales. He also shows that in the special case of conditionally symmetric random variables the integrability conditions on the sequence \(d_j\) can be relaxed.
0 references
exponential martingale inequalities
0 references
decoupling inequalities
0 references