On domination of tail probabilities of (super)martingales: explicit bounds

DOI10.1007/s10986-006-0011-5zbMath1138.60020OpenAlexW2050614350MaRDI QIDQ926636

N. Kalosha, Martien C. A. Van Zuijlen, Vidmantas Bentkus

Publication date: 20 May 2008

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-006-0011-5

zbMATH Keywords

inequalitiesmartingalemaximalbounds for tail probabilitiesHoeffding's inequalitiesprobabilities of large deviationsbounded differences and random variablessuper-martingale

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characteristic functions; other transforms (60E10)

Related Items (12)

Exact inequalities for sums of asymmetric random variables, with applications ⋮ Sharp large deviation results for sums of independent random variables ⋮ Addendum to ``An extension of an inequality of Hoeffding to unbounded random variables: The non-i.i.d. case ⋮ On the Bennett-Hoeffding inequality ⋮ Concentration inequalities for separately convex functions ⋮ Hoeffding's inequality for supermartingales ⋮ An extension of the Hoeffding inequality to unbounded random variables ⋮ Bounds for tail probabilities of martingales using skewness and kurtosis ⋮ Sharp large deviations for sums of bounded from above random variables ⋮ Positive-part moments via the Fourier-Laplace transform ⋮ On measure concentration for separately Lipschitz functions in product spaces ⋮ Bounds for tail probabilities of the sample variance

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