Exponential inequalities for two-parameter martingales

DOI10.1016/S0167-7152(00)00245-5MaRDI QIDQ5950010zbMATH OpenFDO

Authors Sílvia Moret, David Nualart

Publication date 10 July 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00245-5

zbMATH Keywords

exponential estimatesquadratic variationtwo-parameter martingales

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48)

Review text

The authors prove the following exponential inequality for two-parameter martingales: Let \(M=\{M_z, z\in\mathbb{R}^2_+\}\) be a two-parameter martingale whose quadratic variation \(([M]_z,\;z\in\mathbb{R}^2_+)\) is bounded by an increasing function \(f(z)\). Then it holds that, for all \(\beta>0\), NEWLINE\[NEWLINEP\left[\sup_{0\leq u\leq z}|M_u|>\beta\right]\leq Ce^{-\beta/4\sqrt{f(z)}},NEWLINE\]NEWLINE where \(C\) is a universal constant. This result generalizes and simplifies the exponential estimate obtained by \textit{Yu. S. Mishura} [Ukr. Math. J. 39, No.~3, 275-279 (1987); translation from Ukr. Mat. Zh. 39, No.~3, 353-358 (1987; Zbl 0635.60049)].

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Cites work

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• Large deviations for solutions of hyperbolic SPDE's in the Hölder norm
• On large deviation estimates for two parameter diffusion processes and applications
• On the quadratic variation of two-parameter continuous martingales
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• Variations quadratiques et inégalités pour les martingales a deux indices

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(9)

• Exponential estimates for two-parameter martingales
• A general class of exponential inequalities for martingales and ratios
• On an inequality of Varopoulos for 2-parameter Brownian martingales
• Exponential inequalities for martingales, with application to maximum likelihood estimation for counting processes
• Exponential inequalities for the supremum of some counting processes and their square martingales
• scientific article; zbMATH DE number 4201277 (Why is no real title available?)
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• Large deviations and functional law for solutions of hyperbolic stochastic partial differential equations

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