Large deviation exponential inequalities for supermartingales

DOI10.1214/ECP.V17-2318MaRDI QIDQ743403zbMATH OpenOpenAlexFDO

Authors Xiequan Fan, Ion Grama, Quansheng Liu

Publication date 24 September 2014

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.1407

zbMATH Keywords

Bernstein type inequalityexponential inequalitylarge deviationssupermartingales

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Large deviations (60F10) Martingales with discrete parameter (60G42)

Abstract: Let $(X_i,mathcal{F}_i{)}_{igeq1}$ be a sequence of supermartingale differences and let $S_k=su{m}_{i=1}^k{X}_i$. We give an exponential moment condition under which $P(ma{x}_{1leqkleqn}{S}_{k}geqn)=O(exp-C_1{n}^{alpha}),$ $nightarrowinfty,$ where $alphain(0,1)$ is given and $C_1>0$ is a constant. We also show that the power $alpha$ is optimal under the given condition. In particular, when $alpha=1/3$, we recover an inequality of Lesigne and Voln'{y}.

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