Large deviations for martingales
From MaRDI portal
The following two exponential maximal inequalities are proved for a martingale \(S_0,S_1,\dots\) with \(S_0=0\) and \(|S_n-S_{n-1}|\leq1\) a.s. If \(a,b,c\geq0\), then \[ P\{S_n\geq a+bn\text{ for some }n\}\leq\exp(-2ab),\qquad P\{S_n\geq cn\text{ for some }n\geq N\}\leq r_1^N\leq r_2^N, \] where \(r_1=((1+c)^{1+c}(1-c)^{1-c})^{-1/2}\) and \(r_2=\exp(-c^2/2)\). For the entire collection see [Zbl 0861.00032].
Recommendations
Cited in
(12)- A remark on Dubins-Savage inequality
- A martingale inequality and large deviations.
- An exponential inequality for martingales
- Time-uniform Chernoff bounds via nonnegative supermartingales
- Cramér large deviation expansions for martingales under Bernstein's condition
- scientific article; zbMATH DE number 3868333 (Why is no real title available?)
- scientific article; zbMATH DE number 4213123 (Why is no real title available?)
- scientific article; zbMATH DE number 3951677 (Why is no real title available?)
- Noncommutative Blackwell–Ross martingale inequality
- A generalization of Cramér large deviations for martingales
- Time-uniform self-normalized concentration for vector-valued processes
- Large deviation exponential inequalities for supermartingales
This page was built for publication: Large deviations for martingales
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4355975)
