Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps

DOI10.1016/J.SPL.2013.04.015MaRDI QIDQ383869zbMATH OpenOpenAlexFDO

Authors Igal Sason

Publication date 6 December 2013

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

Full work available at URL https://arxiv.org/abs/1201.0533

zbMATH Keywords

concentration inequalitiesdiscrete-time (sub/super) martingaleslarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42)

Abstract: This letter derives some new exponential bounds for discrete time, real valued, conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/ supermartingales, and they are compared to some existing bounds.

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