scientific article; zbMATH DE number 1336712

Authors Zbigniew A. Lagodowski, Zdzisław Rychlik

Publication date 14 September 1999

\(\sigma\)-algebra martingale random field submartingale tail probability

Martingales with discrete parameter (60G42) Random fields (60G60)

Let \(Z_+^d\), \(d \geq 1\), be a set of positive integer \(d\)-dimensional lattice points. Let \(X_{\overline n}\), \(\overline n \in Z_+^d\), be random fields, \(S_{\overline n} =\sum_{\overline k \leq \overline n} X_{\overline k}.\) The martingale random field \(\{ (S_{\overline n}, {\mathcal F}_{\overline n})\), \(\overline n \in Z_+^d\}\) is investigated, where \({\mathcal F}_{\overline n}\) is a family of \(\sigma\)-algebras such that \({\mathcal F}_{\overline m} \subset {\mathcal F}_{\overline n}\) if \(\overline m \leq \overline n.\) The author finds some inequalities for the probability \(P\bigl(\max_{k \leq n} S_k \geq x\bigr).\) For example, he finds conditions under which the next inequality holds \[ \begin{multlined} P\left\{\max_{\overline k\leq\overline n} |S_{\overline k}|\geq x\right\}\\ \leq \sum_{\overline k\leq\overline n} P(|X_{\overline k}|\geq y_{\overline k}) +2^{2d-1}\exp\biggl\{ -\beta{x \over y} \ln\biggl( \beta{x y^{t-1} \over D_{tY}}+1 \biggr) \biggr\} +2^{2d-1}\exp\biggl\{ -\alpha^2 {x^2 \over 2e^t B_n^2}\biggr\}.\end{multlined} \] Moreover, the order of magnitude of the tail probability for these martingale random fields is found. For the entire collection see [Zbl 0896.00028].

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