Hoeffding's inequality for supermartingales
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Publication:449236
DOI10.1016/J.SPA.2012.06.009zbMATH Open1267.60045arXiv1109.4359OpenAlexW1987613448MaRDI QIDQ449236FDOQ449236
Authors: Xiequan Fan, Ion Grama, Quansheng Liu 
Publication date: 12 September 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We give an extension of Hoeffding's inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.
Full work available at URL: https://arxiv.org/abs/1109.4359
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Large deviations (60F10) Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40)
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