A Gaussian upper bound for martingale small-ball probabilities

DOI10.1214/15-AOP1073MaRDI QIDQ504261zbMATH OpenOpenAlexFDO

Authors James R. Lee, Yuval Peres, Charles K. Smart

Publication date 13 January 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.5980

zbMATH Keywords

martingalesrandom walkssmall-ball probabilities

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Sums of independent random variables; random walks (60G50)

Abstract: Consider a discrete-time martingale $X_t$ taking values in a Hilbert space $mathcalH$. We show that if for some $Lgeq1$, the bounds $mathbbEleft[|X_{t+1}-X_t{|}_{mathcalH}^{2}mid{X}_{t}ight]=1$ and $|X_{t+1}-X_t{|}_{mathcalH}leqL$ are satisfied for all times $tgeq0$, then there is a constant $c=c(L)$ such that for $1leqRleqsqrtt$, [mathbb{P}(|X_t|_{mathcal H} leq R mid X_0 = x_0) leq c frac{R}{sqrt{t}} e^{-|x_0|_{mathcal H}^2/(6 L^2 t)},.] Following [Lee-Peres, Ann. Probab. 2013], this has applications to diffusive estimates for random walks on vertex-transitive graphs.

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Cited in

(3)

• Local asymptotics for controlled martingales
• Asymptotic behaviors of random walks on countable groups
• Occupation measure of random walks and wired spanning forests in balls of Cayley graphs

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