A Gaussian upper bound for martingale small-ball probabilities

DOI10.1214/15-AOP1073zbMATH Open1377.60057arXiv1405.5980OpenAlexW1845298337MaRDI QIDQ504261FDOQ504261

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

Publication date: 13 January 2017

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

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.

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

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zbMATH Keywords

martingalesrandom walkssmall-ball probabilities

Mathematics Subject Classification ID

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

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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