New deviation inequalities for martingales with bounded increments

DOI10.1016/J.SPA.2016.09.003MaRDI QIDQ529436zbMATH OpenOpenAlexFDO

Authors Emmanuel Rio

Publication date 18 May 2017

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2016.09.003

zbMATH Keywords

Bennett inequalitybounded differences inequalitydeviation inequalitiesFreedman inequalityHoeffding inequalitymartingales with bounded increments

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

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Cites work

• A one-sided probability inequality for the sum of independent, bounded random variables
• An inequality for tail probabilities of martingales with differences bounded from one side
• Concentration inequalities for sums and martingales
• Extensions of the Hoeffding-Azuma inequalities
• Hoeffding's inequality for supermartingales
• On Hoeffding's inequalities.
• On the Bennett-Hoeffding inequality
• Probability Inequalities for Sums of Bounded Random Variables
• Probability Inequalities for the Sum of Independent Random Variables

Cited in

(4)

• Deviation probability bounds for fractional martingales and related remarks
• Bernstein type inequalities for self-normalized martingales with applications
• Deviation inequalities for the elephant random walk with random step sizes
• Some bounds on the deviation probability for sums of nonnegative random variables using upper polynomials, moment and probability generating functions

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