Large deviation inequalities for martingales in Banach spaces

Publication date 12 September 2019

Inequalities; stochastic orderings (60E15) Large deviations (60F10) Stationary stochastic processes (60G10)

Abstract: Let

(X_{i}, m a t h c a l F_{i})_{i g e q 1}

be a martingale difference sequence in a smooth Banach space. Let

S_{n} = s u m_{i = 1}^{n} X_{i}, n g e q 1,

be the partial sums of

(X_{i}, m a t h c a l F_{i})_{i g e q 1}

. We give upper bounds on the quantity

m a t h b b P l e f t (m a x_{1 l e q k l e q n} l V e r t S_{k} V e r t > n x i g h t)

in terms of

n g e q 1

and

x > 0

in two different situations: when the martingale differences have uniformly bounded exponential moments and when the decay of the tail of the increments is polynomial.

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