Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in a random environment

DOI10.1016/J.SPA.2009.05.001MaRDI QIDQ734628zbMATH OpenOpenAlexFDO

Authors Frédérique Watbled, Quansheng Liu

Publication date 13 October 2009

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

Full work available at URL https://arxiv.org/abs/0812.1719

zbMATH Keywords

concentration inequalityconvergence ratefree energyrandom environmentmartingale differencesexponential inequalitydirected polymersBernstein's inequalitysupermartingalesmultiplicative cascadeslarge deviation inequalityHoeffding and Azuma's inequality

Mathematics Subject Classification ID

Large deviations (60F10) Martingales with discrete parameter (60G42) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Sums of independent random variables; random walks (60G50) Processes in random environments (60K37) Statistical mechanics of random media, disordered materials (including liquid crystals and spin glasses) (82D30)

Abstract: The objective of the present paper is to establish exponential large deviation inequalities, and to use them to show exponential concentration inequalities for the free energy of a polymer in general random environment, its rate of convergence, and an expression of its limit value in terms of those of some multiplicative cascades.

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Cited in

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• Concentration of Contractive Stochastic Approximation and Reinforcement Learning
• Shrinkage estimation of regression models with multiple structural changes
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