On Bernstein-type inequalities for martingales

K. Dzhaparidze and J. H. van Zanten

Stochastic Processes and their Applications, 2001, vol. 93, issue 1, 109-117

Abstract: Bernstein-type inequalities for local martingales are derived. The results extend a number of well-known exponential inequalities and yield an asymptotic inequality for a sequence of asymptotically continuous martingales.

Keywords: Locally; square; integrable; martingale; Bernstein; inequality; Multiplicative; decomposition; Exponential; supermartingale; Exponential; inequality (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (12)

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