New deviation inequalities for martingales with bounded increments

Emmanuel Rio

Stochastic Processes and their Applications, 2017, vol. 127, issue 5, 1637-1648

Abstract: In this paper we give new deviation inequalities for martingales with increments bounded from above. Our results are based on an improvement of the results of Bennett (1968) for random variables bounded from above.

Keywords: Hoeffding’s inequality; Bennett’s inequality; Martingales with bounded increments; Freedman’s inequality; Deviation inequalities; Bounded differences inequality (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414916301533
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:127:y:2017:i:5:p:1637-1648

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2016.09.003

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().