Hoeffding’s inequality for supermartingales
AbstractWe give an extension of Hoeffding’s inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 10 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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- Liu, Quansheng & Watbled, Frédérique, 2009. "Exponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in a random environment," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3101-3132, October.
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- Dzhaparidze, K. & van Zanten, J. H., 2001. "On Bernstein-type inequalities for martingales," Stochastic Processes and their Applications, Elsevier, vol. 93(1), pages 109-117, May.
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