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Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps

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  • Sason, Igal

Abstract

This letter derives some new exponential bounds for discrete-time real-valued conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/supermartingales, and they are compared to some existing bounds.

Suggested Citation

  • Sason, Igal, 2013. "Tightened exponential bounds for discrete-time conditionally symmetric martingales with bounded jumps," Statistics & Probability Letters, Elsevier, vol. 83(8), pages 1928-1936.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:8:p:1928-1936
    DOI: 10.1016/j.spl.2013.04.015
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    References listed on IDEAS

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    1. Grama, Ion & Haeusler, Erich, 2000. "Large deviations for martingales via Cramér's method," Stochastic Processes and their Applications, Elsevier, vol. 85(2), pages 279-293, February.
    2. Ose[combining cedilla]kowski, Adam, 2010. "Weak type inequalities for conditionally symmetric martingales," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 2009-2013, December.
    3. 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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