On Bernstein-type inequalities for martingales

被引：59

作者：

Dzhaparidze, K ^{[1
]}

van Zanten, JH ^{[1
]}

机构：

[1] CWI, NL-1090 CB Amsterdam, Netherlands

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2001年 / 93卷 / 01期

关键词：

locally square integrable martingale; Bernstein inequality; multiplicative decomposition; exponential supermartingale; exponential inequality;

D O I：

10.1016/S0304-4149(00)00086-7

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：109 / 117

页数：9

共 15 条

[1]

[Anonymous], 1999, DECOUPLING

[2]

BARLOW MT, 1986, P LOND MATH SOC, V52, P142

[3] PROBABILITY-INEQUALITIES FOR SUM OF INDEPENDENT RANDOM-VARIABLES [J].