An inequality for tail probabilities of martingales with bounded differences

DOI10.1023/A:1020269808826zbMath1016.60024OpenAlexW1508225606MaRDI QIDQ1873256

Vidmantas Bentkus

Publication date: 19 May 2003

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1020269808826

zbMATH Keywords

inequalitiesmartingaleLipschitz functionsproduct spacesbounds for tail probabilitiesHoeffding's inequalitiesprobabilities of large deviationsbounded differences and random variablesAzuma's inequalitymeasure concentration phenomena

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42)

Related Items (6)

On domination of tail probabilities of (super)martingales: explicit bounds ⋮ An extension of the Hoeffding inequality to unbounded random variables ⋮ Bounds for tail probabilities of martingales using skewness and kurtosis ⋮ A note on random signs ⋮ On measure concentration for separately Lipschitz functions in product spaces ⋮ Optimal Hoeffding-like inequalities under a symmetry assumption

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