Deviation probability bounds for fractional martingales and related remarks

DOI10.1016/j.spl.2012.05.005zbMath1251.60036arXiv1204.4268OpenAlexW2963461331MaRDI QIDQ449027

Bruno Saussereau

Publication date: 11 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.4268

zbMATH Keywords

exponential inequalitylaw of large numbersfractional martingales

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)

Related Items (2)

Unnamed Item ⋮ Nonparametric inference for fractional diffusion

Cites Work

• Fractional martingales and characterization of the fractional Brownian motion
• Occupation densities
• Large deviations for a reaction-diffusion equation with non-Gaussian perturbations
• Estimation of densities and applications
• The law of the solution to a nonlinear hyperbolic SPDE
• Large deviations for stochastic Volterra equations
• A general class of exponential inequalities for martingales and ratios
• Deviation probability bound for martingales with applications to statistical estimation
• The Malliavin Calculus and Related Topics
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