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Large deviations for martingales and derivatives

โœ Scribed by S. Butler; S. Pavlov; J. Rosenblatt


Book ID
108178629
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
265 KB
Volume
366
Category
Article
ISSN
0022-247X

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A martingale inequality and large deviat
โœ Yulin Li ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 103 KB

Let (X i ) be a martingale di erence sequence and let S n = n i=1 X i . Suppose (X i ) is bounded in L p . In the case p ยฟ 2, Lesigne and Volnรƒ y (Stochastic Process. Appl. 96 (2001) 143) obtained the estimation (S n ยฟ n) 6 cn -p=2 , which is optimal in a certain sense. In this article, we show that