English

Large deviation inequalities for martingales in Banach spaces

Probability 2019-09-13 v1

Abstract

Let (Xi,Fi)i1(X_i, \mathcal{F}_i)_{i\geq1} be a martingale difference sequence in a smooth Banach space. Let Sn=i=1nXi,n1,S_n=\sum_{i=1}^nX_i, n\geq 1, be the partial sums of (Xi,Fi)i1(X_i, \mathcal{F}_i)_{i\geq 1}. We give upper bounds on the quantity P(max1knSk>nx)\mathbb{P}\left(\max_{1\leq k\leq n}\lVert S_k\rVert>nx\right) in terms of n1 n\geq 1 and x>0x>0 in two different situations: when the martingale differences have uniformly bounded exponential moments and when the decay of the tail of the increments is polynomial.

Keywords

Cite

@article{arxiv.1909.05584,
  title  = {Large deviation inequalities for martingales in Banach spaces},
  author = {Xiequan Fan and Davide Giraudo},
  journal= {arXiv preprint arXiv:1909.05584},
  year   = {2019}
}