Large deviation inequalities for martingales in Banach spaces
Probability
2019-09-13 v1
Abstract
Let be a martingale difference sequence in a smooth Banach space. Let be the partial sums of . We give upper bounds on the quantity in terms of and 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}
}