Tightened Exponential Bounds for Discrete Time, Conditionally Symmetric Martingales with Bounded Jumps
Probability
2013-05-02 v9 Information Theory
math.IT
Abstract
This letter derives some new exponential bounds for discrete time, real valued, conditionally symmetric martingales with bounded jumps. The new bounds are extended to conditionally symmetric sub/ supermartingales, and they are compared to some existing bounds.
Keywords
Cite
@article{arxiv.1201.0533,
title = {Tightened Exponential Bounds for Discrete Time, Conditionally Symmetric Martingales with Bounded Jumps},
author = {Igal Sason},
journal= {arXiv preprint arXiv:1201.0533},
year = {2013}
}
Comments
To appear in the Statistics and Probability Letters, final version of the manuscript (dated May 1, 2013). Presented in part at the 2012 International Workshop on Applied Probability (IWAP), Jerusalem, Israel, June 2012