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We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…
Loynes' distribution, which characterizes the one dimensional marginal of the stationary solution to Lindley's recursion, possesses an ultimately exponential tail for a large class of increment processes. If one can observe increments but…
As an alternative to the well-known methods of "chaining" and "bracketing" that have been developed in the study of random fields, a new method, which is based on a stochastic maximal inequality derived by using the Taylor expansion, is…
We study the maximum of the random assignment process on rectangular matrices. We derive first-order asymptotics for the expected maximum, prove a law of large numbers under mild tail assumptions, and obtain exponential upper bounds for the…
We derive exponential bounds on probabilities of large deviations for "light tail" martingales taking values in finite-dimensional normed spaces. Our primary emphasis is on the case where the bounds are dimension-independent or nearly so.…
We derive in this article the exact non-asymptotical exponential and power estimates for self-normalized sums of centered independent random variables (r.v.) under natural norming. We will use also the theory of the so-called Grand Lebesgue…
For a branching random walk that drifts to infinity, consider its Malthusian martingale, i.e.~the additive martingale with parameter $\theta$ being the smallest root of the characteristic equation. When particles are killed below the…
We study an equivalence of (i) deterministic pathwise statements appearing in the online learning literature (termed \emph{regret bounds}), (ii) high-probability tail bounds for the supremum of a collection of martingales (of a specific…
In this paper we obtain the non-asymptotic exact moment and tails estimates for polynomial on martingale differences. We give also some examples on order to show the exactness of obtained results.
We find the exponential exact two-terms non-asymptotic expression for the maximum and minimum distribution of a non-Gaussian, in general case, random vector.
We obtain an uniform tail estimates for natural normed sums of independent random variables (r.v.) with regular varying tails of distributions. We give also many examples on order to show the exactness of offered estimates and discuss some…
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities…
From the perspective of expectations of randomly stopped sums, Wald's equation and the Optional Sampling Theorem identify situations in which the stopping time can be decoupled from the stopping place, acting as if the two were independent.…
We derive upper bounds on the tail conditional expectation of binomial and Poisson random variables. Those upper bounds are subsequently employed to the problem of obtaining non-asymptotic lower bounds on the probability that the…
We establish functional limit theorems for ergodic sums of observables with power singularities for expanding circle maps. In the regime where the observables have infinite variance, we show that when rescaled by $N^{1/s}(\ln N)^\alpha$,…
In this paper we consider some concepts of exponential splitting for nonautonomous linear discrete-time systems. These concepts are generalizations of some well-known concepts of (uniform and nonuniform) exponential dichotomies. Connections…
Many enumeration problems in combinatorics, including such fundamental questions as the number of regular graphs, can be expressed as high-dimensional complex integrals. Motivated by the need for a systematic study of the asymptotic…
We consider estimating the shared mean of a sequence of heavy-tailed random variables taking values in a Banach space. In particular, we revisit and extend a simple truncation-based mean estimator first proposed by Catoni and Giulini. While…
We give sufficient conditions for the bounded law of the iterated logarithms for strictly stationary random fields when the summation is done on rectangle. The study is done by the control of an appropriated maximal function. The case of…
In this paper we obtain non-uniform exponential upper bounds for the rate of convergence of a version of the algorithm Context, when the underlying tree is not necessarily bounded. The algorithm Context is a well-known tool to estimate the…