Related papers: Noncommutative martingale concentration inequaliti…
We present a concentration inequality for linear functionals of noncommutative polynomials in random matrices. Our hypotheses cover most standard ensembles, including Gaussian matrices, matrices with independent uniformly bounded entries…
We prove Bernstein-type matrix concentration inequalities for linear combinations with matrix coefficients of binary random variables satisfying certain $\ell_\infty$-independence assumptions, complementing recent results by Kaufman, Kyng…
We report recent advances on noncommutative martingale inequalities associated with convex functions. These include noncommutative Burkholder-Gundy inequalities associated with convex functions due to the present authors and Dirksen and…
We explore the asymptotic convergence and nonasymptotic maximal inequalities of supermartingales and backward submartingales in the space of positive semidefinite matrices. These are natural matrix analogs of scalar nonnegative…
We give an alternate proof of one of the inequalities proved recently for martingales (=sums of martingale differences) in a non-commutative $L_p$-space, with $1<p<\infty$, by Q. Xu and the author. This new approach is restricted to $p$ an…
In this paper we obtain a Bernstein type inequality for a class of weakly dependent and bounded random variables. The proofs lead to a moderate deviations principle for sums of bounded random variables with exponential decay of the strong…
In this paper, we continue the study of John-Nirenberg theorems for BMO/Lipschitz spaces in the noncommutative martingale setting. As conjectured from the classical case, a desired noncommutative ``stopping time" argument was discovered to…
Let $\M$ be a hyperfinite finite von Nemann algebra and $(\M_k)_{k\geq 1}$ be an increasing filtration of finite dimensional von Neumann subalgebras of $\M$. We investigate abstract fractional integrals associated to the filtration…
For self-normalized martingales with conditionally symmetric differences, de la Pe\~{n}a [A general class of exponential inequalities for martingales and ratios. Ann. Probab. 27, No.1, 537-564] established the Gaussian type exponential…
We introduce a class of Markov chains, that contains the model of stochastic approximation by averaging and non-averaging. Using martingale approximation method, we establish various deviation inequalities for separately Lipschitz functions…
We study martingale inequalities from an analytic point of view and show that a general martingale inequality can be reduced to a pair of deterministic inequalities in a small number of variables. More precisely, the optimal bound in the…
We give an extension of Hoeffding's inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.
In this paper we study Johnson-Schechtman inequalities for noncommutative martingales. More precisely, disjointification inequalities of noncommutative martingale difference sequences are proved in an arbitrary symmetric operator space…
Li and Hu recently established variance-type O(1/n) bounds for the sample mean of independent random vectors under sublinear expectations. We extend their results to the exponential concentration regime. For bounded, independent R^d-valued…
We determine the optimal orders for the best constants in the non-commutative Burkholder-Gundy, Doob and Stein inequalities obtained recently in the non-commutative martingale theory.
In this paper we prove exponential inequalities (also called Bernstein's inequality) for fractional martingales. As an immediate corollary, we will discuss weak law of large numbers for fractional martingales under divergence assumption on…
Let $\mathfrak A$ be a type 1 subdiagonal algebra in a $\sigma$-finite von Neumann algebra $\mathcal M$ with respect to a faithful normal conditional expectation $\Phi$. We consider a Riesz type factorization theorem in noncommutative $H^p$…
We provide a new sufficient condition for strong invariance for differential inclusions, under very general conditions on the dynamics, in terms of a Hamiltonian inequality. In lieu of the usual Lipschitzness assumption on the…
Non-Gaussian concentration estimates are obtained for invariant probability measures of reversible Markov processes. We show that the functional inequalities approach combined with a suitable Lyapunov condition allows us to circumvent the…
Freedman's inequality is a martingale counterpart to Bernstein's inequality. This result shows that the large-deviation behavior of a martingale is controlled by the predictable quadratic variation and a uniform upper bound for the…