An exact bound for tail probabilities for a class of conditionally symmetric bounded martingales
We consider the class, say ℳn,sym, of martingales Mn = X1 + ⋯ + Xn with conditionally symmetric bounded differences Xk such that |Xk | ≤ 1. We find explicitly a solution, say Dn(x), of the variational problem Dn(x) ≝ sup Mn ∈ℳn,sym ℙ {Mn ≥ x}. We show that this problem is equivalent to one when yo...
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Vilnius University Press
2023-09-01
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| Collection: | Lietuvos Matematikos Rinkinys |
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| Accès en ligne: | https://www.zurnalai.vu.lt/LMR/article/view/30792 |
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