Moment and tail estimates for martingales and martingale transform, with application to the martingale limit theorem in Banach spaces

2012/06/21 by E. Ostrovsky, Ostrovsky, E., L. Sirota +1
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1206.4964

arxiv created 2012/06/21 · arxiv updated 2012/06/22

Abstract

In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale and martingale transform by means of martingale differences in the terms of moments and tails of distributions of summands and multipliers. We show also the exactness of obtained estimations and consider some applications in the theory of limit theorem for Banach space valued martingales.

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