Exponential Bounds in the Law of Iterated Logarithm for Martingales

Details Exponential Bounds in the Law of Iterated Logarithm for Martingales Exponential Bounds in the Law of Iterated Logarithm for Martingales

2008-01-14

arxiv.org/abs/0801.2125v1

Mathematics

Probability

12 pages

Scientific paper

In this paper non-asymptotic exponential estimates are derived for tail of
maximum martingale distribution by naturally norming in the spirit of the
classical Law of Iterated Logarithm.
Key words: Martingales, exponential estimations, moment, Banach spaces of
random variables, tail of distribution, conditional expectation.

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