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Extending Blackwell's Strengthening of Azuma's Martingale Inequality

Published online by Cambridge University Press:  27 July 2009

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
IEOR Department, University of California, Berkeley, California 94720
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Extract

We extend a recent strengthening of Azuma's inequality to allow for a non symmetric bound on the martingale differences.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 9 , Issue 3 , July 1995 , pp. 493 - 496
Copyright
Copyright © Cambridge University Press 1995

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References

1.Alon, N., Spencer, J., & Erods, P. (1992). The probabilistic method. New York: Wiley Interscience.Google Scholar
2.Blackwell, D. (to appear). Large deviations for martingales. In Pollard, D. (ed.). Festschrift für L.LeCam.Google Scholar