Exponential Bounds in the Law of Iterated Logarithm for Martingales

E. Ostrovsky; L. Sirota

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arXiv · 0801.2125

Exponential Bounds in the Law of Iterated Logarithm for Martingales

E. Ostrovsky·L. Sirota

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Abstract

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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E. Ostrovsky, L. Sirota. 2008-01-14. Exponential Bounds in the Law of Iterated Logarithm for Martingales. https://arxiv.org/abs/0801.2125

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