On Bernstein-type inequalities for martingales

Bernstein-type inequalities for local martingales are derived. The results extend a number of well-known exponential inequalities and yield an asymptotic inequality for a sequence of asymptotically continuous martingales.

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Year of publication:	2001
Authors:	Dzhaparidze, K. ; van Zanten, J. H.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 93.2001, 1, p. 109-117
Publisher:	Elsevier
Keywords:	Locally square integrable martingale Bernstein inequality Multiplicative decomposition Exponential supermartingale Exponential inequality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874889