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Doob Martingale
In the mathematical theory of probability, a Doob martingale (named after Joseph L. Doob, also known as a Levy martingale) is a stochastic process that approximates a given random variable and has the martingale property with respect to the given filtration. It may be thought of as the evolving sequence of best approximations to the random variable based on information accumulated up to a certain time. When analyzing sums, random walks, or other additive functions of independent random variables, one can often apply the central limit theorem, law of large numbers, Chernoff's inequality, Chebyshev's inequality or similar tools. When analyzing similar objects where the differences are not independent, the main tools are martingales and Azuma's inequality In probability theory, the Azuma–Hoeffding inequality (named after Kazuoki Azuma and Wassily Hoeffding) gives a concentration result for the values of martingales that have bounded differences. Suppose \ is a martingal ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] [Amazon] |
Azuma's Inequality
In probability theory, the Azuma–Hoeffding inequality (named after Kazuoki Azuma and Wassily Hoeffding) gives a concentration result for the values of martingales that have bounded differences. Suppose \ is a martingale (or super-martingale) and :, X_k - X_, \leq c_k, \, almost surely. Then for all positive integers ''N'' and all positive reals ''\epsilon'', :\text(X_N - X_0 \geq \epsilon) \leq \exp\left ( \right). And symmetrically (when ''X''''k'' is a sub-martingale): :\text(X_N - X_0 \leq -\epsilon) \leq \exp\left ( \right). If ''X'' is a martingale, using both inequalities above and applying the union bound allows one to obtain a two-sided bound: :\text(, X_N - X_0, \geq \epsilon) \leq 2\exp\left ( \right). Proof The proof shares similar idea of the proof for the general form of Azuma's inequality listed below. Actually, this can be viewed as a direct corollary of the general form of Azuma's inequality. A general form of Azuma's inequality Limitation of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] [Amazon] |