Optimum bounds for the distributions of martingales in Banach spaces

Iosif Pinelis

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arXiv · 1208.2200

Optimum bounds for the distributions of martingales in Banach spaces

Iosif Pinelis

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Abstract

A general device is proposed, which provides for extension of exponential inequalities for sums of independent real-valued random variables to those for martingales in the 2-smooth Banach spaces. This is used to obtain optimum bounds of the Rosenthal-Burkholder and Chung types on moments of the martingales in the 2-smooth Banach spaces. In turn, it leads to best-order bounds on moments of the sums of independent random vectors in any separable Banach spaces. Although the emphasis is put on the infinite-dimensional martingales, most of the results seem to be new even for the one-dimensional ones. Moreover, the bounds on the Rosenthal-Burkholder type of moments seem to be to certain extent new even for the sums of independent real-valued random variables. Analogous inequalities for (one-dimensional) supermartingales are given.

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BibTeX RIS

Iosif Pinelis. 2012-08-10. Optimum bounds for the distributions of martingales in Banach spaces. https://arxiv.org/abs/1208.2200

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