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arXiv · 1409.0342

Noncommutative martingale concentration inequalities

Ghadir Sadeghi·Mohammad Sal Moslehian
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Abstract

We establish an Azuma type inequality under a Lipshitz condition for martingales in the framework of noncommutative probability spaces and apply it to deduce a noncommutative Heoffding inequality as well as a noncommutative McDiarmid type inequality. We also provide a noncommutative Azuma inequality for noncommutative supermartingales in which instead of a fixed upper bound for the variance we assume that the variance is bounded above by a linear function of variables. We then employ it to deduce a noncommutative Bernstein inequality and an inequality involving $L_p$-norm of the sum of a martingale difference.

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Ghadir Sadeghi, Mohammad Sal Moslehian. 2014-09-01. Noncommutative martingale concentration inequalities. https://doi.org/10.1215/ijm%2F1436275498

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