On Bernstein-type inequalities for martingales

K.O. Dzhaparidze, J.H. Zanten, van

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    Abstract

    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.
    Original languageEnglish
    Pages (from-to)109-117
    JournalStochastic Processes and their Applications
    Volume93
    Issue number1
    DOIs
    Publication statusPublished - 2001

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