Electronic Communications in Probability

About the constants in the Fuk-Nagaev inequalities

Emmanuel Rio

Full-text: Open access

Abstract

In this paper we give efficient constants in the Fuk-Nagaev inequalities. Next we derive new upper bounds on the weak norms of martingales from our Fuk-Nagaev type inequality.

Article information

Source
Electron. Commun. Probab., Volume 22 (2017), paper no. 28, 12 pp.

Dates
Received: 21 March 2017
Accepted: 5 May 2017
First available in Project Euclid: 16 May 2017

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1494921750

Digital Object Identifier
doi:10.1214/17-ECP57

Mathematical Reviews number (MathSciNet)
MR3652041

Zentralblatt MATH identifier
1364.60029

Subjects
Primary: 60E15: Inequalities; stochastic orderings

Keywords
Tchebichef-Cantelli’s inequality Bernstein’s inequality Bennett’s inequality Fuk-Nagaev’s inequality Rosenthal’s inequality martingales

Rights
Creative Commons Attribution 4.0 International License.

Citation

Rio, Emmanuel. About the constants in the Fuk-Nagaev inequalities. Electron. Commun. Probab. 22 (2017), paper no. 28, 12 pp. doi:10.1214/17-ECP57. https://projecteuclid.org/euclid.ecp/1494921750


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References

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