Concentration Inequalities for Additive Functionals: a Martingale Approach

12 Jul 2020 Pepin Bob

This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequalities for martingales. The approach is entirely probabilistic and naturally includes time-inhomogeneous and non-stationary processes as well as initial laws concentrated on a single point... (read more)

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  • PROBABILITY