Exponential inequalities for the supremum of some counting processes and their square martingales

Ronan Le Guével (1, 2)

1 UR2 - Université de Rennes 2
2 IRMAR - Institut de Recherche Mathématique de Rennes

We establish exponential inequalities for the supremum of martingales obtained from counting processes as well as the supremum of their square martingales. Exponential inequalities are also provided for the oscillation modulus of these martingales.

Mots clés: Counting processes; concentration inequalities; exponential martingales; U-statistics

Domaines: Probabilités [math.PR]

Ronan Le Guével. Exponential inequalities for the supremum of some counting processes and their square martingales. 2019. ⟨hal-02275583v1⟩