Abstract

AbstractIn this chapter we first review basic martingale theory and then introduce tangent sequences and decoupling inequalities which are used to derive exponential inequalities for martingales. These exponential inequalities will be used in Chap. 10 to show that a wide range of stochastic models satisfy certain “canonical assumptions,” under which self-normalized processes can be treated by a general “pseudo-maximization” approach described in Chap. 11.KeywordsIndependent Random VariableConditional ExpectationConditional VarianceRelate ToolExponential InequalityThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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