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We develop a class of exponential bounds for the probability that a martingale sequence crosses a time-dependent linear threshold.
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Tropp, J. A. (2011), ‘Freedman’s inequality for matrix martingales’, Electronic Communications in Probability
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Delyon, B. (2015), Exponential inequalities for dependent processes, Technical report
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Bacry, E., Gaïffas, S. and Muzy, J.-F. (2018), ‘Concentration inequalities for matrix martingales in continuous time’, Probability Theory and Related Fields
2018
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