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Contraction Principles for Vector Valued Martingales with Respect to Random Variables Having Exponential Tail with Exponent 2<α<∞

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Abstract

We prove a contraction principle for vector valued martingales with respect to random variables having exponential tail behaviour with exponent 2<α<∞.

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Authors and Affiliations

  1. Department of Mathematics, University of Jyväskylä, P.O. Box 35 (MaD), FIN-40351, Jyväskylä, Finland

    Stefan Geiss

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  1. Stefan Geiss
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Geiss, S. Contraction Principles for Vector Valued Martingales with Respect to Random Variables Having Exponential Tail with Exponent 2<α<∞. Journal of Theoretical Probability 14, 39–59 (2001). https://doi.org/10.1023/A:1007864813858

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