2022
DOI: 10.48550/arxiv.2204.08602
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On De la Peña Type Inequalities for Point Processes

Abstract: There has been a renewed interest in exponential concentration inequalities for stochastic processes in probability and statistics over the last three decades.De la Peña [5] establishes a nice exponential inequality for discrete time locally square integrable martingale . In this paper, we obtain de la Peña's inequalities for stochastic integral of multivariate point processes. The proof is primarily based on Doléans-Dade exponential formula and the optional stopping theorem.As application, we obtain an expone… Show more

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