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Register a new userA note on concentration inequality for vector-valued martingales with weak exponential-type tails
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Junchi Li
Publication date
2018
fields
Informatics Engineering
and research's language is
English
Authors
Chris Junchi Li
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We present novel martingale concentration inequalities for martingale differences with finite Orlicz-$psi_alpha$ norms. Such martingale differences with weak exponential-type tails scatters in many statistical applications and can be heavier than sub-exponential distributions. In the case of one dimension, we prove in general that for a sequence of scalar-valued supermartingale difference, the tail bound depends solely on the sum of squared Orlicz-$psi_alpha$ norms instead of the maximal Orlicz-$psi_alpha$ norm, generalizing the results of Lesigne & Volny (2001) and Fan et al. (2012). In the multidimensional case, using a dimension reduction lemma proposed by Kallenberg & Sztencel (1991) we show that essentially the same concentration tail bound holds for vector-valued martingale difference sequences.
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We derive two upper bounds for the probability of deviation of a vector-valued Lipschitz function of a collection of random variables from its expected value. The resulting upper bounds can be tighter than bounds obtained by a direct application of a classical theorem due to Bobkov and G{o}tze.
We study the solutions $u=u(x,t)$ to the Cauchy problem on $mathbb Z^dtimes(0,infty)$ for the parabolic equation $partial_t u=Delta u+xi u$ with initial data $u(x,0)=1_{{0}}(x)$. Here $Delta$ is the discrete Laplacian on $mathbb Z^d$ and $xi=(xi(z))_{zinmathbb Z^d}$ is an i.i.d. random field with doubly-exponential upper tails. We prove that, for large $t$ and with large probability, a majority of the total mass $U(t):=sum_x u(x,t)$ of the solution resides in a bounded neighborhood of a site $Z_t$ that achieves an optimal compromise between the local Dirichlet eigenvalue of the Anderson Hamiltonian $Delta+xi$ and the distance to the origin. The processes $tmapsto Z_t$ and $t mapsto tfrac1t log U(t)$ are shown to converge in distribution under suitable scaling of space and time. Aging results for $Z_t$, as well as for the solution to the parabolic problem, are also established. The proof uses the characterization of eigenvalue order statistics for $Delta+xi$ in large sets recently proved by the first two authors.
We consider a class of stochastic control problems where the state process is a probability measure-valued process satisfying an additional martingale condition on its dynamics, called measure-valued martingales (MVMs). We establish the `classical results of stochastic control for these problems: specifically, we prove that the value function for the problem can be characterised as the unique solution to the Hamilton-Jacobi-Bellman equation in the sense of viscosity solutions. In order to prove this result, we exploit structural properties of the MVM processes. Our results also include an appropriate version of It^os lemma for controlled MVMs. We also show how problems of this type arise in a number of applications, including model-independent derivatives pricing, the optimal Skorokhod embedding problem, and two player games with asymmetric information.
We consider oriented long-range percolation on a graph with vertex set $mathbb{Z}^d times mathbb{Z}_+$ and directed edges of the form $langle (x,t), (x+y,t+1)rangle$, for $x,y$ in $mathbb{Z}^d$ and $t in mathbb{Z}_+$. Any edge of this form is open with probability $p_y$, independently for all edges. Under the assumption that the values $p_y$ do not vanish at infinity, we show that there is percolation even if all edges of length more than $k$ are deleted, for $k$ large enough. We also state the analogous result for a long-range contact process on $mathbb{Z}^d$.
Let $G$ be a topological Abelian semigroup with unit, let $E$ be a Banach space, and let $C(G,E)$ denote the set of continuous functions $fcolon Gto E$. A function $fin C(G,E)$ is a generalized polynomial, if there is an $nge 0$ such that $Delta_{h_1} ldots Delta_{h_{n+1}} f=0$ for every $h_1 ,ldots , h_{n+1} in G$, where $Delta_h$ is the difference operator. We say that $fin C(G,E)$ is a polynomial, if it is a generalized polynomial, and the linear span of its translates is of finite dimension; $f$ is a w-polynomial, if $ucirc f$ is a polynomial for every $uin E^*$, and $f$ is a local polynomial, if it is a polynomial on every finitely generated subsemigroup. We show that each of the classes of polynomials, w-polynomials, generalized polynomials, local polynomials is contained in the next class. If $G$ is an Abelian group and has a dense subgroup with finite torsion free rank, then these classes coincide. We introduce the classes of exponential polynomials and w-expo-nential polynomials as well, establish their representations and connection with polynomials and w-polynomials. We also investigate spectral synthesis and analysis in the class $C(G,E)$. It is known that if $G$ is a compact Abelian group and $E$ is a Banach space, then spectral synthesis holds in $C(G,E)$. On the other hand, we show that if $G$ is an infinite and discrete Abelian group and $E$ is a Banach space of infinite dimension, then even spectral analysis fails in $C(G,E)$. If, however, $G$ is discrete, has finite torsion free rank and if $E$ is a Banach space of finite dimension, then spectral synthesis holds in $C(G,E)$.
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