Timeline for Maximal inequality for Markov process
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Feb 18, 2016 at 11:13 | comment | added | Sosha | @SamratMukhopadhyay: Unlike submarttingale, Markov chain sampled at increasing stopping times may not be a Markov Chain. And the proof you told depends on this heavily. | |
| Feb 18, 2016 at 9:19 | comment | added | Samrat Mukhopadhyay | You could benefit by looking at the Doob's martingale inequality. You can look at its proof to see if you can do something similar for Markov processes, though I am not sure if it will be fruitful. | |
| Feb 18, 2016 at 8:49 | comment | added | Sosha | @oferzeitouni: Thanks. That is ok. I am not asking for general case. Can you please give me some references ? | |
| Feb 18, 2016 at 8:48 | comment | added | ofer zeitouni | certainly not - there are zero mean MC's. You need to assume more, either higher moments or something about the state space. | |
| Feb 18, 2016 at 8:23 | history | asked | Sosha | CC BY-SA 3.0 |