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Results tagged with stochastic-processes
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user 27773
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
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Looking for a citation for this simple generalization of the Markov bound to non-negative su...
Does anybody know a reference for the following theorem?
Theorem 1. Let $(X_t)_{t=0}^\infty$ be a non-negative supermartingale.
Then, for any constant $c > 0$, the event $(\exists
> t)\, X_t \ge c$ h …
- 183
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vote
Chernoff-type bounds for a stopped sum of independent random variables
The two answers so far may give the impression that bounds in the desired spirit (Chernoff-like bounds for sums with stopping times) are not possible. But useful bounds in this spirit can indeed be s …
- 183