Concentration inequalities for matrix martingales in continuous time
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DOI: 10.1007/s00440-017-0786-9
Abstract: This paper gives new concentration inequalities for the spectral norm of a wide class of matrix martingales in continuous time. These results extend previously established Freedman and Bernstein inequalities for series of random matrices to… read more here.
Keywords: matrix martingales; concentration inequalities; martingales continuous; time ... See more keywords