Hoeffding's inequality for supermartingales
arXiv:1109.4359
Abstract
We give an extension of Hoeffding's inequality to the case of supermartingales with differences bounded from above. Our inequality strengthens or extends the inequalities of Freedman, Bernstein, Prohorov, Bennett and Nagaev.
20 pages, accepted; Stochastic Processes and their Applications (2012), Vol. 122, pages 3545-3559