Martingale Approach to Derive Lundberg-Type Inequalities

Kuras, T; Sprindys, J; Siaulys, J

Siaulys, J (corresponding author), Vilnius Univ, Inst Math, Naugarduko 24, Vilnius, Lithuania.

MATHEMATICS, 2020; 8 (10):

Abstract

In this paper, we find the upper bound for the tail probability P(sup(n >= 0) Sigma(n)(i=1) zeta(i) > x) with random summands zeta(1), zeta(2), ......

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