On De la Peña Type Inequalities for Point Processes

Abstract

There has been a renewed interest in exponential concentration inequalities for stochastic processes in probability and statistics over the last three decades. De la Peña established a nice exponential inequality for a discrete time locally square integrable martingale. In this paper, we obtain de la Peña’s inequalities for a stochastic integral of multivariate point processes. The proof is primarily based on Doléans–Dade exponential formula and the optional stopping theorem. As an application, we obtain an exponential inequality for block counting process in Λ−coalescent.

Keywords

• de la Peña’s inequalities
• purely discontinuous local martingales
• stochastic integral of multivariate point processes
• Doléans–Dade exponential