5974概率困难数值题long
Azuma Bound on a Bounded Martingale
题目
Let M_0=0, M_1, M_2, ... be a martingale whose increments satisfy |M_k - M_{k-1}| <= 1 for all k. Using the Azuma-Hoeffding inequality, give the best upper bound it provides on P(M_100 >= 20).
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