Concentration inequalities for matrix martingales in continuous time
Published in Probability Theory and Related Fields, 2017
E. Bacry, S. Gaïffas and J-F Muzy
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 the class of continuous time processes. Our analysis relies on a new supermartingale property of the trace exponential proved within the framework of stochastic calculus. We provide also several examples that illustrate the fact that our results allow us to recover easily several formerly obtained sharp bounds for discrete time matrix martingales.
