Azuma's Inequality: Martingale and Bounded Differences

This lecture covers Azuma's inequality in the context of martingales with bounded differences. Starting with the statement of the theorem, it progresses to the proof involving the differences of the martingale. The lecture then delves into Chebyshev's inequality and its application in the context of martingales. The generalization of Azuma's inequality is discussed, emphasizing the conditions under which the inequality holds.