Large deviations for martingales. (Q1766013)

The authors present new large deviations results for partial sums of martingale differences. Provided boundedness of an exponential moment they prove optimality of the estimate \(\text{e}^{-cn^{1/3}}\) instead of the estimate \(\text{e}^{-cn}\) known for the i.i.d.\ case. Provided boundedness of a \(p\)th moment (\(p\geq 2\)) they show optimality of an estimate \(cn^{-p/2}\) instead of the estimate \(cn^{1-p}\) known for the i.i.d.\ case. Similar results are also derived for a martingale difference field.