A generalization of Cramér large deviations for martingales

DOI10.1016/J.CRMA.2014.08.014MaRDI QIDQ467696zbMATHOpenAlexFDO

Authors Xiequan Fan, Ion Grama, Quansheng Liu

Publication date 4 November 2014

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.06627

Mathematics Subject Classification ID

Large deviations (60F10) Martingales with discrete parameter (60G42)

Abstract: In this note, we give a generalization of Cram'{e}r's large deviations for martingales, which can be regarded as a supplement of Fan, Grama and Liu (Stochastic Process. Appl., 2013). Our method is based on the change of probability measure developed by Grama and Haeusler (Stochastic Process. Appl., 2000).

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Cited in

(2)

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