A generalization of Cramér large deviations for martingales

DOI10.1016/J.CRMA.2014.08.014zbMATH Open1301.60029arXiv1503.06627OpenAlexW1690742616MaRDI QIDQ467696FDOQ467696

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)

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).

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

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Mathematics Subject Classification ID

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

Cites Work

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• Probabilities of large deviations for martingales

Cited In (2)

• Large deviations for martingales via Cramér's method
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