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1. A generalization of Cram\'{e}r large deviations for martingales

Author

Fan, Xiequan, Grama, Ion, and Liu, Quansheng

Subjects
Mathematics - Probability, 60G42 (Primary), 60F10, 60E15, 60F05 (Secondary)
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).

Published
2015

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