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A generalization of Cram\'{e}r large deviations for martingales
- Source :
- C. R. Acad. Sci. Paris, Ser. I. 352, 2014, 853-858
- Publication Year :
- 2015
-
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).
- Subjects :
- Mathematics - Probability
60G42 (Primary), 60F10, 60E15, 60F05 (Secondary)
Subjects
Details
- Database :
- arXiv
- Journal :
- C. R. Acad. Sci. Paris, Ser. I. 352, 2014, 853-858
- Publication Type :
- Report
- Accession number :
- edsarx.1503.06627
- Document Type :
- Working Paper