Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156611 | Stochastic Processes and their Applications | 2013 | 24 Pages |
Abstract
An expansion of large deviation probabilities for martingales is given, which extends the classical result due to Cramér to the case of martingale differences satisfying the conditional Bernstein condition. The upper bound of the range of validity and the remainder of our expansion is the same as in the Cramér result and therefore are optimal. Our result implies a moderate deviation principle for martingales.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Xiequan Fan, Ion Grama, Quansheng Liu,