Article ID Journal Published Year Pages File Type
1156611 Stochastic Processes and their Applications 2013 24 Pages PDF
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)
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