Moderate Deviations for Martingales with Bounded Jumps
نویسندگان
چکیده
منابع مشابه
Moderate Deviations for Martingales with Bounded Jumps
We prove that the Moderate Deviation Principle (MDP) holds for the trajectory of a locally square integrable martingale with bounded jumps as soon as its quadratic covariation, properly scaled, converges in probability at an exponential rate. A consequence of this MDP is the tightness of the method of bounded martingale differences in the regime of moderate deviations.
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 1996
ISSN: 1083-589X
DOI: 10.1214/ecp.v1-973