A generalization of Cram\'{e}r large deviations for martingales
Probability
2017-08-03 v1
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).
Keywords
Cite
@article{arxiv.1503.06627,
title = {A generalization of Cram\'{e}r large deviations for martingales},
author = {Xiequan Fan and Ion Grama and Quansheng Liu},
journal= {arXiv preprint arXiv:1503.06627},
year = {2017}
}