A generalization of Cramér large deviations for martingales
Résumé
In this note, we give a generalization of Cramér'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).
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)