Cramér large deviation expansions for martingales under Bernstein's condition

DOI10.1016/j.spa.2013.06.010zbMath1327.60069arXiv1210.2198OpenAlexW2016999664MaRDI QIDQ2350345

Xiequan Fan, Quan-sheng Liu, I. G. Grama

Publication date: 19 June 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.2198

zbMATH Keywords

exponential inequalitymartingalescentral limit theoremlarge deviationsmoderate deviationsBernstein's condition

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Large deviations (60F10)

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