A generalization of Cramér large deviations for martingales

DOI10.1016/j.crma.2014.08.014zbMath1301.60029arXiv1503.06627OpenAlexW1690742616MaRDI QIDQ467696

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

Publication date: 4 November 2014

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.06627

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Large deviations (60F10)

Cites Work

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• Cramér large deviation expansions for martingales under Bernstein's condition
• An asymptotic expansion for probabilities of moderate deviations for multivariate martingales
• Generalization of a Probability Limit Theorem of Cramer
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