| Título: | Moderate Deviations for Martingales with Bounded Jumps |
| Autores: | Dembo, Amir; Stanford University |
| Fecha: | 1996-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Mathematics Moderate deviations, martingales, bounded martingale differences. 60F10, 60G44, 60G42. |
| Descripción: | 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. |
| Idioma: | Inglés |
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