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Moderate Deviations for Martingales with Bounded Jumps
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Amir Dembo, Stanford University
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Abstract
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.
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Full text: PDF
Pages: 11-17
Published on: March 5, 1996
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Electronic Communications in Probability. ISSN: 1083-589X |
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