A generalization of Cram\'{e}r large deviations for martingales
classification
🧮 math.PR
keywords
applcramdeviationsgeneralizationgramalargemartingalesprocess
read the original abstract
In this note, we give a generalization of Cram\'{e}r'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).
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.