On moderate deviations for martingales
Grama, I. G.
Ann. Probab., Tome 25 (1997) no. 4, p. 152-183 / Harvested from Project Euclid
Let $X^n = (X_t^n, \mathscr{F}_t^n)_{0 \leq t \leq 1}$ be square integrable martingales with the quadratic characteristics $\langle X^n \rangle, n = 1, 2, \dots$. We prove that the large deviations relation $P(X_1^n \geq r)/(1 - \Phi (r)) \to 1$ holds true for $r$ growing to infinity with some rate depending on $L_{2\delta}^n = E \sum_{0\leq t\leq 1}| \Delta X_t^n |^{2 + 2 \delta}$ and $N_{2 \delta}^n = E | \langle X^n \rangle_1 - 1|^{1 + \delta}$, where $\delta > 0$ and $L_{2 \delta}^n \to 0$, N_{2 \delta}^n \to 0$ as $n \to \infty$. The exact bound for the remainder is also obtained.
Publié le : 1997-01-14
Classification:  Martingale,  central limit theorem,  rate of convergence,  moderate deviation,  60F10,  60G44
@article{1024404283,
     author = {Grama, I. G.},
     title = {On moderate deviations for martingales},
     journal = {Ann. Probab.},
     volume = {25},
     number = {4},
     year = {1997},
     pages = { 152-183},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1024404283}
}
Grama, I. G. On moderate deviations for martingales. Ann. Probab., Tome 25 (1997) no. 4, pp.  152-183. http://gdmltest.u-ga.fr/item/1024404283/