文章基本信息

标题：Moderate Deviations for Martingales with Bounded Jumps
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作者：Dembo, Amir
期刊名称：Electronic Communications in Probability
印刷版ISSN：1083-589X
出版年度：1996
卷号：1
页码：11-17
DOI：10.1214/ECP.v1-973
语种：English
出版社：Electronic Communications in Probability
摘要：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.
关键词：Mathematics;Moderate deviations, martingales, bounded martingale differences.;60F10, 60G44, 60G42.