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arXiv · 1503.06627

A generalization of Cram\'{e}r large deviations for martingales

Xiequan Fan·Ion Grama·Quansheng Liu
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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).

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Xiequan Fan, Ion Grama, Quansheng Liu. 2015-03-23. A generalization of Cram\'{e}r large deviations for martingales. https://arxiv.org/abs/1503.06627

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