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Moderate Deviations for Martingales with Bounded Jumps

   
@article{ECP973,
	author = {Amir Dembo},
	title = {Moderate Deviations for Martingales with Bounded Jumps},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {1},
	year = {1996},
	keywords = {Moderate deviations, martingales, bounded martingale differences.},
	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.},
	pages = {no. 3, 11-17},
	issn = {1083-589X},
	doi = {10.1214/ECP.v1-973},    
        url = {http://ecp.ejpecp.org/article/view/973}}