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Moderate Deviations for Martingales with Bounded Jumps


 
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1. Title Title of document Moderate Deviations for Martingales with Bounded Jumps
 
2. Creator Author's name, affiliation, country Amir Dembo; Stanford University
 
3. Subject Discipline(s) Mathematics
 
3. Subject Keyword(s) Moderate deviations, martingales, bounded martingale differences.
 
3. Subject Subject classification 60F10, 60G44, 60G42.
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 1996-03-05
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/973
 
10. Identifier Digital Object Identifier 10.1214/ECP.v1-973
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 1
 
12. Language English=en en
 
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