an:00918331
Zbl 0854.60027
Dembo, Amir
Moderate deviations for martingales with bounded jumps
EN
Electron. Commun. Probab. 1, 11-17 (1996).
00035848
1996
j
60F10 60G44 60G42
moderate deviations; martingales; bounded martingale differences
Summary: 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.