Work

Moderate Deviations for Martingales with Bounded Jumps

Year: 1996

Type: article

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.

Source: Electronic Communications in Probability

DOI: 10.1214/ecp.v1-973

Author: Amir Dembo

Institution: Stanford University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2138092390

FWCI: 5.604

Cites: 8

Cited by: 59

Related to: 10