no. 10
Probability theory
A generalization of Cramér large deviations for martingales
[Une généralisation des grandes déviations de Cramér pour les martingales]

Présenté par : the Editorial Board

Fan, Xiequan1, 2 ; Grama, Ion1 ; Liu, Quansheng1
1 Univ. Bretagne-Sud, UMR 6205, LMBA, F-56000 Vannes, France
2 Regularity Team, Inria and MAS Laboratory, École centrale de Paris, Grande Voie des Vignes, 92295 Châtenay-Malabry, France
Comptes Rendus. Mathématique, Tome 352 (2014) no. 10, pp. 853-858.

Dans cette note, nous donnons une généralisation des grandes déviations de Cramér pour les martingales, qui peut être considérée comme un supplément de Fan et al. (2013) [3]. Notre méthode est basée sur le changement de mesure de probabilité développé par Grama et Haeusler (2000) [6].

In this note, we give a generalization of Cramér's large deviations for martingales, which can be regarded as a supplement of Fan et al. (2013) [3]. Our method is based on the change of probability measure developed by Grama and Haeusler (2000) [6].

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2014.08.014
Fan, Xiequan 1, 2 ; Grama, Ion 1 ; Liu, Quansheng 1

1 Univ. Bretagne-Sud, UMR 6205, LMBA, F-56000 Vannes, France
2 Regularity Team, Inria and MAS Laboratory, École centrale de Paris, Grande Voie des Vignes, 92295 Châtenay-Malabry, France 
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Fan, Xiequan; Grama, Ion; Liu, Quansheng. A generalization of Cramér large deviations for martingales. Comptes Rendus. Mathématique, Tome 352 (2014) no. 10, pp. 853-858. doi : 10.1016/j.crma.2014.08.014. http://www.numdam.org/articles/10.1016/j.crma.2014.08.014/

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