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1996 Moderate Deviations for Martingales with Bounded Jumps
Amir Dembo
Author Affiliations +
Electron. Commun. Probab. 1: 11-17 (1996). DOI: 10.1214/ECP.v1-973


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.


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Amir Dembo. "Moderate Deviations for Martingales with Bounded Jumps." Electron. Commun. Probab. 1 11 - 17, 1996.


Accepted: 5 March 1996; Published: 1996
First available in Project Euclid: 25 January 2016

zbMATH: 0854.60027
MathSciNet: MR1386290
Digital Object Identifier: 10.1214/ECP.v1-973

Primary: 60F10
Secondary: 60G42 , 60G44

Keywords: bounded martingale differences , Martingales , Moderate deviations

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