Large deviations for martingales with some applications期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

Large deviations for martingales with some applications

Authors:

A. Račkauskas

Affiliation:

1. Department of Mathematics, Vilnius University, Naugarduko 24, 2006, Vilnius, Lithuania

Abstract:

Let(X_i) be a martingale difference sequence. LetY be a standard normal random variable. We investigate the rate of uniform convergence

$Pleft{ {sumlimits_{k = 1}^n {X_k } > sqrt n r} right}/P{ Y > r} to 0asn to infty ,$

Keywords:	KeywordHeading" >Mathematics subject classifications (1991) 60F10 60G42 Central limit theorem large deviations martingales
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