A generalization of Cram\'er large deviations for martingales
Abstract
In this note, we give a generalization of Cram\'er's large deviations for martingales, which can be regarded as a supplement of Fan, Grama and Liu (Stochastic Process. Appl., 2013). Our method is based on the change of probability measure developed by Grama and Haeusler (Stochastic Process. Appl., 2000).
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