Large deviations for martingales with some applications
✍ Scribed by A. Račkauskas
- Publisher
- Springer Netherlands
- Year
- 1995
- Tongue
- English
- Weight
- 636 KB
- Volume
- 38
- Category
- Article
- ISSN
- 0167-8019
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Let Mt be a vector martingale and M t denote its predictable quadratic variation. In this paper we present a bound for the probability that z \* M -1 t Mt ¿ z \* M -1 t z with a ÿxed vector z and discuss some of its applications to statistical estimation in autoregressive and linear di usion models.
Gaussian White Noise, super-Brownian motion and the diffusion-limit Fleming-Viot process are examples of such infinite-dimensional Markov processes with continuous paths and L 2 -martingale measures we study in this work as regards to their sample path large deviation probabilities and their associa