Grama, Ion; Haeusler, Erich - In: Stochastic Processes and their Applications 85 (2000) 2, pp. 279-293
We develop a new approach for proving large deviation results for martingales based on a change of probability measure. It extends to the case of martingales the conjugate distribution technique due to Cramér. To demonstrate our approach, we derive formulae for probabilities of large deviations...