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Original Articles

The probabilities of large deviations for semimartingales

Pages 1-19 | Published online: 04 Apr 2007
 

Abstract

Let be the square integrabie martingale with the quadratic characteristic be the standard normal d.f.. Assume that there are real numbers EeLand EeCsuch that the following conditions

hold a.s. Denote where . Then for any rin the range the large deviation relation holds where is a constant depending only on cand

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