Compactness in the theory of large deviations

DOI10.1016/0304-4149(95)00007-TMaRDI QIDQ1890710zbMATH OpenFDO

Authors George L. O'Brien, Wim Vervaat

Publication date 23 May 1995

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(95)00007-T

zbMATH Keywords

capacitiesGärtner-Ellis criterionlarge deviation principles

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

Large deviation principles are expressed as the vague or narrow convergence of sequences of the set functions called capacities. As an application, a short proof of Gärtner-Ellis criterion for the large deviation principle is given. The capacity methods introduced in the paper are also used in forthcoming papers [\textit{G. L. O'Brien}, Sequences of capacities, with connections to large-deviation theory, J. Theor. Probab. (to appear) and \textit{W. Bryc} and \textit{A. Dembo}, Large deviations and strong mixing, Ann. Inst. Henri Poincaré, Probab. Stat. (to appear)].

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Cited in

(17)

• Universality limits in the bulk for arbitrary measures on compact sets
• Two examples in the theory of large deviations
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Sequences of capacities, with connections to large-deviation theory
• Statistical compactness
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• Large deviation principle for the greedy exploration algorithm over Erdős-Rényi graphs
• Convex large deviation rate functions under mixtures of linear transformations, with an application to ruin theory

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