Deviations bounds and conditional principles for thin sets

DOI10.1016/J.SPA.2006.07.003MaRDI QIDQ867848zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux, N. Gozlan

Publication date 19 February 2007

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

Full work available at URL https://arxiv.org/abs/math/0510257

zbMATH Keywords

Gibbs conditioning principlelarge deviations

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: The aim of this paper is to use non asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibbs conditioning principle for thin sets). Applications to stochastic mechanics or calibration problems for diffusion processes are discussed.

Review text

The aim of this paper is to use non-asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibbs conditioning principle for thin sets). Applications to stochastic mechanics and calibration problems for diffusion processes are discussed.

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Cited in

(5)

• Refinements of the Gibbs conditioning principle
• Conditioning by rare sources
• scientific article; zbMATH DE number 1190402 (Why is no real title available?)
• Thresholds and expectation-thresholds of monotone properties with small minterms
• Gibbs principle with infinitely many constraints: optimality conditions and stability

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