Large deviations for a class of chaos expansions

DOI10.1007/BF02214370MaRDI QIDQ1337947zbMATH OpenOpenAlexFDO

Authors Víctor Pérez-Abreu, Constantin Tudor

Publication date 5 December 1994

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02214370

zbMATH Keywords

chaos expansions of exponential type transformation principle for large deviations Wiener functionals

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic integrals (60H05)

Review text

The first part of the paper gives a general approximating continuous transformation principle for large deviations, and the second one contains applications of this principle to obtain large deviations for random variables having chaos expansions of exponential type. Let \(W = \{W_ t, t \in T\}\), \(T=[0,1]\), be a standard Wiener process in a probability space \((\Omega,{\mathcal F},P)\). For \(m \geq 1\), let \(I_ m(h_ m)\) be the \(m\)-th multiple Wiener-Itô integer of the symmetric kernel \(h_ m \in L^ 2(T^ m)\). The main result of applications is as follows: Let \(X\) be a random variable having a chaos expansion of exponential type. For each \(\varepsilon > 0\) define \(X^ \varepsilon = \sum^ \infty_{m = 0} \varepsilon^{m/2} I_ m (h_ m)\). Then the family of Wiener functionals \(\{X^ \varepsilon; \varepsilon > 0\}\) satisfies the large deviations principle on \(\mathbb{R}\).

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