Large deviations of continuous regular conditional probabilities

DOI10.1007/S10959-016-0733-1zbMATH Open1430.60008arXiv1605.05192OpenAlexW2963081535WikidataQ59460556 ScholiaQ59460556MaRDI QIDQ1661593FDOQ1661593

Authors: W. van Zuijlen 

Publication date: 16 August 2018

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

Abstract: We study product regular conditional probabilities under measures of two coordinates with respect to the second coordinate that are weakly continuous on the support of the marginal of the second coordinate. Assuming that there exists a sequence of probability measures on the product space that satisfies a large deviation principle, we present necessary and sufficient conditions for the conditional probabilities under these measures to satisfy a large deviation principle. The arguments of these conditional probabilities are assumed to converge. A way to view regular conditional probabilities as a special case of product regular conditional probabilities is presented. This is used to derive conditions for large deviations of regular conditional probabilities. In addition, we derive a Sanov-type theorem for large deviations of the empirical distribution of the first coordinate conditioned on fixing the empirical distribution of the second coordinate.

Full work available at URL: https://arxiv.org/abs/1605.05192

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zbMATH Keywords

large deviationsweakly continuous(product) regular conditional kernel

Mathematics Subject Classification ID

Large deviations (60F10) Probabilistic measure theory (60A10)

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Cited In (2)

• A general conditional large deviation principle
• Quenched large deviations for interacting diffusions in random media

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