On the Cramér transform, large deviations in boundary value problems, and the conditional invariance principle

DOI10.1007/BF02109831MaRDI QIDQ1921795zbMATH OpenOpenAlexFDO

Authors A. A. Borovkov

Publication date 4 July 1999

Published in Siberian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02109831

zbMATH Keywords

conditional invariance principleCramér transformlarge deviations

Mathematics Subject Classification ID

Large deviations (60F10) Functional limit theorems; invariance principles (60F17)

Review text

Let \(S(n)\) denote the sum of \(n\) independent, identically distributed random variables \((\xi(i), i=1,2, \dots)\) in \(\mathbb{R}^d\) and let \(\Delta(x)\) be a \(d\)-dimensional cube around \(x\). The author gives a probabilistic interpretation of the Cramér transform in terms of the limit \(\lim_{n\to\infty}P[\xi(k(n))\in B\mid S(n)\in\Delta(x(n))]\). He then applies this result to the study of asymptotics of \(P[S(n)\in\Delta(x)\), \(S(1)\notin W_1,\dots,S(n-1)\notin W_{n-1}]\) and other problems with boundaries. In addition, he generalises the conditional invariance principle.

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Cites work

• Boundary-Value Problems for Random Walks and Large Deviations in Function Spaces
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• On the Rate of Convergence in the “Conditional” Invariance Principle
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