On <scp>Heavy‐Tail</scp> Phenomena in Some <scp>Large‐Deviations</scp> Problems

DOI10.1002/CPA.21918zbMATH Open1469.60085arXiv1706.06184OpenAlexW3033173638MaRDI QIDQ5120974FDOQ5120974

Authors: Fanny Augeri 

Publication date: 16 September 2020

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Abstract: In this paper, we revisit the proof of the large deviations principle of Wiener chaoses partially given by Borel, and then by Ledoux in its full form. We show that some heavy-tail phenomena observed in large deviations can be explained by the same mechanism as for the Wiener chaoses, meaning that the deviations are created, in a sense, by translations. More precisely, we prove a general large deviations principle for a certain class of functionals $f_n:mathbb{R}^{n}omathcalX$, where $mathcalX$ is some metric space, under the $n$-fold probability measure $u_{alpha}^n$, where $u_{alpha}=Y_{alpha}^{-1}{e}^{-|x{|}^{alpha}}dx$, $alphain(0,2]$, for which the large deviations are due to translations. We retrieve, as an application, the large deviations principles known for the Wigner matrices without Gaussian tails, of the empirical spectral measure by Bordenave and Caputo, the largest eigenvalue and traces of polynomials by the author. We also apply our large deviations result to the last-passage time, which yields a large deviations principle when the weights have the density $Z_{alpha}^{-1}{e}^{-x^{alpha}}$ with respect to Lebesgue measure on $mathbb{R}_{+}$, with $alphain(0,1)$.

Full work available at URL: https://arxiv.org/abs/1706.06184

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zbMATH Keywords

Wigner matricesGaussian tailsWiener chaoses

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Probability measures on topological spaces (60B05) Random matrices (probabilistic aspects) (60B20) Measures and integration on abstract linear spaces (46G12)

Cited In (6)

• Title not available (Why is that?)
• Large deviations of empirical measures of diffusions in weighted topologies
• The Fundamentals of Heavy Tails
• Distributions with heavy tails in Orlicz spaces
• Title not available (Why is that?)
• Heavy-tailed Distributions in Some Stochastic Dynamical Models

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