Upper and lower bounds in exponential Tauberian theorems
type: Item
instance of: scholarly article
title: Upper and lower bounds in exponential Tauberian theorems
zbMATH Open document ID: 1203.60031
author: Jochen Voss
published in: Tbilisi Mathematical Journal
publication date: 2010-09-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/0908.0642
full work available at URL: abstract2 3.html
review text: The idea of this paper ``Tauberian theorems can be used to obtain simple large deviation results.'' That's why for r.v. \(X\geq 0\) on a probability space \((\Omega,\mathcal{A},P),\) an event \(A\in \mathcal{A}\) with \(P(A)>0\) and \(\alpha\in (0,1),\;\beta>0\) with \(\frac 1{\alpha}=\frac 1{\beta}+1\) the author at first derives from De Bruijn's Tauberian theorem Theorem 1.1. The limit \(r\) exists if and only if the limit \(s\) exists, \[ r=\lim_{\lambda\to \infty}\lambda^{-\alpha}\log E(e^{-\lambda X}\cdot 1_A)\leq 0,\quad s=\lim_{\varepsilon\to 0}\varepsilon^{\beta}\log E(X\leq \varepsilon, A)\leq 0, \] and in this case we have \(|\alpha r|^{1/\alpha}=|\beta s|^{1/\beta}.\) Then in section 2, it is shown that Theorem 1.1 can be used to derive a large deviation principle for Brownian motion. But in general the limit \(s\) does not necessarily exists. And for large deviation results one usually considers upper and lower limits. That's why in s. 3 in the same conditions an analogue of Theorem 1.1 is derived (its proof uses only elementary methods): Theorem 3.1. a) The upper limits \[ \bar{r}=\limsup_{\lambda\to \infty}\lambda^{-\alpha}\log E(e^{-\lambda X}\cdot 1_A),\;\;\text{and}\;\;\bar{s}=\limsup_{\varepsilon\to 0}\varepsilon^{\beta}\log E(X\leq \varepsilon, A) \] satisfy \(|\alpha \bar{r}|^{1/\alpha}=|\beta \bar{s}|^{1/\beta}.\) b) The lower limits \[ \underline{r}=\liminf_{\lambda\to \infty}\frac 1{\lambda^{\alpha}}\log E(e^{-\lambda X}\cdot 1_A),\;\;\text{and}\;\;\underline{s}=\liminf_{\varepsilon\to 0}\varepsilon^{\beta}\log E(X\leq \varepsilon, A) \] satisfy \(|\alpha \underline{r}|^{1/\alpha} \leq |\beta \underline{s}|^{1/\beta} \leq |e^{H(\alpha)}\alpha \underline{r}|^{1/\alpha},\) \(H(\alpha)=-\alpha \log \alpha-(1-\alpha)\log(1-\alpha),\) and both bounds are sharp.
reviewed by: Serguey Victorovich Zhulenev
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 44A10
zbMATH DE Number: 5780199
zbMATH Keywords: large deviations
zbMATH Keywords: exponential Tauberian theorems
zbMATH Keywords: Laplace transform
MaRDI profile type: MaRDI publication profile
arXiv ID: 0908.0642
description: scientific article