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Deviations bounds and conditional principles for thin sets

The aim of this paper is to use non-asymptotic bounds for the probability of rare events in the Sanov theorem, in order to study the asymptotics in conditional limit theorems (Gibbs conditioning principle for thin sets). Applications to stochastic mechanics and calibration problems for diffusion processes are discussed.
Year of publication:
2007
Authors: Cattiaux, Patrick ; Gozlan, Nathael
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 2, p. 221-250
Publisher: Elsevier
Subject: Large deviations Gibbs conditioning principle
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874384
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