Deviations bounds and conditional principles for thin sets

2005/10/12 by Patrick Cattiaux, Cattiaux, Patrick, Nathael Gozlan +1
Mathematics · #60H10 #FOS: Mathematics #MSC 60F10 #Probability (math.PR) #math.PR #msc:60F10 #msc:60H10

paper · pdf · doi:10.48550/arxiv.math/0510257

arxiv created 2005/10/12 · arxiv updated 2009/12/01

Abstract

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 or calibration problems for diffusion processes are discussed.

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