Deviations bounds and conditional principles for thin sets

Patrick Cattiaux and Nathael Gozlan

Stochastic Processes and their Applications, 2007, vol. 117, issue 2, 221-250

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 and calibration problems for diffusion processes are discussed.

Keywords: Large; deviations; Gibbs; conditioning; principle (search for similar items in EconPapers)
Date: 2007
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