Hitting probabilities and large deviations
Collamore, Jeffrey F.
Ann. Probab., Tome 24 (1996) no. 2, p. 2065-2078 / Harvested from Project Euclid
Let ${Y_n}_{n \in \mathbb{Z}_+}$ be a sequence of random variables in $\mathbb{R}^d$ and let $A \subset \mathbb{R}^d$. Then $\mathbf{P}\{Y_n \in A \text{for some $n$}\}$ is the hitting probability of the set A by the sequence ${Y_n}$. We consider the asymptotic behavior, as $m \to \infty$, of $\mathbf{P}\{Y_n \in mA \text{some $n$}\} = \mathbf{P}{\text{hitting $mA$}$ whenever (1) the probability law of $Y_n/n$ satisfies the large deviation principle and (2) the central tendency of $Y_n/n$ is directed away from the given set A. For a particular function $\tilde{I}$, we show $m \to \infty$, of $\mathbf{P}\{Y_n \in mA \text{some $n$}\} \approx \exp (-m \tilde{I}(A))$.
Publié le : 1996-10-14
Classification:  Hitting probabilities,  large deviations,  60F10,  60K10
@article{1041903218,
     author = {Collamore, Jeffrey F.},
     title = {Hitting probabilities and large deviations},
     journal = {Ann. Probab.},
     volume = {24},
     number = {2},
     year = {1996},
     pages = { 2065-2078},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1041903218}
}
Collamore, Jeffrey F. Hitting probabilities and large deviations. Ann. Probab., Tome 24 (1996) no. 2, pp.  2065-2078. http://gdmltest.u-ga.fr/item/1041903218/