The problem of computing the lower tail of a Gaussian norm is considered in this paper. Based on large deviations arguments, a bound on these tails is derived which is tighter than those obtained by other methods. Conditional exponential moment bounds are also derived and as an application, $L^2$ type Onsager-Machlup functionals for diffusions are computed.
Publié le : 1993-01-14
Classification:
Gaussian norms,
Onsager-Machlup,
large deviations,
60G15,
60F10,
60J65
@article{1176989391,
author = {Mayer-Wolf, Eddy and Zeitouni, Ofer},
title = {The Probability of Small Gaussian Ellipsoids and Associated Conditional Moments},
journal = {Ann. Probab.},
volume = {21},
number = {4},
year = {1993},
pages = { 14-24},
language = {en},
url = {http://dml.mathdoc.fr/item/1176989391}
}
Mayer-Wolf, Eddy; Zeitouni, Ofer. The Probability of Small Gaussian Ellipsoids and Associated Conditional Moments. Ann. Probab., Tome 21 (1993) no. 4, pp. 14-24. http://gdmltest.u-ga.fr/item/1176989391/