Deviations bounds and conditional principles for thin sets

Patrick Cattiaux; Nathael Gozlan

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arXiv · math/0510257

Deviations bounds and conditional principles for thin sets

Patrick Cattiaux·Nathael Gozlan

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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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BibTeX RIS

Patrick Cattiaux, Nathael Gozlan. 2005-10-12. Deviations bounds and conditional principles for thin sets. https://arxiv.org/abs/math/0510257

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