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Problemy Peredachi Informatsii, 2013, Volume 49, Issue 4, Pages 64–86
(Mi ppi2124)
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Large Systems
The Laplace method for Gaussian measures and integrals in Banach spaces
V. R. Fatalov Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia
Abstract:
We prove results on tight asymptotics of probabilities and integrals of the form
$$
\mathbf P_A(uD)\quad\text{and}\quad J_u(D)=\int_D f(x)\exp\{-u^2F(x)\}\,d \mathbf P_A(ux),
$$
where $\mathbf P_A$ is a Gaussian measure in an infinite-dimensional Banach space $B$, $D=\{x\in B\colon Q(x)\ge0\}$ is a Borel set in $B$, $Q$ and $F$ are continuous functions which are smooth in neighborhoods of minimum points of the rate function, $f$ is a continuous real-valued function, and $u\to\infty$ is a large parameter.
Received: 19.09.2012 Revised: 14.03.2013
Citation:
V. R. Fatalov, “The Laplace method for Gaussian measures and integrals in Banach spaces”, Probl. Peredachi Inf., 49:4 (2013), 64–86; Problems Inform. Transmission, 49:4 (2013), 354–374
Linking options:
https://www.mathnet.ru/eng/ppi2124 https://www.mathnet.ru/eng/ppi/v49/i4/p64
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