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This article is cited in 4 scientific papers (total in 4 papers)
On the Laplace method for Gaussian measures in a Banach space
V. R. Fatalov M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
In this paper, we prove results on sharp asymptotics for the probabilities $P_A(uD)$, as $u\to\infty$, where $P_A$ is the Gaussian measure in an infinite-dimensional Banach space $B$ with zero mean and nondegenerate covariance operator $A$, $D=\{x\in B:Q(x)\geqslant 0\}$ is a Borel set in $B$, and $Q$ is a smooth function. We analyze the case where the action functional attains its minimum on some set $D$ on a one-dimensional manifold. We make use of the Laplace method in Banach spaces for Gaussian measures. Based on the general result obtained, for $0<p\leqslant6$ we find a sharp asymptotics for large deviations of distributions of $L^p$-functionals for the centered Brownian bridge which arises as the limit while studying the Watson statistics. Explicit constants are given for the cases $p=1$ and $p=2$.
Keywords:
Laplace’s method; large deviations; gaussian process; principle of large deviations; action functional; centered Brownian bridge; Watson statistics; hypergeometric function.
Received: 18.12.2012
Citation:
V. R. Fatalov, “On the Laplace method for Gaussian measures in a Banach space”, Teor. Veroyatnost. i Primenen., 58:2 (2013), 325–354; Theory Probab. Appl., 58:2 (2014), 216–241
Linking options:
https://www.mathnet.ru/eng/tvp4509https://doi.org/10.4213/tvp4509 https://www.mathnet.ru/eng/tvp/v58/i2/p325
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Abstract page: | 524 | Full-text PDF : | 197 | References: | 84 | First page: | 2 |
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