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Teoriya Veroyatnostei i ee Primeneniya, 2013, Volume 58, Issue 2, Pages 325–354
DOI: https://doi.org/10.4213/tvp4509
(Mi tvp4509)
 

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
Full-text PDF (281 kB) Citations (4)
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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
English version:
Theory of Probability and its Applications, 2014, Volume 58, Issue 2, Pages 216–241
DOI: https://doi.org/10.1137/S0040585X97986539
Bibliographic databases:
Document Type: Article
MSC: 60
Language: Russian
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
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v58/i2/p325
    Erratum
    This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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