exponential tightness
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Author(s):  
Paolo Baldi

AbstractWe prove the existence of an intermediate Banach space between the space where the Gaussian measure lives and its RKHS, thus extending what happens with Wiener measure, where the intermediate space can be chosen as a space of Hölder paths. From this result, it is very simple to deduce a result of exponential tightness for Gaussian probabilities.



2020 ◽  
Vol 24 ◽  
pp. 113-126
Author(s):  
Paolo Baldi

We prove a simple criterion of exponential tightness for sequences of Gaussian r.v.’s with values in a separable Banach space from which we deduce a general result of Large Deviations which allows easily to obtain LD estimates in various situations.



Stochastics ◽  
2016 ◽  
Vol 89 (2) ◽  
pp. 469-484 ◽  
Author(s):  
Claudio Macci ◽  
Barbara Pacchiarotti




1999 ◽  
Vol 41 (1) ◽  
pp. 83-86
Author(s):  
Peter Eichelsbacher ◽  
Malte Grunwald


1994 ◽  
Vol 7 (3) ◽  
pp. 423-436 ◽  
Author(s):  
O. V. Gulinskii ◽  
Robert S. Lipster ◽  
S. V. Lototskii

We combine the Donsker and Varadhan large deviation principle (l.d.p) for the occupation measure of a Markov process with certain results of Deuschel and Stroock, to obtain the l.d.p. for unbounded functionals. Our approach relies on the concept of exponential tightness and on the Puhalskii theorem. Three illustrative examples are considered.



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