Abstract
A refinement of the technique of measure tilting in large deviations is presented. This refinement allows for the handling of situations which are not covered by standard fixed exponential tilting. An application to the study of the law of Brownian motion conditioned on staying in a small L 2 ball follows.
Partially supported by a US-Israel BSF grant and by NSF DMS92-09712 grant.
Partially supported by a US-Israel BSF grant and by the fund for promotion of research at the Technion.
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Dembo, A., Zeitouni, O. (1995). Large Deviations via Parameter Dependent Change of Measure, and an Application to the Lower Tail of Gaussian Processes. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_8
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DOI: https://doi.org/10.1007/978-3-0348-7026-9_8
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