On the theory of large deviations
Teoriâ veroâtnostej i ee primeneniâ, Tome 38 (1993) no. 3, pp. 553-562
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The similarity of the “large deviation principle, (DV1) and (DV2)” and the “weak convergence of probability measures” was used by the author in the earlier paper [9] to study the rough asymptotic behavior of large deviations by the techniques of the theory of weak convergence. This paper is a continuation of [9]. A simpler proof is given for one of the main results of [9] (“if a sequence of measures is exponentially tight, then it is relatively compact in the sense of large deviations”). The problem of large deviations for semimartingales is considered.
Keywords:
rough asymptotic behavior of large deviations, weak convergence tightness of probability measures, Prokhorov's theorem, rate function, large deviations for semimartingales.
@article{TVP_1993_38_3_a5,
author = {A. A. Pukhal'skii},
title = {On the theory of large deviations},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {553--562},
year = {1993},
volume = {38},
number = {3},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1993_38_3_a5/}
}
A. A. Pukhal'skii. On the theory of large deviations. Teoriâ veroâtnostej i ee primeneniâ, Tome 38 (1993) no. 3, pp. 553-562. http://geodesic.mathdoc.fr/item/TVP_1993_38_3_a5/