The Annals of Probability

Convexity and Large Deviations

Peter Ney

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Abstract

A convexity argument is used to establish a representation formula from which one can derive the asymptotics of large deviations of sums of i.i.d. random variables on $\mathbb{R}^d$. This simplifies a proof in [4] which relied on fixed point and probabilistic arguments.

Article information

Source
Ann. Probab., Volume 12, Number 3 (1984), 903-906.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176993239

Digital Object Identifier
doi:10.1214/aop/1176993239

Mathematical Reviews number (MathSciNet)
MR744245

Zentralblatt MATH identifier
0543.60035

JSTOR
links.jstor.org

Subjects
Primary: 60G10: Stationary processes
Secondary: 60G50: Sums of independent random variables; random walks

Keywords
Large deviations convexity

Citation

Ney, Peter. Convexity and Large Deviations. Ann. Probab. 12 (1984), no. 3, 903--906. doi:10.1214/aop/1176993239. https://projecteuclid.org/euclid.aop/1176993239


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