Abstract
The problem of computing the lower tail of a Gaussian norm is considered in this paper. Based on large deviations arguments, a bound on these tails is derived which is tighter than those obtained by other methods. Conditional exponential moment bounds are also derived and as an application, $L^2$ type Onsager-Machlup functionals for diffusions are computed.
Citation
Eddy Mayer-Wolf. Ofer Zeitouni. "The Probability of Small Gaussian Ellipsoids and Associated Conditional Moments." Ann. Probab. 21 (1) 14 - 24, January, 1993. https://doi.org/10.1214/aop/1176989391
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