THE PROBABILITY OF SMALL GAUSSIAN ELLIPSOIDS AND ASSOCIATED CONDITIONAL MOMENTS
成果类型：
Article
署名作者：
MAYERWOLF, E; ZEITOUNI, O
署名单位：
Technion Israel Institute of Technology
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989391
发表日期：
1993
页码：
14-24
关键词：
摘要：
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, L2 type Onsager-Machlup functionals for diffusions are computed.