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Free-differentiability conditions on the free-energy function implying large deviations

概率论 2015-12-04 v1

摘要

Let (μα)(\mu_{\alpha}) be a net of Radon sub-probability measures on the real line, and (tα)(t_{\alpha}) be a net in ]0,+[]0,+\infty[ converging to 0. Assuming that the generalized log-moment generating function L(λ)L(\lambda) exists for all λ\lambda in a nonempty open interval GG, we give conditions on the left or right derivatives of LGL_{\mid G}, implying vague (and thus narrow when 0G0\in G) large deviations. The rate function (which can be nonconvex) is obtained as an abstract Legendre-Fenchel transform. This allows us to strengthen the G\"{a}rtner-Ellis theorem by removing the usual differentiability assumption. A related question of R. S. Ellis is solved.

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引用

@article{arxiv.math/0506044,
  title  = {Free-differentiability conditions on the free-energy function implying large deviations},
  author = {Henri Comman},
  journal= {arXiv preprint arXiv:math/0506044},
  year   = {2015}
}

备注

13 pages