Applied Mathematics

Volume 3, Issue 12 (December 2012)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.58  Citations  

Large and Moderate Deviations for Projective Systems and Projective Limits

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DOI: 10.4236/am.2012.312A282    3,308 Downloads   5,572 Views  
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ABSTRACT

One of the active fields in applied probability, the last two decades, is that of large deviations theory i.e. the one dealing with the (asymptotic) computation of probabilities of rare events which are exponentially small as a function of some parameter e.g. the amplitude of the noise perturbing a dynamical system. Basic ideas of the theory can be tracked back to Laplace, the first rigorous results are due to Cramer although a clear definition was introduced by Varadhan in 1966. Large deviations estimates have been proved to be the crucial tool in studying problems in Statistics, Physics (Thermodynamics and Statistical Mechanics), Finance (Monte-Carlo methods, option pricing, long term portfolio investment) and in Applied probability (queuing theory). The aim of this work is to describe one of the (recent) methods of proving large deviations results, namely that of projective systems. We compare the method with the one of projective limits and show the advantages of the first. These advantages are due to the fact that: 1) the arguments are direct and the proofs of the basic results of the theory are much easier and simpler; 2) we are able to extend most of these results using suitable projective systems. We apply the method in the case of a) sequences of i.i.d. r.v.’s and b) sequences of exchangeable r.v.’s. All the results are being proved in a simple “unified” way.

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T. Daras, "Large and Moderate Deviations for Projective Systems and Projective Limits," Applied Mathematics, Vol. 3 No. 12A, 2012, pp. 2041-2047. doi: 10.4236/am.2012.312A282.

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