The Probability of Small Gaussian Ellipsoids and Associated Conditional Moments
نویسنده
چکیده
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 diiusions are computed.
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