Tilted large deviation principle

In mathematics — specifically, in large deviations theory — the tilted large deviation principle is a result that allows one to generate a new large deviation principle from an old one by "tilting", i.e. integration against an exponential functional. It can be seen as an alternative formulation of Varadhan's lemma.

tatement of the theorem

Let "X" be a Polish space (i.e., a separable, completely metrizable topological space), and let ("μ"_"ε")_{"ε">0} be a family of probability measures on "X" that satisfies the large deviation principle with rate function "I" : "X" → [0, +∞] . Let "F" : "X" → R be a continuous function that is bounded from above. For each Borel set "S" ⊆ "X", let

:$J\_\{varepsilon\}\; (S)\; =\; int\_\{S\}\; e^\{-\; F(x)\; /\; varepsilon\}\; ,\; mathrm\{d\}\; mu\_\{varepsilon\}\; (x)$

and define a new family of probability measures ("ν"_"ε")_{"ε">0} on "X" by

:$u\_\{varepsilon\}\; (S)\; =\; frac\{J\_\{varepsilon\}\; (S)\}\{J\_\{varepsilon\}\; (X)\}.$

Then ("ν"_"ε")_{"ε">0} satisfies the large deviation principle on "X" with rate function "I"^"F" : "X" → [0, +∞] given by

:

References

* cite book
last = den Hollander
first = Frank
title = Large deviations
series = Fields Institute Monographs 14
publisher = American Mathematical Society
location = Providence, RI
year = 2000
pages = pp. x+143
isbn = 0-8218-1989-5 MathSciNet|id=1739680