On heavy-tail phenomena in some large deviations problems

@article{Augeri2017OnHP,
  title={On heavy-tail phenomena in some large deviations problems},
  author={F. Augeri},
  journal={arXiv: Probability},
  year={2017}
}
  • F. Augeri
  • Published 2017
  • Mathematics
  • arXiv: Probability
  • In this paper, we revisit the proof of the large deviations principle of Wiener chaoses partially given by Borel, and then by Ledoux in its full form. We show that some heavy-tail phenomena observed in large deviations can be explained by the same mechanism as for the Wiener chaoses, meaning that the deviations are created, in a sense, by translations. More precisely, we prove a general large deviations principle for a certain class of functionals $f_n : \mathbb{R}^n \to \mathcal{X}$, where… CONTINUE READING
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