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Teoriya Veroyatnostei i ee Primeneniya, 1999, Volume 44, Issue 1, Pages 34–54
DOI: https://doi.org/10.4213/tvp596 (Mi tvp596) 		 
This article is cited in 3 scientific papers (total in 4 papers)

On large deviations, I

S. V. Zhulenev

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (2701 kB) Citations (4)
DOI: https://doi.org/10.4213/tvp596
Abstract: A new point of view is suggested on the Cramér idea, which celebrated its 60th anniversary in 1998: to use a measure transform to obtain the so-called representation of large deviation type. This slightly different approach allows us to understand that the old idea is more efficient than had been thought before, even in the one-dimensional case.
Keywords: generalized Cramér transform, independent nonidentically distributed summands, nonasymptotic large deviation problem.
Received: 01.07.1997
English version:
Theory of Probability and its Applications, 2000, Volume 44, Issue 1, Pages 75–92
DOI: https://doi.org/10.1137/S0040585X9797732X
Bibliographic databases:
Language: Russian
Citation: S. V. Zhulenev, “On large deviations, I”, Teor. Veroyatnost. i Primenen., 44:1 (1999), 34–54; Theory Probab. Appl., 44:1 (2000), 75–92
Citation in format AMSBIB
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\by S.~V.~Zhulenev
\paper On large deviations,~I
\jour Teor. Veroyatnost. i Primenen.
\yr 1999
\vol 44
\issue 1
\pages 34--54
\mathnet{http://mi.mathnet.ru/tvp596}
\crossref{https://doi.org/10.4213/tvp596}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1751187}
\zmath{https://zbmath.org/?q=an:0980.60036}
\transl
\jour Theory Probab. Appl.
\yr 2000
\vol 44
\issue 1
\pages 75--92
\crossref{https://doi.org/10.1137/S0040585X9797732X}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000087555000007}
Linking options:
  • https://www.mathnet.ru/eng/tvp596
  • https://doi.org/10.4213/tvp596
  • https://www.mathnet.ru/eng/tvp/v44/i1/p34
    Cycle of papers
    This publication is cited in the following 4 articles:
    1. Chu B., Knight J., Satchell S., “Large deviations theorems for optimal investment problems with large portfolios”, European J Oper Res, 211:3 (2011), 533–555  crossref  mathscinet  zmath  isi  scopus
    2. Chu B., Knight J., Satchell S., “Optimal investment and asymmetric risk: a large deviations approach”, Optimization, 59:1 (2010), 3–27  crossref  mathscinet  zmath  isi  elib  scopus
    3. A. A. Borovkov, A. A. Mogul'skii, L. V. Rozovskii, A. I. Sakhanenko, “On Zhulev's paper “On large deviations. II””, Theory Probab. Appl., 51:2 (2007), 398–400  mathnet  crossref  crossref  mathscinet  zmath  elib
    4. S. V. Zhulenev, “On large deviations, II”, Theory Probab. Appl., 49:4 (2005), 671–690  mathnet  crossref  crossref  mathscinet  zmath  isi
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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