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JOURNALS // Problemy Peredachi Informatsii // Archive

Probl. Peredachi Inf., 2013 Volume 49, Issue 4, Pages 64–86 (Mi ppi2124)

Large Systems

The Laplace method for Gaussian measures and integrals in Banach spaces

V. R. Fatalov

Faculty of Mechanics and Mathematics, Lomonosov Moscow State University, Moscow, Russia

Abstract: We prove results on tight asymptotics of probabilities and integrals of the form
$$ \mathbf P_A(uD)\quad\text{and}\quad J_u(D)=\int_D f(x)\exp\{-u^2F(x)\}\,d \mathbf P_A(ux), $$
where $\mathbf P_A$ is a Gaussian measure in an infinite-dimensional Banach space $B$, $D=\{x\in B\colon Q(x)\ge0\}$ is a Borel set in $B$, $Q$ and $F$ are continuous functions which are smooth in neighborhoods of minimum points of the rate function, $f$ is a continuous real-valued function, and $u\to\infty$ is a large parameter.

UDC: 621.391.1+519.21

Received: 19.09.2012
Revised: 14.03.2013


 English version:
Problems of Information Transmission, 2013, 49:4, 354–374

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