On necessary and sufficient conditions for the local large deviation principle

Abstract

One says that the local large deviation principle (LLDP) is satisfied for a family of random vectors $\{{\zeta }_T{\}}_{T\ge 0}$ in ${\mathbb{R}}^d,$ $d\ge 1,$ if there exists a function $D:{\mathbb{R}}^d\to [0,\infty ],$ $D\not\equiv \infty ,$ such that, for any $\alpha \in {\mathbb{R}}^d$, \[ \lim_{T\to \infty}T^{-1}\ln \mathbf{P} (|ζ_T -α|<\varepsilon_T)= - D(α)\] for ${\epsilon }_T\to 0$ slowly enough. In this paper, we establish necessary and sufficient conditions for the LLDP that are very close to each other. Namely, if the LLDP is satisfied then, for $M_T\to \infty$ slowly enough as $T\to \infty$, there exists the limit \[ A(μ):= \lim_{T\to\infty}T^{-1}\ln \mathbf{E} (e^{T\langle μ, ζ_T\rangle}; |ζ_T|\le M_T)\in (-\infty, \infty],\quad μ\in \mathbb R^d,\] which is equal to the Legendre--Fenchel transform ${\mathcal{L}}_D$ of the rate function $D$. Conversely, if the above limit $A(\cdot )$ exists and is an essentially smooth function, then the LLDP is satisfied with the rate function $D$ equal to ${\mathcal{L}}_A.$ This "relaxed version" of the Gärtner--Ellis theorem's main condition does not involve the restrictive integrability assumptions from the latter and is most adequate to the nature of the local large deviation problem.

arXiv comment15 pages