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The problem of computing the lower tail of a Gaussian norm is considered in this paper. Based on large deviations arguments, a bound on these tails is derived which is tighter than those obtained by other methods. Conditional exponential moment bounds are also derived and as an application, L² type Onsager-Machlup functionals for diffusions are computed.
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Mayer-Wolf et al. (1993) studied this question.
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