Heavy tailed large deviations for time averages of diffusions: the Ornstein-Uhlenbeck case
Probability
2025-07-22 v2 Statistical Mechanics
Abstract
We study large deviations for the time average of the Ornstein-Uhlenbeck process raised to an arbitrary power. We prove that beyond a critical value, large deviations are subexponential in time, with a non-convex rate function whose main coefficient is given by the solution to a Hamilton-Jacobi problem. Although a similar problem was addressed in a recent work, the originality of the paper is to provide a short, self-contained proof of this result through a couple of standard large deviations arguments.
Keywords
Cite
@article{arxiv.2402.16992,
title = {Heavy tailed large deviations for time averages of diffusions: the Ornstein-Uhlenbeck case},
author = {Grégoire Ferré},
journal= {arXiv preprint arXiv:2402.16992},
year = {2025}
}