Related papers: Large deviations for some fast stochastic volatili…
We consider a generic Hamiltonian system of nonlinear interacting waves with 3-wave interactions. In the kinetic regime of wave turbulence, which assumes weak nonlinearity and large system size, the relevant observable associated with the…
An autonomous system of ordinary differential equations describing nonlinear oscillations on the plane is considered. The influence of time-dependent perturbations decaying at infinity in time is investigated. It is assumed that the…
We consider a basic stochastic particle system consisting of $N$ identical particles with isotropic $k$-particle synchronization, $k\geq 2$. In the limit when both number of particles $N$ and time $t=t(N)$ grow to infinity we study an…
We analyze the macroscopic behavior of multi-populations randomly connected neural networks with interaction delays. Similar to cases occurring in spin glasses, we show that the sequences of empirical measures satisfy a large deviation…
In this paper, we study the asymptotic behavior of a semi-linear slow-fast stochastic partial differential equation with singular coefficients. Using the Poisson equation in Hilbert space, we first establish the strong convergence in the…
This paper focuses on systems of nonlinear second-order stochastic differential equations with multi-scales. The motivation for our study stems from mathematical physics and statistical mechanics, for examples, Langevin dynamics and…
We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…
We study large deviations for the current of one-dimensional stochastic particle systems with periodic boundary conditions. Following a recent approach based on an earlier result by Jensen and Varadhan, we compare several candidates for…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
This work extends the variance reduction method for the pricing of possibly path-dependent derivatives, which was developed in (Genin and Tankov, 2016) for exponential L\'evy models, to affine stochastic volatility models (Keller-Ressel,…
We study simple models of intermittency, involving switching between two states, within the dynamical large-deviation formalism. Singularities appear in the formalism when switching is cooperative, or when its basic timescale diverges. In…
We study homogenization problem for the stationary Maxwell system. It is supposed that the magnetic permeability and the dielectric permittivity locally close to fast-oscillating (with respect to some small parameter) periodic functions…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
We consider a class of slow-fast processes on a connected complete Riemannian manifold $M$.The limiting dynamics as the scale separation goes to $\infty$ is governed by the averaging principle. Around this limit, we prove large deviation…
The article studies the reiterated homogenization of linear elliptic variational inequalities arising in problems with unilateral constrains. We assume that the coefficients of the equations satisfy and abstract hypothesis covering on each…
We investigate the large deviation behaviour of a point process sequence based on a stationary symmetric stable non-Gaussian discrete-parameter random field using the framework of Hult and Samorodnitsky (2010). Depending on the ergodic…
The event of large losses plays an important role in credit risk. As these large losses are typically rare, and portfolios usually consist of a large number of positions, large deviation theory is the natural tool to analyze the tail…
We prove a large deviation principle result for solutions of abstract stochastic evolution equations perturbed by small Levy noise. We use general large deviations theorems of Varadhan and Bryc, viscosity solutions of integro-partial…
In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR) and the multivariate Hawkes process. We analyze both…