Related papers: Large deviations for multidimensional state-depend…
In this paper we prove scalar and sample path large deviation principles for a large class of Poisson cluster processes. As a consequence, we provide a large deviation principle for ergodic Hawkes point processes.
In this paper, we study small noise asymptotics of Markov-modulated diffusion processes in the regime that the modulating Markov chain is rapidly switching. We prove the joint sample-path large deviations principle for the Markov-modulated…
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…
Limit theorems, including the large deviation principle, are established for random point processes (fields), which describe the position distributions of the perfect boson gas in the regime of the Bose-Einstein condensation. We compare…
We study the large deviation function for the empirical measure of diffusing particles at one fixed position. We find that the large deviation function exhibits anomalous system size dependence in systems that satisfy the following…
We prove a large deviation principle for stochastic differential equations driven by semimartingales, with additive controls. Conditions are given in terms of characteristics of driven semimartingales, so that if the noise-control pairs…
We establish a large deviation principle for the trajectories of Wiener processes subject to random resets to the origin occurring according to a Poisson process. In addition to the pathwise large deviation principle, we identify the rate…
The problem of scheduling sensor transmissions for the detection of correlated random fields using spatially deployed sensors is considered. Using the large deviations principle, a closed-form expression for the error exponent of the miss…
We consider a family of continuous processes $\{X^\varepsilon\}_{\varepsilon>0}$ which are measurable with respect to a white noise measure, take values in the space of continuous functions $C([0,1]^d:\mathbb{R})$, and have the Wiener chaos…
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…
We present a dynamical analysis of the transport through small quantum cavities with large openings. The systematic suppression of shot noise is used to distinguish direct, deterministic from indirect, indeterministic transport processes.…
We study large deviation properties of systems of weakly interacting particles modeled by It\^{o} stochastic differential equations (SDEs). It is known under certain conditions that the corresponding sequence of empirical measures…
We propose a computational method for large deviation statistics of time-averaged quantities in general Markov processes. In our proposed method, we repeat a response measurement against external forces, where the forces are determined by…
In this paper, we establish the large deviation principle for 3D stochastic primitive equations with small perturbation multiplicative noise. The proof is mainly based on the weak convergence approach.
We study some linear and nonlinear shot noise models where the jumps are drawn from a compound Poisson process with jump sizes following an Erlang-$m$ distribution. We show that the associated Master equation can be written as a spatial…
In this paper, we study the asymptotic behavior of randomly perturbed path-dependent stochastic differential equations with small parameter $\vartheta_{\varepsilon}$, when $\varepsilon \rightarrow 0$, $\vartheta_\varepsilon$ goes to $0$.…
This work develops a methodology for analyzing large-deviation lower tails associated with geometric functionals computed on a homogeneous Poisson point process. The technique applies to characteristics expressed in terms of stabilizing…
Systems described by equations involving both multiplicative and additive noise are common in nature. Examples include convection of a passive scalar field, polymersin turbulent flow, and noise in dye lasers. In this paper the one component…
Large deviations principle is obtained for terminating multidimensional compound renewal processes. We also obtained the asymptotic of large deviations for the case when a Gibbs change of the original probability measure takes place. The…
In [Schuhmacher, Electron. J. Probab. 10 (2005), 165--201] estimates of the Barbour-Brown distance d_2 between the distribution of a thinned point process and the distribution of a Poisson process were derived by combining discretization…