Related papers: On Sharp Large Deviations for the bridge of a gene…
We obtain large deviation results for a two time-scale model of jump-diffusion processes. The processes on the two time scales are fully inter-dependent, the slow process has small perturbative noise and the fast process is ergodic. Our…
This note presents sharp inequalities for deviation probability of a general quadratic form of a random vector \(\xiv\) with finite exponential moments. The obtained deviation bounds are similar to the case of a Gaussian random vector. The…
In this article we consider the estimation of static parameters for partially observed diffusion processes with discrete-time observations over a fixed time interval. In particular, when one only has access to time-discretized solutions of…
In a recent article, Krapivsky and Redner (J. Stat. Mech. 093208 (2018)) established that the distribution of the first hitting times for a diffusing particle subject to hitting an absorber is independent of the direction of the external…
We prove a full large deviations principle in large time, for a diffusion process with random drift V, which is a centered Gaussian shear flow random field. The large deviations principle is established in a ``quenched'' setting, i.e. is…
For a diffusion process $X(t)$ of drift $\mu(x)$ and of diffusion coefficient $D=1/2$, we study the joint distribution of the two local times $A(t)= \int_{0}^{t} d\tau \delta(X(\tau)) $ and $B(t)= \int_{0}^{t} d\tau \delta(X(\tau)-L) $ at…
In this paper we outline methodology to efficiently simulate (jump) diffusion bridge sample paths without discretisation error. We achieve this by considering the simulation of conditioned (jump) diffusion bridge sample paths in light of…
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift and diffusion coefficients, extending and substantially…
We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…
We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive cases. Notwithstanding of this trichotomy, we investigate…
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the…
We study the probability distribution of a current flowing through a diffusive system connected to a pair of reservoirs at its two ends. Sufficient conditions for the occurrence of a host of possible phase transitions both in and out of…
In this article, we consider a one-dimensional symmetric exclusion process in weak contact with reservoirs at the boundary. In the diffusive time-scaling the empirical measure evolves according to the heat equation with Robin boundary…
We study the large deviations of one-dimensional excited random walks. We prove a large deviation principle for both the hitting times and the position of the random walk and give a qualitative description of the respective rate functions.…
This paper aims to derive accurate asymptotic estimates for the exit time probabilities of scalar Ornstein-Uhlenbeck (OU) bridges. The exit time probabilities are expressed as an asymptotic series in powers of a small parameter that…
We consider a Brownian motion with linear drift that splits at fixed time points into a fixed number of branches, which may depend on the branching point. For this process, which we shall refer to as the Brownian decision tree, we…
Dissipative effects on the nonadiabatic transition for the two and three level systems are studied. When the system is affected by a strong dissipation through the diabatic states, the exact transition probability is enumerated making use…
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability $F(g)$ of a general time-inhomogeneous diffusion process to perturbations of the boundary $g$. We prove that, for boundaries $g\in C^2,$ this…
This paper addresses the nonparametric estimation of the drift function over a compact domain for a time-homogeneous diffusion process, based on high-frequency discrete observations from $N$ independent trajectories. We propose a neural…