Related papers: Large deviations for multi-scale jump-diffusion pr…

In this paper, we consider an age-structured jump model that arises as a description of continuous time random walks with infinite mean waiting time between jumps. We prove that under a suitable rescaling, this equation converges in the…

Behind the nice unification provided by the notion of the level 2.5 in the field of large deviations for time-averages over a long Markov trajectory, there are nevertheless very important qualitative differences between the meaning of the…

We study the large deviation behaviour of the trajectories of empirical distributions of independent copies of time-homogeneous Feller processes on locally compact metric spaces. Under the condition that we can find a suitable core for the…

In systems which exhibit deterministic diffusion, the gross parameter dependence of the diffusion coefficient can often be understood in terms of random walk models. Provided the decay of correlations is fast enough, one can ignore memory…

In systems of diffusing particles, we investigate large deviations of a time-averaged measure of clustering around one particle. We focus on biased ensembles of trajectories, which realise large-deviation events. The bias acts on a single…

We prove pathwise large deviation principles of slow variables in slow-fast systems in the limit of time-scale separation tending to infinity. In the limit regime we consider, the convergence of the slow variable to its deterministic limit…

The theory of large deviations is concerned with the exponential decay of probabilities of large fluctuations in random systems. These probabilities are important in many fields of study, including statistics, finance, and engineering, as…

We consider oscillatory systems of interacting Hawkes processes introduced in Ditlevsen and Loecherbach (2017) to model multi-class systems of interacting neurons together with the diffusion approximations of their intensity processes. This…

We present an analytic solution of a differential-difference equation that appears when one solves an optimal stopping time problem with state process following a jump-diffusion process. This equation occurs in the context of real options…

The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is investigated. The theory of large deviations for Gaussian processes is extended to the wider class of random processes -- the conditionally…

The purpose of this paper is to ensure the conditions of G\"artner-Ellis Theorem for evaluations of the empirical measure. We show that up-to-date conditions for ensuring the convergence to a quasi-stationary distribution can be applied…

Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…

This paper is concerned with the general theme of relating the Large Deviation Principle (LDP) for the invariant measures of stochastic processes to the associated sample path LDP. It is shown that if the sample path deviation function…

Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of…

We provide sharp Large Deviation estimates for the probability of exit from a domain for the bridge of a $d$-dimensional general diffusion process $X$, as the conditioning time tends to $0$. This kind of results is motivated by applications…

We prove large deviation principles for two versions of fractional Poisson processes. Firstly we consider the main version which is a renewal process; we also present large deviation estimates for the ruin probabilities of an insurance…

We establish a Large Deviations Principle for stochastic processes with Lipschitz continuous oblique reflections on regular domains. The rate functional is given as the value function of a control problem and is proved to be good. The proof…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

We discuss velocity-jump models for chemotaxis of bacteria with an internal state that allows the velocity jump rate to depend on the memory of the chemoattractant concentration along their path of motion. Using probabilistic techniques, we…

We introduce and study a class of particle hopping models consisting of a single box coupled to a pair of reservoirs. Despite being zero-dimensional, in the limit of large particle number and long observation time, the current and activity…