Related papers: Large deviations in Taylor dispersion
The link between Tauberian theorems and large deviations is surveyed, with particular reference to regular variation.
This is a brief pedagogical introduction to the theory of large deviations. It appeared in the ICTS Newsletter 2017 (Volume 3, Issue 2), goo.gl/pZWA6X.
Large deviation theory quantifies the occurence of events that deviate from the average behavior of a system. Such events arise from non-typical trajectories of the dynamics. In this note we derive the time evolution of these rare…
We consider two Ito equations that evolve on different time scales. The equations are fully coupled in the sense that all coefficients may depend on both the "slow" and the "fast" processes and the diffusion terms may be correlated. The…
Taylor's law, also known as fluctuation scaling in physics and the power-law variance function in statistics, is an empirical pattern widely observed across fields including ecology, physics, finance, and epidemiology. It states that the…
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 establish a large deviation theorem for the empirical spectral distribution of random covariance matrices whose entries are independent random variables with mean 0, variance 1 and having controlled forth moments. Some new properties of…
The techniques of dispersion relations match very well with those of effective field theory. I describe the techniques for using dispersion relations effectively, and give some pedagogical examples to illustrate the range of applications.
The law of large numbers for the empirical density for the pairs of uniformly distributed integers with a given greatest common divisor is a classic result in number theory. In this paper, we study the large deviations of the empirical…
Large-deviations theory deals with tails of probability distributions and the rare events of random processes, for example spreading packets of particles. Mathematically, it concerns the exponential fall-of of the density of thin-tailed…
The paper that is commented by Touchette contains a computational study which opens the door to a desirable generalization of the standard large deviation theory (applicable to a set of $N$ nearly independent random variables) to systems…
The theory of large deviations has been applied successfully in the last 30 years or so to study the properties of equilibrium systems and to put the foundations of equilibrium statistical mechanics on a clearer and more rigorous footing. A…
We use a stochastic approach to show how Taylor dispersion is affected by kinetic processes of adsorption and desorption onto surfaces. A general theory is developed, from which we derive explicitly the dispersion coefficients of canonical…
We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…
We consider a multinomial distribution, where the number of cells increases and the cell-probabilities decreases as the number of observations grows. The probabilities of large deviations of statistics, which has form of a sum of Borel…
The dispersion of a diffusive scalar in a fluid flowing through a network has many applications including to biological flows, porous media, water supply and urban pollution. Motivated by this, we develop a large-deviation theory that…
Based on the probability distribution observed in complex systems and an assumption that the probability distributions of complex systems satisfy a new generalized multiplication, it is proved that the statistical theory of complex systems…
The theory of large deviations deals with the probabilities of rare events (or fluctuations) that are exponentially small as a function of some parameter, e.g., the number of random components of a system, the time over which a stochastic…
Large deviation principles are established for the two-parameter Poisson-Dirichlet distribution and two-parameter Dirichlet process when parameter $\theta$ approaches infinity. The motivation for these results is to understand the…
A basic result of large deviations theory is Sanov's theorem, which states that the sequence of empirical measures of independent and identically distributed samples satisfies the large deviation principle with rate function given by…