Related papers: Sharp large deviations for the drift parameter of …

We show the full large deviation principle for KMS-states and $C^*$-finitely correlated states on a quantum spin chain. We cover general local observables. Our main tool is Ruelle's transfer operator method.

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 prove a sample path Large Deviation Principle (LDP) for a class of jump processes whose rates are not uniformly Lipschitz continuous in phase space. Building on it we further establish the corresponding Wentzell-Freidlin (W-F) (infinite…

In this paper a drift-randomized Milstein method is introduced for the numerical solution of non-autonomous stochastic differential equations with non-differentiable drift coefficient functions. Compared to standard Milstein-type methods we…

In this paper, we establish a large deviation principle for stochastic differential delay equations driven by both Brownian motions and Poisson random measures. The weak convergence method plays an important role.

We consider a stochastic differential equation of the form $dr_t = (a - b r_t) dt + \sigma r_t^\beta dW_t$, where $a$, $b$ and $\sigma$ are positive constants, $\beta\in(\frac12,1)$. We study the estimation of an unknown drift parameter…

In this paper the fractional Cox-Ingersoll-Ross process on $\mathbb{R}_+$ for $H<1/2$ is defined as a square of a pointwise limit of the processes $Y_{\varepsilon}$, satisfying the SDE of the form $d Y_{\varepsilon}(t)=( \frac{k}{…

We investigate a Coulomb gas in a potential satisfying a weaker growth assumption than usual and establish a large deviation principle for its empirical measure. As a consequence the empirical measure is seen to converge towards a…

The large deviations properties of trajectory observables for chaotic non-invertible deterministic maps as studied recently by N. R. Smith, Phys. Rev. E 106, L042202 (2022) and by R. Gutierrez, A. Canella-Ortiz, C. Perez-Espigares,…

The Pearson family of ergodic diffusions with a quadratic diffusion coefficient and a linear force are characterized by explicit dynamics of their integer moments and by explicit relaxation spectral properties towards their steady state.…

Shot noise processes are used in applied probability to model a variety of physical systems in, for example, teletraffic theory, insurance and risk theory and in the engineering sciences. In this work we prove a large deviation principle…

A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It\^{o} stochastic differential equation, and the fast component is a…

We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…

In this paper, we investigate the optimal strong convergence rate of numerical approximations for the Cox--Ingersoll--Ross model driven by fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. To deal with the difficulties caused…

This paper first strictly proved that the growth of the second moment of a large class of Gaussian processes is not greater than power function and the covariance matrix is strictly positive definite. Under these two conditions, the maximum…

A large deviation principle is established for a general class of stochastic flows in the small noise limit. This result is then applied to a Bayesian formulation of an image matching problem, and an approximate maximum likelihood property…

Letting~$N=\left\{N(t), t\geq0\right\}$ be a standard Poisson process, Stroock~ \cite{Stroock-1981} constructed a family of continuous processes by $$\Theta_{\epsilon}(t)=\int_0^t\theta_{\epsilon}(r)dr, \ \ \ \ \ 0 \le t \le 1,$$ where…

Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(\epsilon)^{-1} at which a stochastic process with stationary increments \xi should be sampled, for the sampled process \xi(\lfloor\cdot…

We present here a simple method for computing the large deviation of long time average for stochastic jump processes. We show that the computation of the rate function can be reduced to that of a partial differential equation governing the…

Consider a multidimensional diffusion process $X=\{X\left(t\right) :t\in\lbrack0,1]\}$. Let $\varepsilon>0$ be a \textit{deterministic}, user defined, tolerance error parameter. Under standard regularity conditions on the drift and…