Related papers: Large Deviations for Additive Functionals of Refle…
The boundary integral method is extended to derive closed integro-differential equations applicable to computation of the shape and propagation speed of a steadily moving spot and to the analysis of dynamic instabilities in the sharp…
Preferential attachment schemes, where the selection mechanism is linear and possibly time-dependent, are considered, and an infinite-dimensional large deviation principle for the sample path evolution of the empirical degree distribution…
We prove the large deviation principle for the trajectory of a broad class of mean field interacting Markov jump processes via a general analytic approach based on viscosity solutions. Examples include generalized Ehrenfest models as well…
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess…
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…
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices, as well as stochastic volatility and…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
Particle approximations for certain nonlinear and nonlocal reaction-diffusion equations are studied using a system of Brownian motions with killing. The system is described by a collection of i.i.d. Brownian particles where each particle is…
We discuss diffusion properties of a dynamical system, which is characterised by long-tail distributions and finite correlations. The particle velocity has the stable L\'evy distribution; it is assumed as a jumping process (the kangaroo…
We study the large deviation estimates for the short time asymptotic behavior of a strongly degenerate diffusion process. Assuming a nilpotent structure of the Lie algebra generated by the driving vector fields, we obtain a graded large…
We study the large deviations of time-integrated observables of Markov diffusions that have perfectly reflecting boundaries. We discuss how the standard spectral approach to dynamical large deviations must be modified to account for such…
In this paper we consider one-dimensional diffusions with constant coefficients in a finite interval with jump boundary and a certain deterministic jump distribution. We use coupling methods in order to identify the spectral gap in the case…
We study the dispersion of a particle whose motion dynamics can be described by a forced velocity jump process. To investigate large deviations results, we study the Chapman-Kolmogorov equation of this process in the hyperbolic scaling…
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…
This work concerns generalized backward stochastic differential equations, which are coupled with a family of reflecting diffusion processes. First of all, we establish the large deviation principle for forward stochastic differential…
We introduce a simple model of diffusive jump process where a fee is charged for each jump. The nonlinear cost function is such that slow jumps incur a flat fee, while for fast jumps the cost is proportional to the velocity of the jump. The…
A pathwise large deviation result is proved for the pure jump models of $k$-nary interacting particle system introduced by Kolokoltsov that generalize classical Boltzmann's collision model, Smoluchovski's coagulation model and many others.…
We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting…
Understanding anomalous transport and reaction kinetics due to microscopic physical and chemical disorder is a long-standing goal in many fields including geophysics, biology, and engineering. We consider reaction-diffusion characterized by…
In this paper we prove a large deviation principle for the empirical drift of a one-dimensional Brownian motion with self-repellence called the Edwards model. Our results extend earlier work in which a law of large numbers, respectively, a…