Related papers: Convergence to the asymptotic large deviation limi…
Establishing a Large Deviation Principle (LDP) proves to be a powerful result for a vast number of stochastic models in many application areas of probability theory. The key object of an LDP is the large deviations rate function, from which…
In a vast area of probabilistic limit theorems for dynamical systems with chaotic behaviors always only functional form (exponential, power, etc) of the asymptotic laws and of convergence rates were studied. However, for basically all…
We prove optimal convergence estimates for eigenvalues and eigenvectors of a class of singular/stiff perturbed problems. Our profs are constructive in nature and use (elementary) techniques which are of current interest in computational…
The limit of small entropy production is reached in relaxing systems long after preparation, and in stationary driven systems in the limit of small driving power. Surprisingly, for extended systems this limit is not in general the…
Impropriety testing for complex-valued vector has been considered lately due to potential applications ranging from digital communications to complex media imaging. This paper provides new results for such tests in the asymptotic regime,…
Conformally symplectic systems include mechanical systems with a friction proportional to the velocity. Geometrically, these systems transform a symplectic form into a multiple of itself making the systems dissipative or expanding. In the…
In some estimation problems, especially in applications dealing with information theory, signal processing and biology, theory provides us with additional information allowing us to restrict the parameter space to a finite number of points.…
We establish the Level-1 and Level-3 Large Deviation Principles (LDPs) for invariant measures on shift spaces over finite alphabets under very general decoupling conditions for which the thermodynamic formalism does not apply. Such…
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…
Asymptotics deviation probabilities of the sum S n = X 1 + $\times$ $\times$ $\times$ + X n of independent and identically distributed real-valued random variables have been extensively investigated , in particular when X 1 is not…
This article discusses modelling of the tail of a multivariate distribution function by means of a large deviation principle (LDP), and its application to the estimation of the probability of a multivariate extreme event from a sample of n…
Large deviation results are given for a class of perturbed nonhomogeneous Markov chains on finite state space which formally includes some stochastic optimization algorithms. Specifically, let {P_n} be a sequence of transition matrices on a…
We consider a special class of weak dependent random variables with control on covariances of Lipschitz transformations. This class includes, but is not limited to, positively, negatively associated variables and a few other classes of…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…
The large-deviation method allows to characterize an ergodic counting process in terms of a thermodynamic frame where a free energy function determines the asymptotic non-stationary statistical properties of its fluctuations. Here, we study…
Adaptive dynamical systems arise in a multitude of contexts, e.g., optimization, control, communications, signal processing, and machine learning. A precise characterization of their fundamental limitations is therefore of paramount…
We revisit the problem of condensation for independent, identically distributed random variables with a power-law tail, conditioned by the value of their sum. For large values of the sum, and for a large number of summands, a condensation…
Employing large deviation theory, we explore current fluctuations of underdamped Brownian motion for the paradigmatic example of a single particle in a one dimensional periodic potential. Two different approaches to the large deviation…
We analytically evaluate the large deviation function in a simple model of classical particle transfer between two reservoirs. We illustrate how the asymptotic large time regime is reached starting from a special propagating initial…
These notes are based on the lectures that one of us (HT) gave at the Summer School on the "Theory of Large Deviations and Applications", held in July 2024 at Les Houches in France. They present the basic definitions and mathematical…