Related papers: Heavy tailed large deviations for time averages of…
Consider a branching system with particles moving according to an Ornstein-Uhlenbeck process with drift $\mu>0$ and branching according to a law in the domain of attraction of the $(1+\beta)$-stable distribution. The mean of the branching…
We study the algorithmic problem of estimating the mean of heavy-tailed random vector in $\mathbb{R}^d$, given $n$ i.i.d. samples. The goal is to design an efficient estimator that attains the optimal sub-gaussian error bound, only assuming…
Active Ornstein-Uhlenbeck particles (AOUPs) are overdamped particles in an interaction potential subject to external Ornstein-Uhlenbeck noises. They can be transformed into a system of underdamped particles under additional velocity…
We study large deviations, over a long time window $T \to \infty$, of the dynamical observables $A_n = \int_{0}^{T} x^n(t) dt$, $n=3,4,\dots$, where $x(t)$ is a centered stationary Gaussian process in continuous time. We show that, for…
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…
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…
It is well-known that large deviations of random walks driven by independent and identically distributed heavy-tailed random variables are governed by the so-called principle of one large jump. We note that further subtleties hold for such…
Standard statistical analysis is unable to provide reliable confidence intervals on expectation values of probability distributions that do not satisfy the conditions of the central limit theorem. We present a regression-based estimator of…
In the context of non-equilibrium statistical physics, the entropy production rate is an important concept to describe how far a specific state of a system is from its equilibrium state. In this paper, we establish a central limit theorem…
We establish subgeometric bounds on convergence rate of general Markov processes in the Wasserstein metric. In the discrete time setting we prove that the Lyapunov drift condition and the existence of a "good" $d$-small set imply…
We prove a functional limit theorem for vector-valued functionals of the fractional Ornstein-Uhlenbeck process, providing the foundation for the fluctuation theory of slow/fast systems driven by such a noise. Our main contribution is on the…
Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60's, going back to Nagaev's seminal work. Many extensions in the…
In this paper we consider a semiclassical version of the wave equations with singular H\"{o}lder time-dependent propagation speeds on the lattice $\hbar\mathbb{Z}^{n}$. We allow the propagation speed to vanish leading to the weakly…
The standard Large Deviation Theory (LDT) is mathematically illustrated by the Boltzmann-Gibbs factor which describes the thermal equilibrium of short-range-interacting many-body Hamiltonian systems, the velocity distribution of which is…
We use asymptotic methods from the theory of differential equations to obtain an analytical expression for the survival probability of an Ornstein-Uhlenbeck process with a potential defined over a broad domain. We form a uniformly…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
Based on a version of Dudley's Wiener process on the mass shell in the momentum Minkowski space of a massive point particle, a model of a relativistic Ornstein--Uhlenbeck process is constructed by addition of a specific drift term. The…
In this paper, we study the classical problem of the first passage hitting density of an Ornstein--Uhlenbeck process. We give two complementary (forward and backward) formulations of this problem and provide semi-analytical solutions for…
The $d$-dimensional Ornstein--Uhlenbeck process (OUP) describes the trajectory of a particle in a $d$-dimensional, spherically symmetric, quadratic potential. The OUP is composed of a drift term weighted by a constant $\theta \geq 0$ and a…
We consider the Graph Ornstein-Uhlenbeck (GrOU) process observed on a non-uniform discrete time grid and introduce discretised maximum likelihood estimators with parameters specific to the whole graph or specific to each component, or node.…