相关论文: Large Deviation asymptotics for the exit from a do…

In this article, we consider a one-dimensional symmetric exclusion process in weak contact with reservoirs at the boundary. In the diffusive time-scaling the empirical measure evolves according to the heat equation with Robin boundary…

We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small time starting from the well understood context of Large…

In this paper we investigate the statistics of large waiting times (with respect to the total waiting time) for Bernoulli processes. We determine the corresponding rate functions explicitly and prove a large deviations asymptotic. By this…

We consider the problem of simulating diffusion bridges, which are diffusion processes that are conditioned to initialize and terminate at two given states. The simulation of diffusion bridges has applications in diverse scientific fields…

In this paper, we study the asymptotic of exit problem for controlled Markov diffusion processes with random jumps and vanishing diffusion terms, where the random jumps are introduced in order to modify the evolution of the controlled…

We present a general framework for Bayesian estimation of incompletely observed multivariate diffusion processes. Observations are assumed to be discrete in time, noisy and incomplete. We assume the drift and diffusion coefficient depend on…

The random flights are (continuous time) random walkswith finite velocity. Often, these models describe the stochastic motions arising in biology. In this paper we study the large time asymptotic behavior of random flights. We prove the…

The diffusion bridge, which is a diffusion process conditioned on hitting a specific state within a finite period, has found broad applications in various scientific and engineering fields. However, simulating diffusion bridges for modeling…

Large and moderate deviation probabilities play an important role in many applied areas, such as insurance and risk analysis. This paper studies the exact moderate and large deviation asymptotics in non-logarithmic form for linear processes…

We derive a large deviation principle for the empirical currents of lattice gas dynamics which combine a fast stirring mechanism (Symmetric Simple Exclusion Process) and creation/annihilation mechanisms (Glauber dynamics). Previous results…

We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the…

We solve the first-passage problem for the Heston random diffusion model. We obtain exact analytical expressions for the survival and hitting probabilities to a given level of return. We study several asymptotic behaviors and obtain…

We consider the task of generating discrete-time realisations of a nonlinear multivariate diffusion process satisfying an It\^o stochastic differential equation conditional on an observation taken at a fixed future time-point. Such…

For non-Gaussian stochastic dynamical systems, mean exit time and escape probability are important deterministic quantities, which can be obtained from integro-differential (nonlocal) equations. We develop an efficient and convergent…

We consider a model of surface-mediated diffusion with alternating phases of pure bulk and surface diffusion. For this process, we compute the mean exit time from a disk through a hole on the circle. We develop a spectral approach to this…

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…

A telegraph process with an elastic barrier at the origin was studied in [5]; in particular the number of visits of the origin before the absorption is a geometric distributed random variable M. Some asymptotic results (large and moderate…

For diffusion processes in dimension $d>1$, the statistics of trajectory observables over the time-window $[0,T]$ can be studied via the Feynman-Kac deformations of the Fokker-Planck generator, that can be interpreted as euclidean…

We propose threshold diffusion processes as unique solutions to stochastic differential equations with step-function coefficients, and obtain explicit expressions for the conditional Laplace transform of the hitting times and the potential…

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…