Large deviations for squared radial Ornstein–Uhlenbeck processes
نویسندگان
چکیده
منابع مشابه
Large Deviations for Stochastic Processes
The purpose of these lectures is to introduce you to the basics of large deviation theory. The emphasis will be on the use of compactness ideas (more extensive results are in Puhalskii [13]). Other approaches to large deviation theory are considered in Dembo and Zeitouni [3], den Hollander [4], Deuschel and Stroock [6], Dupuis and Ellis [7], Freidlin and Wentzell [9], Kallenberg [12], Shwartz a...
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Let X(δ) be a Wishart process of dimension δ, with values in the set of positive matrices of size m. We are interested in the large deviations for a family of matrix-valued processes {δ−1X t , t ≤ 1} as δ tends to infinity. The process X(δ) is a solution of a stochastic differential equation with a degenerate diffusion coefficient. Our approach is based upon the introduction of exponential mart...
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The notes are devoted to results on large deviations for sequences of Markov processes following closely the book by Feng and Kurtz ([FK06]). We outline how convergence of Fleming’s nonlinear semigroups (logarithmically transformed nonlinear semigroups) implies large deviation principles analogous to the use of convergence of linear semigroups in weak convergence. The latter method is based on ...
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The theory of large deviations deals with the estimation of small probabilities, particularly those that are exponentially small in some natural parameter. The general goal is to identify the constant in the exponent that dictates the exponential rate of decay. In many situations the constant can be “explicitly” calculated and turns out often to be characterized by a variational formula. It is ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2002
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(02)00156-4