We prove a large deviation principle for empirical measures

We prove a large deviation principle for empirical measures

We prove a large deviation principle for empirical measures

where W is a standard Brownian motion, t ∈ [0, T), T ∈ (0,∞), and the constant α > 1/2. Let P α denote the probability distribution of the solution {X t , t ∈ [0, T)} of (1). The α-Brownian bridge is first used to study the arbitrage profit associatedwith a given future contract in the absence of transaction costs by Brennan and Schwartz [1]. α-Brownian bridge is a time inhomogeneous diffusion ...

An approach to the Shannon and Rényi entropy maximization problems with constraints on the mean and law invariant deviation measure for a random variable has been developed. The approach is based on the representation of law invariant deviation measures through corresponding convex compact sets of nonnegative concave functions. A solution to the problem has been shown to have an alpha-concave d...

We study collective choice via an endogenous agenda setting process. At each stage, a status quo is implemented unless it is replaced by a majority (winning coalition) with a new status quo outcome. The process continues until the prevailing status quo is no longer challenged. We impose a one-time deviation restriction on the feasible policy processes, reflecting farsightedness of voters. The k...

We discuss the Donsker-Varadhan theory of large deviations in the framework of Hamiltonian systems thermostated by a Gaussian stochastic coupling. We derive a general formula for the Donsker-Varadhan large deviation functional for dynamics which satisfy natural properties under time reversal. Next, we discuss the characterization of the stationary states as the solution of a variational princip...