Large deviation estimates for some nonlocal equations. General bounds and applications (Q2846971)

Large deviation estimates for the following linear parabolic equation are studied: NEWLINE\[NEWLINE \frac{\partial u}{\partial t}=Tr(a(x)D^2u)+b(x)Du+L[u](x), NEWLINE\]NEWLINE where \(L[u]\) is a nonlocal Lévy-type term associated to a Lévy measure \(\mu\).NEWLINENEWLINEAssuming only that some negative exponential integrates with respect to the tail of \(\mu\), it is shown that, given initial data, solutions defined in a bounded domain converge exponentially fast to the solution of the problem defined in the whole space: NEWLINE\[NEWLINE |u-u_R|(x,t)\leq e^{-RI_{\infty}(x/R,t/R)+o(1)R}. NEWLINE\]NEWLINE The exact rate, which depends strongly on the decay of \(\mu\) at infinity, is also estimated.