Large deviation properties of the empirical measure of a metastable small noise diffusion

DOI10.1007/S10959-020-01072-3zbMATH Open1487.60058arXiv2002.12722OpenAlexW3127586528MaRDI QIDQ2135201FDOQ2135201

Guo-Jhen Wu, Paul Dupuis

Publication date: 4 May 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: The aim of this paper is to develop tractable large deviation approximations for the empirical measure of a small noise diffusion. The starting point is the Freidlin-Wentzell theory, which shows how to approximate via a large deviation principle the invariant distribution of such a diffusion. The rate function of the invariant measure is formulated in terms of quasipotentials, quantities that measure the difficulty of a transition from the neighborhood of one metastable set to another. The theory provides an intuitive and useful approximation for the invariant measure, and along the way many useful related results (e.g., transition rates between metastable states) are also developed. With the specific goal of design of Monte Carlo schemes in mind, we prove large deviation limits for integrals with respect to the empirical measure, where the process is considered over a time interval whose length grows as the noise decreases to zero. In particular, we show how the first and second moments of these integrals can be expressed in terms of quasipotentials. When the dynamics of the process depend on parameters, these approximations can be used for algorithm design, and applications of this sort will appear elsewhere. The use of a small noise limit is well motivated, since in this limit good sampling of the state space becomes most challenging. The proof exploits a regenerative structure, and a number of new techniques are needed to turn large deviation estimates over a regenerative cycle into estimates for the empirical measure and its moments.

Full work available at URL: https://arxiv.org/abs/2002.12722

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zbMATH Keywords

large deviationsMonte Carlo methodquasipotentialFreidlin-Wentzell theoryempirical measuresmall noise diffusion

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Large deviations (60F10) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Dynamical systems and their relations with probability theory and stochastic processes (37A50)

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Cited In (2)

• Large deviations for small noise diffusions over long time
• Analysis and Optimization of Certain Parallel Monte Carlo Methods in the Low Temperature Limit

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