Large deviation estimates for some nonlocal equations. General bounds and applications
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Publication:2846971
Abstract: Large deviation estimates for the following linear parabolic equation are studied: [ frac{partial u}{partial t}= rBig(a(x)D^2uBig) + b(x)cdot D u + int_{R^N} Big{(u(x+y)-u(x)-(D u(x)cdot y)ind{|y|<1}(y)Big}dmu(y), ] where is a L'evy measure (which may be singular at the origin). Assuming only that some negative exponential integrates with respect to the tail of , it is shown that given an initial data, solutions defined in a bounded domain converge exponentially fast to the solution of the problem defined in the whole space. The exact rate, which depends strongly on the decay of at infinity, is also estimated.
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