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

DOI10.1090/S0002-9947-2013-05629-2zbMATH Open1281.47032arXiv0909.1467OpenAlexW2056274211MaRDI QIDQ2846971FDOQ2846971

Authors: C. Brändle, E. Chasseigne 

Publication date: 4 September 2013

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

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 $mu$ 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 $mu$, 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 $mu$ at infinity, is also estimated.

Full work available at URL: https://arxiv.org/abs/0909.1467

Recommendations

• Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds
• A general non-convex large deviation result with applications to stochastic equations
• On large deviations of solutions of nonlinear stochastic equations
• scientific article; zbMATH DE number 4105954
• scientific article; zbMATH DE number 4062258
• Large deviations for a class of stochastic partial differential equations
• Large deviations and transtivity of solutions to nonlinear stochastic partial differential equations
• Large deviation principle of stochastic differential equations with non-Lipschitzian coefficients
• Large Deviations for Nonlinear Ito Type Stochastic Integrodifferential Equations

zbMATH Keywords

large deviationnonlocal diffusionHamilton-Jacobi equation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+operators&go=Go L��vy operators]

Mathematics Subject Classification ID

Large deviations (60F10) Second-order parabolic equations (35K10) Integro-differential operators (47G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Theoretical approximation in context of PDEs (35A35)

Cites Work

• Financial Modelling with Jump Processes
• Asymptotic evaluation of certain markov process expectations for large time, I
• Convex Analysis
• Title not available (Why is that?)
• A PDE approach to some asymptotic problems concerning random differential equations with small noise intensities
• Viscosity solutions of Hamilton-Jacobi equations
• Asymptotic behavior for nonlocal diffusion equations
• Large deviations for stochastic processes.
• Transport equations in biology.
• Regularity theory for fully nonlinear integro-differential equations
• Lévy Processes and Stochastic Calculus
• Title not available (Why is that?)
• Functional Integration and Partial Differential Equations. (AM-109)
• Viscosity Solutions of Hamilton-Jacobi Equations
• Title not available (Why is that?)
• An Extension Problem Related to the Fractional Laplacian
• On a non-local equation arising in population dynamics
• On the Dirichlet problem for second-order elliptic integro-differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Large deviations
• Front propagation in Fisher-KPP equations with fractional diffusion
• Title not available (Why is that?)
• Large deviations
• Applied stochastic control of jump diffusions.
• Viscosity solutions of nonlinear integro-differential equations
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Limit theorems for large deviations and reaction-diffusion equations
• Exit probabilities and optimal stochastic control
• Concentration in Lotka-Volterra parabolic or integral equations: a general convergence result
• Wavefront propagation for reaction-diffusion systems of PDE
• The Dirichlet problem for some nonlocal diffusion equations.
• Unbounded solutions of the nonlocal heat equation
• An approach of deterministic control problems with unbounded data
• Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds
• Title not available (Why is that?)

Cited In (5)

• Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds
• Local large deviations principle for occupation measures of the stochastic damped nonlinear wave equation
• Robust Numerical Methods for Nonlocal (and Local) Equations of Porous Medium Type. Part II: Schemes and Experiments
• Singular limits for models of selection and mutations with heavy-tailed mutation distribution
• Singular Limits for Reaction-Diffusion Equations with Fractional Laplacian and Local or Nonlocal Nonlinearity

This page was built for publication: Large deviation estimates for some nonlocal equations. General bounds and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2846971)