Large deviations for stochastic processes.

zbMATH Open1113.60002MaRDI QIDQ3409967FDOQ3409967

Authors: Jin Feng, Thomas G. Kurtz 

Publication date: 21 November 2006

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zbMATH Keywords

martingalesstochastic processeslarge deviationMarkov processessemigroupsFreidlin-Wentzell theoryrandom evolutions

Mathematics Subject Classification ID

Large deviations (60F10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Discrete-time Markov processes on general state spaces (60J05) Continuous-time Markov processes on general state spaces (60J25) Semigroups of nonlinear operators (47H20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35)

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• An elementary derivation of the large deviation rate function for finite state Markov chains
• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• Dean-Kawasaki dynamics: ill-posedness vs. triviality
• Large deviations of time-averaged statistics for Gaussian processes
• The law of the iterated logarithm for solutions of stochastic differential equations with random coefficients
• Equivalences and counterexamples between several definitions of the uniform large deviations principle
• Steering the distribution of agents in mean-field games system
• Deriving GENERIC from a generalized fluctuation symmetry
• Metastability for systems of interacting neurons
• Large deviations principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
• Is the Boltzmann equation reversible? A large deviation perspective on the irreversibility paradox
• Large deviations for geodesic random walks
• Large deviations analysis for distributed algorithms in an ergodic Markovian environment
• Large deviation principle for epidemic models
• Metastability in a continuous mean-field model at low temperature and strong interaction
• Large deviation estimates involving deformed exponential functions
• Curl flux induced drift in stochastic differential equations in the zero-mass limit
• Stochastic dynamics for adaptation and evolution of microorganisms
• Stochastic switching in biology: from genotype to phenotype
• Unhedgeable shocks and statistical economic equilibrium
• Approximating a diffusion by a finite-state hidden Markov model
• Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times
• On exact large deviation principles for compound renewal processes
• Path-space moderate deviation principles for the random field Curie-Weiss model
• Dynamical moderate deviations for the Curie-Weiss model
• Storage impulsive processes on increasing time intervals
• Value functions in the Wasserstein spaces: finite time horizons
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Microscopic derivations of several Hamilton-Jacobi equations in infinite dimensions, and large deviation of stochastic systems
• On large deviation principles for compound renewal processes
• Spatial asymptotics at infinity for heat kernels of integro-differential operators
• Stochastic limit-cycle oscillations of a nonlinear system under random perturbations
• A general convergence result for viscosity solutions of Hamilton-Jacobi equations and non-linear semigroups
• Semigroups of max-plus linear operators
• Variational approach to coarse-graining of generalized gradient flows
• Large deviations of Markov chains with multiple time-scales
• The dynamics of the stochastic shadow Gierer-Meinhardt system
• Landau theory for finite-time dynamical phase transitions
• On the existence conditions for exact large deviation principles
• Large deviations for Brownian particle systems with killing
• A law of large numbers for interacting diffusions via a mild formulation
• A PDE approach to large deviations in Hilbert spaces
• Large deviations for infectious diseases models
• Large deviations of the greedy independent set algorithm on sparse random graphs
• Symmetries and zero modes in sample path large deviations
• On the large deviation principle for the almost sure CLT.
• Large deviations for random evolutions with independent increments in a scheme of the Lévy approximation
• Well-posedness of Hamilton-Jacobi equations in population dynamics and applications to large deviations
• Large Deviations for Random Evolutions in the Scheme of Asymptotically Small Diffusion
• Asymptotic behavior of the weak approximation to a class of Gaussian processes
• Asymptotic analysis for affine point processes with large initial intensity
• Large deviation estimates for some nonlocal equations. General bounds and applications
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• Large deviations for Markov jump processes with uniformly diminishing rates
• On uniform large deviations principle for multi-valued SDEs via the viscosity solution approach
• Anscombe-type theorem and moderate deviations for trajectories of a compound renewal process
• Stochastic hybrid systems in cellular neuroscience
• On limit measures and their supports for stochastic ordinary differential equations
• Theorems on large deviations for a family of stochastic processes converging to a Markov process
• Large deviations under a viewpoint of metric geometry: measure-valued process cases
• Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion
• Minimum energy for linear systems with finite horizon: a non-standard Riccati equation
• Large deviation for diffusions and Hamilton-Jacobi equation in Hilbert spaces
• Large deviations for some fast stochastic volatility models by viscosity methods
• A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions
• Particle approximations of Lyapunov exponents connected to Schrödinger operators and Feynman–Kac semigroups
• Transition density estimates for a class of Lévy and Lévy-type processes
• Large deviation principle for a class of SPDE with locally monotone coefficients
• Small-time asymptotics for fast mean-reverting stochastic volatility models
• Passing to the limit in a Wasserstein gradient flow: from diffusion to reaction
• Freidlin-Wentzell's large deviations for stochastic evolution equations
• Large deviations for infinite dimensional stochastic dynamical systems
• Large deviations for stochastic evolution equations with small multiplicative noise
• Large-time asymptotics for an uncorrelated stochastic volatility model
• Markov additive processes. I: Eigenvalue properties and limit theorems
• Non-equilibrium thermodynamical principles for chemical reactions with mass-action kinetics
• A generalized asymmetric exclusion process with \(U_q(\mathfrak {sl}_2)\) stochastic duality
• Large deviations
• Gibbs-non-Gibbs transitions via large deviations: computable examples
• Large deviations for random evolutions with independent increments in the scheme of the Poisson approximation
• Moderate deviations and Strassen's law for additive processes
• On a class of first order Hamilton-Jacobi equations in metric spaces
• Some asymptotic results for nonlinear Hawkes processes
• Averaging principle of SDE with small diffusion: Moderate deviations
• Quantification of coarse-graining error in Langevin and overdamped Langevin dynamics
• Large deviations and applications for Markovian Hawkes processes with a large initial intensity
• Phase transitions and metastability in Markovian and molecular systems
• Large deviation properties of weakly interacting processes via weak convergence methods
• Asymptotics of negative exponential moments for annealed Brownian motion in a renormalized Poisson potential
• Asymptotics of the Invariant Measure in Mean Field Models with Jumps
• Quadratic and rate-independent limits for a large-deviations functional
• A gradient flow approach to large deviations for diffusion processes
• The behavior of the generator normalization factor in approximation of random processes
• Large deviations for finite state Markov jump processes with mean-field interaction via the comparison principle for an associated Hamilton-Jacobi equation
• On large deviations of coupled diffusions with time scale separation
• Optimal control for a mixed flow of Hamiltonian and gradient type in space of probability measures (with Appendix B by Atanas Stefanov)
• Large deviations for impulsive processes in the scheme of Poisson approximation
• Storage impulsive processes in the merging phase space
• Metastable behavior in Markov processes with internal states

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