Variational representations for continuous time processes

DOI10.1214/10-AIHP382zbMATH Open1231.60018OpenAlexW2024490169MaRDI QIDQ720739FDOQ720739

Authors: Amarjit Budhiraja, Paul Dupuis, Vasileios Maroulas 

Publication date: 11 October 2011

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/242555

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zbMATH Keywords

large deviationsstochastic differential equationsPoisson random measurejump-diffusionsinfinite-dimensional Brownian motionvariational representation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Large deviations (60F10) Random measures (60G57) Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05)

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Cited In (98)

• Large deviation principle for the mean reflected stochastic differential equation with jumps
• Sample path large deviations for the multiplicative Poisson shot noise process with compensation
• Large deviations for multi-scale regime-switching jump diffusion systems
• Moderate deviations for neutral stochastic differential delay equations with jumps
• Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
• Large deviations for a class of semilinear stochastic partial differential equations
• Well-posedness and large deviations for 2D stochastic Navier-Stokes equations with jumps
• Moderate deviation principles for stochastic differential equations with jumps
• Cutoff thermalization for Ornstein-Uhlenbeck systems with small Lévy noise in the Wasserstein distance
• Large deviations for invariant measures of stochastic differential equations with jumps
• Weak martingale solutions for the stochastic nonlinear Schrödinger equation driven by pure jump noise
• 3D tamed Navier-Stokes equations driven by multiplicative Lévy noise: existence, uniqueness and large deviations
• Functional inequalities for marked point processes
• Large deviation principles of 2D stochastic Navier–Stokes equations with Lévy noises
• On large deviations for small noise Itô processes
• A large deviation principle for the stochastic generalized Ginzburg-Landau equation driven by jump noise
• Moderate deviations for stochastic models of two-dimensional second-grade fluids driven by Lévy noise
• Many-server asymptotics for join-the-shortest-queue: large deviations and rare events
• Large deviations for optimal filtering with fractional Brownian motion
• Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales
• Approximations of stochastic 3D tamed Navier-Stokes equations
• Some asymptotic results for nonlinear Hawkes processes
• Large deviation properties of weakly interacting processes via weak convergence methods
• A class of Langevin equations with Markov switching involving strong damping and fast switching
• Well-posedness and large deviations for a class of SPDEs with Lévy noise
• Variational Estimation in Spatiotemporal Systems From Continuous and Point-Process Observations
• Large deviations for multidimensional state-dependent shot-noise processes
• Large deviations for stochastic heat equations with memory driven by Lévy-type noise
• Time to absorption for a heterogeneous neutral competition model
• Large deviations for multi-scale jump-diffusion processes
• Large deviations for the single-server queue and the reneging paradox
• A small time large deviation principle for stochastic differential delay equations
• Moderate deviation principles for weakly interacting particle systems
• Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
• Large deviations for stochastic porous media equation on general measure spaces
• A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms
• A variational representation for positive functionals of infinite dimensional Brownian motion
• Large deviation principle for semilinear stochastic evolution equations with Poisson noise
• Large deviations for a slow-fast system with jump-diffusion processes
• Perturbation analysis of Poisson processes
• Large deviation principles for Langevin equations in random environment and applications
• Large deviations of mean-field stochastic differential equations with jumps
• Large deviation for a 2D Allen-Cahn-Navier-Stokes model under random influences
• Rare event asymptotics for exploration processes for random graphs
• Exit time asymptotics for small noise stochastic delay differential equations
• Large deviation principle for stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise
• Large deviation principle for stochastic Burgers type equation with reflection
• Large deviations for locally monotone stochastic partial differential equations driven by Lévy noise
• Large deviations for neutral functional SDEs with jumps
• Clark-Ocone formula and variational representation for Poisson functionals
• Variational path-integral representations for the density of a diffusion process
• Moderate deviations for recursive stochastic algorithms
• Uniform large deviations for multivalued stochastic differential equations with Poisson jumps
• Large deviation for a 2D Cahn-Hilliard-Navier-Stokes model under random influences
• Large deviations for small noise diffusions in a fast Markovian environment
• A moderate deviation principle for 2-D stochastic Navier-Stokes equations driven by multiplicative Lévy noises
• Asymptotic behavior of the weak approximation to a class of Gaussian processes
• Large deviations for 2-D stochastic Navier-Stokes equations driven by multiplicative \textit{Lévy} noises
• Moderate deviations for neutral functional stochastic differential equations driven by Lévy noises
• Wave-breaking and moderate deviations of the stochastic Camassa-Holm equation with pure jump noise
• Large deviations for 2D primitive equations driven by multiplicative Lévy noises
• The Kramers problem for SDEs driven by small, accelerated Lévy noise with exponentially light jumps
• Large deviations for SPDEs of jump type
• The first passage problem for stable linear delay equations perturbed by power law Lévy noise
• Large deviation principles for a 2D liquid crystal model with jump noise
• Singular SDEs with critical non-local and non-symmetric Lévy type generator
• Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth
• Large deviation principles of obstacle problems for quasilinear stochastic PDEs
• Large and moderate deviations for stochastic Volterra systems
• Well-posedness and large deviations for 2D stochastic constrained Navier-Stokes equations driven by Lévy noise in the Marcus canonical form
• Large Deviations for Stochastic Generalized Porous Media Equations Driven by Lévy Noise
• Uniform large deviations for 2D incompressible magneto-hydrodynamics equations driven by multiplicative noises
• Large deviation principles for a 2D stochastic Allen-Cahn-Navier-Stokes driven by jump noise
• Moderate deviations for two-time scale systems with mixed fractional Brownian motion
• Large Deviations for Additive Functionals of Reflected Jump-Diffusions
• Large deviations for stochastic models of two-dimensional second grade fluids driven by Lévy noise
• Weak and strong well-posedness of critical and supercritical SDEs with singular coefficients
• Large deviation for a 3D globally modified Cahn-Hilliard-Navier-Stokes model under random influences
• Large and moderate deviation principles for path-distribution-dependent stochastic differential equations
• Large deviation principles for SDEs under locally weak monotonicity conditions
• Large deviations for regime-switching diffusions with infinite delay
• Dynamics and Large Deviations for Fractional Stochastic Partial Differential Equations with Lévy Noise
• Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise
• Large deviations for Lévy diffusions in the small noise regime
• Functional large deviations for Kac-Stroock approximation to a class of Gaussian processes with application to small noise diffusions
• Large deviations for stochastic differential equations driven by semimartingales
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• Large deviation principles of nonlinear filtering for McKean-Vlasov stochastic differential equations
• Wong-Zakai approximation for a stochastic 2D Cahn-Hilliard-Navier-Stokes model
• Asymptotics for FBSDES with jumps and connections with partial integral differential equations
• A large deviation principle for nonlinear stochastic wave equation driven by rough noise
• Large deviation principles for a 2D stochastic Cahn–Hilliard–Navier–Stokes driven by jump noise
• Large deviation for slow-fast McKean-Vlasov stochastic differential equations driven by fractional Brownian motions and Brownian motions
• Asymptotic behaviors of small perturbation for multivalued Mckean-Vlasov stochastic differential equations
• Large deviation principle of stochastic evolution equations with reflection
• Variational representations of Varadhan functionals
• Large and moderate deviation principles for McKean-Vlasov SDEs with jumps

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