Large deviations estimates for some non-local equations: fast decaying kernels and explicit bounds

DOI10.1016/J.NA.2009.04.059zbMATH Open1226.60041arXiv0811.4486OpenAlexW1559945209MaRDI QIDQ732589FDOQ732589

Authors: C. Brändle, E. Chasseigne 

Publication date: 9 October 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Abstract: We study large deviations for some non-local parabolic type equations. We show that, under some assumptions on the non-local term, problems defined in a bounded domain converge with an exponential rate to the solution of the problem defined in the whole space. We compute this rate in different examples, with different kernels defining the non-local term, and it turns out that the estimate of convergence depends strongly on the decay at infinity of that kernel.

Full work available at URL: https://arxiv.org/abs/0811.4486

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zbMATH Keywords

large deviationsnon-local 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) Integro-partial differential equations (35R09) Theoretical approximation in context of PDEs (35A35)

Cites Work

• Asymptotic behavior for nonlocal diffusion equations
• Viscosity Solutions of Hamilton-Jacobi Equations
• On the Dirichlet problem for second-order elliptic integro-differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Large deviations
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• The Dirichlet problem for some nonlocal diffusion equations.
• Second derivatives in convex analysis

Cited In (2)

• Large deviation estimates for some nonlocal equations. General bounds and applications
• Singular Limits for Reaction-Diffusion Equations with Fractional Laplacian and Local or Nonlocal Nonlinearity

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