Nonequilibrium Markov processes conditioned on large deviations (Q496165)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Nonequilibrium Markov processes conditioned on large deviations
scientific article

    Statements

    Nonequilibrium Markov processes conditioned on large deviations (English)
    0 references
    0 references
    0 references
    21 September 2015
    0 references
    The authors give detailed considerations about the problem of conditioning a Markov process on a rare event. This conditioned process is represented by a conditioning free process that is named the effective or driven process. The whole approach is based on the assumption that the rare event (used in the conditioning) is a large deviation-type event with convex rate function. The driven process is constructed via a generalization of Doob's \(h\)-transform and the authors show that it is equivalent to the conditioned process in the long-time limit. The mentioned equivalence is based on the logarithmic equivalence of path measures. The construction of the driven process allows to prove the equivalence with the so-called exponential tilting of the Markov process. It is used with importance sampling to simulate rare events and giving rise to a non-equilibrium version of the canonical ensemble. The whole paper is divided into six sections and five appendices. After the introduction and a justification of the proposed work, the assumed notations and definitions are presented in Section 2. Then Section 3 discusses the properties of a non-conservative process associated with the canonical path measure study. The authors' approach is based on Doob's transform, thus in Section 4 they present a generalization of this transform that is used in Section 5 to define the driven process. The last section shows possible applications of the proposed approach based on the study of Brownian motion, the Ornstein-Uhlenbeck process, and the problem of quasi-stationary distributions. In the appendices, all necessary details needed in the paper are presented.
    0 references
    non-equilibrium Markov processes
    0 references
    conditioned Markov processes
    0 references
    large deviations
    0 references
    Doob's \(h\)-transform
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references