Large deviations of empirical measures of diffusions in weighted topologies

被引:3
|
作者
Ferre, Gregoire [1 ]
Stoltz, Gabriel [1 ]
机构
[1] Univ Paris Est, INRIA, CERMICS ENPC, F-77455 Marne La Vallee, France
来源
基金
欧洲研究理事会;
关键词
large deviations; empirical measures; diffusion processes; Feynman-Kac; Lyapunov function; MARKOV PROCESS EXPECTATIONS; ASYMPTOTIC EVALUATION; VARIANCE REDUCTION; CONCENTRATION INEQUALITIES; RANDOM PERTURBATIONS; LANGEVIN DYNAMICS; OPERATORS; CONVERGENCE; THEOREM; INFORMATION;
D O I
10.1214/20-EJP514
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the standard Cramer condition in the context of diffusion processes, which turns out to be related to a spectral gap condition for a Witten-Schrodinger operator. Secondly, we study more precisely the properties of the Donsker-Varadhan rate functional associated with the LDP. We revisit and generalize some standard duality results as well as a more original decomposition of the rate functional with respect to the symmetric and antisymmetric parts of the dynamics. Finally, we apply our results to overdamped and underdamped Langevin dynamics, showing the applicability of our framework for degenerate diffusions in unbounded configuration spaces.
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页码:1 / 52
页数:52
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