Search results for "Large deviations theory"
showing 10 items of 11 documents
Large deviations results for subexponential tails, with applications to insurance risk
1996
AbstractConsider a random walk or Lévy process {St} and let τ(u) = inf {t⩾0 : St > u}, P(u)(·) = P(· | τ(u) < ∞). Assuming that the upwards jumps are heavy-tailed, say subexponential (e.g. Pareto, Weibull or lognormal), the asymptotic form of the P(u)-distribution of the process {St} up to time τ(u) is described as u → ∞. Essentially, the results confirm the folklore that level crossing occurs as result of one big jump. Particular sharp conclusions are obtained for downwards skip-free processes like the classical compound Poisson insurance risk process where the formulation is in terms of total variation convergence. The ideas of the proof involve excursions and path decompositions for Mark…
Forecasting the pulse
2013
Purpose – The steady increase of data on human behavior collected online holds significant research potential for social scientists. The purpose of this paper is to add a systematic discussion of different online services, their data generating processes, the offline phenomena connected to these data, and by demonstrating, in a proof of concept, a new approach for the detection of extraordinary offline phenomena by the analysis of online data. Design/methodology/approach – To detect traces of extraordinary offline phenomena in online data, the paper determines the normal state of the respective communication environment by measuring the regular dynamics of specific variables in data documen…
Large systems of path-repellent Brownian motions in a trap at positive temperature
2006
We study a model of $ N $ mutually repellent Brownian motions under confinement to stay in some bounded region of space. Our model is defined in terms of a transformed path measure under a trap Hamiltonian, which prevents the motions from escaping to infinity, and a pair-interaction Hamiltonian, which imposes a repellency of the $N$ paths. In fact, this interaction is an $N$-dependent regularisation of the Brownian intersection local times, an object which is of independent interest in the theory of stochastic processes. The time horizon (interpreted as the inverse temperature) is kept fixed. We analyse the model for diverging number of Brownian motions in terms of a large deviation princip…
CPasymmetries inBsdecays and spontaneousCPviolation
1999
We study the possible effects of new physics in $\mathrm{CP}$ asymmetries in two-body ${B}_{s}$ decays in left-right models with spontaneous $\mathrm{CP}$ violation. Considering the contributions of new $\mathrm{CP}$ phases to the ${B}_{s}$ mixing as well as to the penguin-dominated decay amplitudes we show that, with the present constraints, large deviations from the standard model predictions in $\mathrm{CP}$ asymmetries are allowed in both cases. The detection of new physics can be achieved by measuring nonzero asymmetries which are predicted to vanish in the standard model or by comparing two measurements which are predicted to be equal in the standard model. In particular, we show that…
Varadhan estimates without probability: lower bound
2007
We translate in semi-group theory our proof of Varadhan estimates for subelliptic Laplacians which was using the theory of large deviations of Wentzel-Freidlin and the Malliavin Calculus of Bismut type.
Modification of the Bloch law in ferromagnetic nanostructures
2014
The temperature dependence of magnetization in ferromagnetic nanostructures (e.g., nanoparticles or nanoclusters) is usually analyzed by means of an empirical extension of the Bloch law sufficiently flexible for a good fitting to the observed data and indicates a strong softening of magnetic coupling compared to the bulk material. We analytically derive a microscopic generalization of the Bloch law for the Heisenberg spin model which takes into account the effects of size, shape and various surface boundary conditions. The result establishes explicit connection to the microscopic parameters and differs significantly from the existing description. In particular, we show with a specific examp…
Analysis of random walks on a hexagonal lattice
2019
We consider a discrete-time random walk on the nodes of an unbounded hexagonal lattice. We determine the probability generating functions, the transition probabilities and the relevant moments. The convergence of the stochastic process to a 2-dimensional Brownian motion is also discussed. Furthermore, we obtain some results on its asymptotic behavior making use of large deviation theory. Finally, we investigate the first-passage-time problem of the random walk through a vertical straight-line. Under suitable symmetry assumptions we are able to determine the first-passage-time probabilities in a closed form, which deserve interest in applied fields.
A PHASE TRANSITION FOR LARGE VALUES OF BIFURCATING AUTOREGRESSIVE MODELS
2019
We describe the asymptotic behavior of the number $$Z_n[a_n,\infty )$$ of individuals with a large value in a stable bifurcating autoregressive process, where $$a_n\rightarrow \infty $$ . The study of the associated first moment is equivalent to the annealed large deviation problem of an autoregressive process in a random environment. The trajectorial behavior of $$Z_n[a_n,\infty )$$ is obtained by the study of the ancestral paths corresponding to the large deviation event together with the environment of the process. This study of large deviations of autoregressive processes in random environment is of independent interest and achieved first. The estimates for bifurcating autoregressive pr…
Energy-independent new physics in the flavour ratios of high-energy astrophysical neutrinos
2010
We have studied the consequences of breaking the CPT symmetry in the neutrino sector, using the expected high-energy neutrino flux from distant cosmological sources such as active galaxies. For this purpose we have assumed three different hypotheses for the neutrino production model, characterised by the flavour fluxes at production phi(0)(e) : phi(0)(mu) : phi(0)(tau) = 1 : 2 : 0, 0 : 1 : 0, and 1 : 0 : 0, and studied the theoretical and experimental expectations for the muon-neutrino flux at Earth, phi(mu), and for the flavour ratios at Earth, R = phi(mu)/phi(e) and S = phi(tau)/phi(mu). CPT violation (CPTV) has been implemented by adding an energy-independent term to the standard neutrin…
Random time-changes and asymptotic results for a class of continuous-time Markov chains on integers with alternating rates
2021
We consider continuous-time Markov chains on integers which allow transitions to adjacent states only, with alternating rates. We give explicit formulas for probability generating functions, and also for means, variances and state probabilities of the random variables of the process. Moreover we study independent random time-changes with the inverse of the stable subordinator, the stable subordinator and the tempered stable subodinator. We also present some asymptotic results in the fashion of large deviations. These results give some generalizations of those presented in Di Crescenzo A., Macci C., Martinucci B. (2014).