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Has files: Yes × Subject: Markov processes ×

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    Large deviations of reaction fluxes
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2018) Patterson, Robert I.A.; Renger, D.R. Michiel
    We study a system of interacting particles that randomly react to form new particles. The reaction flux is the rescaled number of reactions that take place in a time interval. We prove a dynamic large-deviation principle for the reaction fluxes under general assumptions that include mass-action kinetics. This result immediately implies the dynamic large deviations for the empirical concentration.
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    Dynamical large deviations of countable reaction networks under a weak reversibility condition
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2016) Patterson, Robert I.A.; Renger, D.R. Michiel
    A dynamic large deviations principle for a countable reaction network including coagulation-fragmentation models is proved. The rate function is represented as the infimal cost of the reaction fluxes and a minimiser for this variational problem is shown to exist. A weak reversibility condition is used to control the boundary behaviour and to guarantee a representation for the optimal fluxes via a Lagrange multiplier that can be used to construct the changes of measure used in standard tilting arguments. Reflecting the pure jump nature of the approximating processes, their paths are treated as elements of a BV function space.
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    Metastability : a potential theoretic approach
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2005) Bovier, Anton
    Metastability is an ubiquitous phenomenon of the dynamical behaviour of complex systems. In this talk, I describe recent attempts towards a model-independent approach to metastability in the context of reversible Markov processes. I will present an outline of a general theory, based on careful use of potential theoretic ideas and indicate a number of concrete examples where this theory was used very successfully. I will also indicate some challenges for future work.
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    Unified signature cumulants and generalized Magnus expansions
    (Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2021) Friz, Peter; Hager, Paul; Tapia, Nikolas
    The signature of a path can be described as its full non-commutative exponential. Following T. Lyons we regard its expectation, the expected signature, as path space analogue of the classical moment generating function. The logarithm thereof, taken in the tensor algebra, defines the signature cumulant. We establish a universal functional relation in a general semimartingale context. Our work exhibits the importance of Magnus expansions in the algorithmic problem of computing expected signature cumulants, and further offers a far-reaching generalization of recent results on characteristic exponents dubbed diamond and cumulant expansions; with motivation ranging from financial mathematics to statistical physics. From an affine process perspective, the functional relation may be interpreted as infinite-dimensional, non-commutative (``Hausdorff") variation of Riccati's equation. Many examples are given.