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2020 Large deviations of empirical measures of diffusions in weighted topologies
Grégoire Ferré, Gabriel Stoltz
Electron. J. Probab. 25(none): 1-52 (2020). DOI: 10.1214/20-EJP514

Abstract

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 Cramér condition in the context of diffusion processes, which turns out to be related to a spectral gap condition for a Witten–Schrödinger 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.

Citation

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Grégoire Ferré. Gabriel Stoltz. "Large deviations of empirical measures of diffusions in weighted topologies." Electron. J. Probab. 25 1 - 52, 2020. https://doi.org/10.1214/20-EJP514

Information

Received: 6 August 2019; Accepted: 26 August 2020; Published: 2020
First available in Project Euclid: 1 October 2020

MathSciNet: MR4161131
Digital Object Identifier: 10.1214/20-EJP514

Subjects:
Primary: 47D08, 60F10, 60J60, 82B31, 82C31

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