Bazhba, M., Blanchet, J., Laeven, R. J., & Zwart, B. (2022). Large deviations asymptotics for unbounded additive functionals of diffusion processes. ArXiv. /abs/2202.10799
Abstract
We study large deviations asymptotics for a class of unbounded additive functionals, interpreted as normalized accumulated areas, of one-dimensional Langevin diffusions with sub-linear gradient drifts. Our results provide parametric insights on the speed and the rate functions in terms of the growth rate of the drift and the growth rate of the additive functional. We find a critical value in terms of these growth parameters that dictates regions of sub-linear speed for our large deviations asymptotics. Our approach is based upon various constructions of independent interest, including a decomposition of the diffusion process in terms of alternating renewal cycles and a detailed analysis of the paths during a cycle using suitable time and spatial scales. The key to the sub-linear behavior is a heavy-tailed large deviations phenomenon arising from the principle of a single big jump coupled with the result that at each regeneration cycle the upper-tail asymptotic behavior of the accumulated area of the diffusion process is proven to be semi-exponential (i.e., of heavy-tailed Weibull type).
Authors
Mihail Bazhba, Jose Blanchet, Roger JA Laeven, Bert Zwart
Publication date
2022/2/22
Journal
arXiv preprint arXiv:2202.10799
