Large deviations for diffusions: Donsker-Varadhan meet Freidlin-Wentzell
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arXiv
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| Format: | Preprint |
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2022
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| _version_ | 1866910765201489920 |
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| author | Bertini, Lorenzo Gabrielli, Davide Landim, Claudio |
| author_facet | Bertini, Lorenzo Gabrielli, Davide Landim, Claudio |
| contents | We consider a diffusion process on $\mathbb R^n$ and prove a large deviation principle for the empirical process in the joint limit in which the time window diverges and the noise vanishes. The corresponding rate function is given by the expectation of the Freidlin-Wentzell functional per unit of time. As an application of this result, we obtain a variational representation of the rate function for the Gallavotti-Cohen observable in the small noise and large time limits. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2211_02593 |
| institution | arXiv |
| publishDate | 2022 |
| record_format | arxiv |
| spellingShingle | Large deviations for diffusions: Donsker-Varadhan meet Freidlin-Wentzell Bertini, Lorenzo Gabrielli, Davide Landim, Claudio Probability Statistical Mechanics 60J60, 60F10, 82C31 We consider a diffusion process on $\mathbb R^n$ and prove a large deviation principle for the empirical process in the joint limit in which the time window diverges and the noise vanishes. The corresponding rate function is given by the expectation of the Freidlin-Wentzell functional per unit of time. As an application of this result, we obtain a variational representation of the rate function for the Gallavotti-Cohen observable in the small noise and large time limits. |
| title | Large deviations for diffusions: Donsker-Varadhan meet Freidlin-Wentzell |
| topic | Probability Statistical Mechanics 60J60, 60F10, 82C31 |
| url | https://arxiv.org/abs/2211.02593 |