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| Main Author: | |
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| Format: | Preprint |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2402.16992 |
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Table of Contents:
- We study large deviations for the time average of the Ornstein-Uhlenbeck process raised to an arbitrary power. We prove that beyond a critical value, large deviations are subexponential in time, with a non-convex rate function whose main coefficient is given by the solution to a Hamilton-Jacobi problem. Although a similar problem was addressed in a recent work, the originality of the paper is to provide a short, self-contained proof of this result through a couple of standard large deviations arguments.