Large deviations for flows of interacting Brownian motions
A.A.Dorogovtsev, O.V.Ostapenko
TL;DR
This paper proves a large deviation principle for various types of stochastic flows of interacting Brownian motions, including correlated, coalescing, and stopped flows, providing a comprehensive theoretical framework.
Contribution
It introduces the first unified large deviation analysis for different classes of interacting Brownian motion flows.
Findings
Established LDP for smoothly correlated flows
Proved LDP for coalescing flows of Brownian motions
Analyzed stopped Brownian motion at hitting times
Abstract
We establish the large deviation principle (LDP) for stochastic flows of interacting Brownian motions. In particular, we consider smoothly correlated flows, coalescing flows and Brownian motion stopped at a hitting moment.
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Taxonomy
TopicsStochastic processes and financial applications · Stochastic processes and statistical mechanics · Complex Systems and Time Series Analysis