Large Deviations for Brownian Intersection Measures

TL;DR

This paper establishes a large deviation principle for the intersection measure of multiple Brownian motions in rac{d}{d} space, providing a rigorous asymptotic analysis of their intersection local times as time tends to infinity.

Contribution

It derives an explicit large deviation principle for normalized intersection measures of Brownian motions, extending previous asymptotic results and applying classical principles to this context.

Findings

Explicit rate function for large deviations of intersection measures

Extension of large deviation principles to conditioned Brownian motions

Rigorous interpretation of intersection measure as a product of densities

Abstract

We consider $p$ independent Brownian motions in $\R^d$. We assume that $p\geq 2$ and $p(d-2)<d$. Let $\ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $\R^d$ that assigns to any measurable set $A\subset \R^d$ the amount of intersection local time of the motions spent in $A$ by time $t$. Earlier results of Chen \cite{Ch09} derived the logarithmic asymptotics of the upper tails of the total mass $\ell_t(\R^d)$ as $t\to\infty$. In this paper, we derive a large-deviation principle for the normalised intersection measure $t^{-p}\ell_t$ on the set of positive measures on some open bounded set $B\subset\R^d$ as $t\to\infty$ before exiting $B$. The rate function is explicit and gives some rigorous meaning, in this asymptotic regime, to the understanding that the intersection measure is the pointwise product of the densities of the normalised occupation times measures of the $p$ motions. Our proof makes the classical Donsker-Varadhan principle for the latter applicable to the intersection measure. A second version of our principle is proved for the motions observed until the individual exit times from $B$, conditional on a large total mass in some compact set $U\subset B$. This extends earlier studies on the intersection measure by K\"onig and M\"orters \cite{KM01,KM05}.