Large Deviation Theorem Research Articles

Weak Hölder continuity of Lyapunov exponent for Gevrey quasi-periodic Schrödinger cocycles

We prove the large deviation theorem (LDT) for quasi-periodic dynamically defined Gevrey Schrödinger cocycles with weak Liouville frequency. We show that the associated Lyapunov exponent is log-Hölder continuous, while the frequency satisfies \beta(\omega) = 0 .

On the kinetic temperature of a one-dimensional crystal on the long-time scale

We investigate the dynamics of the kinetic temperature of a finite one-dimensional harmonic chain, the evolution of which is initiated by a thermal shock. We demonstrate that the kinetic temperature returns arbitrarily close to its initial state (the one immediately following the thermal shock) infinitely many times, and we give an estimate for the time elapsed until the recurrence. This assertion is closely related to the Poincare recurrence theorem and we discuss their relation. To estimate the recurrence time we use its averaging along system’s trajectory and provide a rigorous mathematical definition of the mean recurrence time. It turns out that the mean recurrence time exponentially increases with the number of particles in the chain. A connection is established between this problem and the local theorems of large deviations theory.Previous studies have shown that in such a one-dimensional harmonic chain, at times of order N, a thermal echo phenomenon is observed — a sharp increase in the amplitude of kinetic temperature fluctuations. In the present work, we give a rigorous mathematical formulation to this phenomenon and estimate the amplitude of the fluctuations.The research is funded by the Ministry of Science and Higher Education of the Russian Federation within the framework of the Research Center of World-Class Program: Advanced Digital Technologies (agreement №075-15-2020-311 dated 04.20.2022).

A large deviation theorem for a supercritical super-Brownian motion with absorption

AbstractWe consider a one-dimensional superprocess with a supercritical local branching mechanism $\psi$ , where particles move as a Brownian motion with drift $-\rho$ and are killed when they reach the origin. It is known that the process survives with positive probability if and only if $\rho<\sqrt{2\alpha}$ , where $\alpha=-\psi'(0)$ . When $\rho<\sqrt{2 \alpha}$ , Kyprianou et al. [18] proved that $\lim_{t\to \infty}R_t/t =\sqrt{2\alpha}-\rho$ almost surely on the survival set, where $R_t$ is the rightmost position of the support at time t. Motivated by this work, we investigate its large deviation, in other words, the convergence rate of $\mathbb{P}_{\delta_x} (R_t >\gamma t+\theta)$ as $t \to \infty$ , where $\gamma >\sqrt{2 \alpha} -\rho$ , $\theta \ge 0$ . As a by-product, a related Yaglom-type conditional limit theorem is obtained. Analogous results for branching Brownian motion can be found in Harris et al. [13].

Hypotheses Testing in Nonergodic Fractional Ornstein-Uhlenbeck Models

We obtain explicit form of fine large deviation theorems for the log-likelihood ratio in testing models with fractional nonergodic Ornstein-Uhlenbeck processes with Hurst parameter more than half and get explicit rates of decrease of the error probabilities of Neyman-Pearson, Bayes and minimax tests.

Quantitative inductive estimates for Green’s functions of non-self-adjoint matrices

We provide quantitative inductive estimates for Green's functions of matrices with (sub)expoentially decaying off diagonal entries in higher dimensions. Together with Cartan's estimates and discrepancy estimates, we establish explicit bounds for the large deviation theorem for non-self-adjoint Toeplitz operators. As applications, we obtain the modulus of continuity of the integrated density of states with explicit bounds and the pure point spectrum property for analytic quasi-periodic operators. Moreover, our inductions are self-improved and work for perturbations with low complexity interactions.

Limit Theorems for Deviation Means of Independent and Identically Distributed Random Variables

We derive a strong law of large numbers, a central limit theorem, a law of the iterated logarithm and a large deviation theorem for so-called deviation means of independent and identically distributed random variables. (For the strong law of large numbers, we suppose only pairwise independence instead of (total) independence.) The class of deviation means is a special class of M-estimators or more generally extremum estimators, which are well studied in statistics. The assumptions of our limit theorems for deviation means seem to be new and weaker than the known ones for M-estimators in the literature. In particular, our results on the strong law of large numbers and on the central limit theorem generalize the corresponding ones for quasi-arithmetic means due to de Carvalho (Am Stat 70(3):270–274, 2016) and the ones for Bajraktarević means due to Barczy and Burai (Aequ Math 96(2):279–305, 2022).

Spectral theory of the multi-frequency quasi-periodic operator with a Gevrey type perturbation

In this paper we study the multi-frequency quasi-periodic operator with a Gevrey type perturbation. We first establish the large deviation theorem (LDT) for the multi-dimensional operator with a sub-exponential (or Gevrey) long-range hopping, and then prove the pure point spectrum property. Based on the LDT and the Aubry duality, we show the absence of a point spectrum for the 1D exponential long-range operator with a multi-frequency and a Gevrey potential. We also prove the spectrum has positive Lebesgue measure.

Study on Strong Sensitivity of Systems Satisfying the Large Deviations Theorem

Let [Formula: see text] be a nontrivial compact metric space with metric [Formula: see text] and [Formula: see text] be a continuous self-map, [Formula: see text] be the sigma-algebra of Borel subsets of [Formula: see text], and [Formula: see text] be a Borel probability measure on [Formula: see text] with [Formula: see text] for any open subset [Formula: see text] of [Formula: see text]. This paper proves the following results : (1) If the pair [Formula: see text] has the property that for any [Formula: see text], there is [Formula: see text] such that [Formula: see text] for any open subset [Formula: see text] of [Formula: see text] and all [Formula: see text] sufficiently large (where [Formula: see text] is the characteristic function of the set [Formula: see text]), then the following hold : (a) The map [Formula: see text] is topologically ergodic. (b) The upper density [Formula: see text] of [Formula: see text] is positive for any open subset [Formula: see text] of [Formula: see text], where [Formula: see text]. (c) There is a [Formula: see text]-invariant Borel probability measure [Formula: see text] having full support (i.e. [Formula: see text]). (d) Sensitivity of the map [Formula: see text] implies positive lower density sensitivity, hence ergodical sensitivity. (2) If [Formula: see text] for any two nonempty open subsets [Formula: see text], then there exists [Formula: see text] satisfying [Formula: see text] for any nonempty open subset [Formula: see text], where [Formula: see text] there exist [Formula: see text] with [Formula: see text].

Local Limit Theorems for Compound Discrete Distributions

Local limit theorems for compound discrete distributions (a normal theorem and a large deviation theorem) are put forward. Some examples of such distributions, including compound Poisson, compound ...

New proof of continuity of Lyapunov exponents for a class of smooth Schrödinger cocycles with weak Liouville frequencies

We reconsider the continuity of the Lyapunov exponents for a class of smooth Schrodinger cocycles with a C2 cos-type potential and a weak Liouville frequency. We propose a new method to prove that the Lyapunov exponent is continuous in energies. In particular, a large deviation theorem is not needed in the proof.

Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control

We derive new limit theorems for Brownian motion, which can be seen as nonexponential analogues of the large deviation theorems of Sanov and Schilder in their Laplace principle forms. As a first application, we obtain novel scaling limits of backward stochastic differential equations and their related partial differential equations. As a second application, we extend prior results on the small-noise limit of the Schrödinger problem as an optimal transport cost, unifying the control-theoretic and probabilistic approaches initiated respectively by T. Mikami and C. Léonard. Lastly, our results suggest a new scheme for the computation of mean field optimal control problems, distinct from the conventional particle approximation. A key ingredient in our analysis is an extension of the classical variational formula (often attributed to Borell or Boué–Dupuis) for the Laplace transform of Wiener measure.

Large deviation theorems for dirichlet determinants of analytic quasi-periodic jacobi operators with Brjuno-Rüssmann frequency

In this paper, we first study the strong Birkhoff Ergodic Theorem for subharmonic functions with the Brjuno-Russmann shift on the Torus. Then, we apply it to prove the large deviation theorems for the finite scale Dirichlet determinants of quasi-periodic analytic Jacobi operators with this frequency. It shows that the Brjuno-Russmann function, which reflects the irrationality of the frequency, plays the key role in these theorems via the smallest deviation. At last, as an application, we obtain a distribution of the eigenvalues of the Jacobi operators with Dirichlet boundary conditions, which also depends on the smallest deviation, essentially on the irrationality of the frequency.

Large Deviation Theorem for Branches of the Random Binary Tree in the Horton--Strahler Analysis

The Horton-Strahler analysis is a graph-theoretic method to measure the bifurcation complexity of branching patterns, by defining a number called the order to each branch. The main result of this paper is a large deviation theorem for the number of branches of each order in a random binary tree. The rate function associated with a large deviation cannot be derived in a closed form; instead, asymptotic forms of the rate function are given.

The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

We consider a $p$-dimensional time series where the dimension $p$ increases with the sample size $n$. The resulting data matrix $X$ follows a stochastic volatility model: each entry consists of a positive random volatility term multiplied by an independent noise term. The volatility multipliers introduce dependence in each row and across the rows. We study the asymptotic behavior of the eigenvalues and eigenvectors of the sample covariance matrix $XX'$ under a regular variation assumption on the noise. In particular, we prove Poisson convergence for the point process of the centered and normalized eigenvalues and derive limit theory for functionals acting on them, such as the trace. We prove related results for stochastic volatility models with additional linear dependence structure and for stochastic volatility models where the time-varying volatility terms are extinguished with high probability when $n$ increases. We provide explicit approximations of the eigenvectors which are of a strikingly simple structure. The main tools for proving these results are large deviation theorems for heavy-tailed time series, advocating a unified approach to the study of the eigenstructure of heavy-tailed random matrices.

Rough flows

We introduce in this work a concept of rough driver that somehow provides a rough path-like analogue of an enriched object associated with time-dependent vector fields. We use the machinery of approximate flows to build the integration theory of rough drivers and prove well-posedness results for rough differential equations on flows and continuity of the solution flow as a function of the generating rough driver. We show that the theory of semimartingale stochastic flows developed in the 80's and early 90's fits nicely in this framework, and obtain as a consequence some strong approximation results for general semimartingale flows and provide a fresh look at large deviation theorems for ‘Gaussian’ stochastic flows.

Positive Lyapunov exponents and a Large Deviation Theorem for continuum Anderson models, briefly

In this short note, we prove positivity of the Lyapunov exponent for 1D continuum Anderson models by leveraging some classical tools from inverse spectral theory. The argument is much simpler than the existing proof due to Damanik–Sims–Stolz, and it covers a wider variety of random models. Along the way we note that a Large Deviation Theorem holds uniformly on compacts.

Sum rules and large deviations for spectral matrix measures

In the paradigm of random matrices, one of the most classical object under study is the empirical spectral distribution. This random measure is the uniform distribution supported by the eigenvalues of the random matrix. In this paper, we give large deviation theorems for another popular object built on Hermitian random matrices: the spectral measure. This last probability measure is a random weighted version of the empirical spectral distribution. The weights involve the eigenvectors of the random matrix. We have previously studied the large deviations of the spectral measure in the case of scalar weights. Here, we will focus on matrix valued weights. Our probabilistic results lead to deterministic ones called “sum rules” in spectral theory. A sum rule relative to a reference measure on $\mathbb{R}$ is a relationship between the reversed Kullback–Leibler divergence of a positive measure on $\mathbb{R}$ and some non-linear functional built on spectral elements related to this measure. By using only probabilistic tools of large deviations, we extend the sum rules to the case of Hermitian matrix-valued measures.

A new proof of continuity of Lyapunov exponents for a class of <inline-formula><tex-math id="M1">\begin{document}$ C^2 $\end{document}</tex-math></inline-formula> quasiperiodic Schrödinger cocycles without LDT

In this paper, we reconsider the continuity of the Lyapunov exponents for a class of Schrodinger cocycles with a \begin{document}$ C^2 $\end{document} cos-type potential and a Diophantine frequency. We propose a new method to prove the Lyapunov exponent is continuous in energies. In particular, a large deviation theorem is not needed in the proof.

Classical large deviation theorems on complete Riemannian manifolds

We generalize classical large deviation theorems to the setting of complete, smooth Riemannian manifolds. We prove the analogue of Mogulskii’s theorem for geodesic random walks via a general approach using viscosity solutions for Hamilton–Jacobi equations. As a corollary, we also obtain the analogue of Cramér’s theorem. The approach also provides a new proof of Schilder’s theorem. Additionally, we provide a proof of Schilder’s theorem by using an embedding into Euclidean space, together with Freidlin–Wentzell theory.

Notes on random walks in the Cauchy domain of attraction

The goal of these notes is to fill some gaps in the literature about random walks in the Cauchy domain of attraction, which has been in many cases left aside because of its additional technical difficulties. We prove here several results in that case: a Fuk-Nagaev inequality and a local version of it ; a large deviation theorem ; two types of local large deviation theorems. We also derive two important applications of these results: a sharp estimate of the tail of the first ladder epochs, and renewal theorems -- extending standard renewal theorems to the case of random walks. Most of our techniques carry through to the case of random walks in the domain of attraction of an $\alpha$-stable law with $\alpha \in(0,2)$, so we also present results in that case, since many of them seem to be missing in the literature.