We consider a generic diffusion on the ID torus and give a simple representation formula for the large deviation rate functional of its invariant probability measure, in the limit of vanishing noise. Previously, this rate functional had been characterized by M. I. Freidlin and A. D. Wentzell as solution of a rather complex optimization problem. We discuss this last problem in full generality and show that it leads to our formula. We express the rate functional by means of a geometric transformation that, with a Maxwell-like construction, creates flat regions. We then consider piecewise deterministic Markov processes on the ID torus and show that the corresponding large deviation rate functional for the stationary distribution is obtained by applying the same transformation. Inspired by this, we prove a universality result showing that the transformation generates viscosity solution of stationary Hamilton-Jacobi equation associated to any Hamiltonian H satisfying suitable weak conditions.
A representation formula for large deviations rate functionals of invariant measures on the one dimensional torus / Faggionato, Alessandra; Davide, Gabrielli. - In: ANNALES DE L'INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES. - ISSN 0246-0203. - STAMPA. - 48:1(2012), pp. 212-234. [10.1214/10-aihp412]
A representation formula for large deviations rate functionals of invariant measures on the one dimensional torus
FAGGIONATO, ALESSANDRA;
2012
Abstract
We consider a generic diffusion on the ID torus and give a simple representation formula for the large deviation rate functional of its invariant probability measure, in the limit of vanishing noise. Previously, this rate functional had been characterized by M. I. Freidlin and A. D. Wentzell as solution of a rather complex optimization problem. We discuss this last problem in full generality and show that it leads to our formula. We express the rate functional by means of a geometric transformation that, with a Maxwell-like construction, creates flat regions. We then consider piecewise deterministic Markov processes on the ID torus and show that the corresponding large deviation rate functional for the stationary distribution is obtained by applying the same transformation. Inspired by this, we prove a universality result showing that the transformation generates viscosity solution of stationary Hamilton-Jacobi equation associated to any Hamiltonian H satisfying suitable weak conditions.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.