We formulate two types of extensions of the large deviation theory initiated by Bahadur in a non-regular setting. One can be regarded as a bound of the point estimation, the other can be regarded as the limit of a bound of the interval estimation. Both coincide in the regular case, but do not necessarily coincide in a non-regular case. Using the limits of relative Rényi entropies, we derive their upper bounds and give a necessary and sufficient condition for the coincidence of the two upper bounds. We also discuss the attainability of these two bounds in several non-regular location shift families.
We study product regular conditional probabilities under measures of two coordinates with respect to the second coordinate that are weakly continuous on the support of the marginal of the second coordinate. Assuming that there exists a sequence of probability measures on the product space that satisfies a large deviation principle, we present necessary and sufficient conditions for the conditional probabilities under these measures to satisfy a large deviation principle. The arguments of these conditional probabilities are assumed to converge. A way to view regular conditional probabilities as…
We show quenched large deviations for the simple random walk on a certain class of percolations with long-range correlations. This class contains the supercritical Bernoulli percolations, the model considered by Drewitz, R'ath and Sapozhnikov and the random-cluster model up to the slab critical point. Our result is an extension of Kubota's result for the supercritical Bernoulli percolations. We also state a shape theorem for the chemical distance, which is an extension of Garet and Marchand's result for the supercritical Bernoulli percolations.
In this paper we derive non asymptotic deviation bounds for $$¶_ν(|\frac 1t \int_0^t V(X_s) ds - \int V dμ| \geq R)$$ where $X$ is a $μ$ stationary and ergodic Markov process and $V$ is some $μ$ integrable function. These bounds are obtained under various moments assumptions for $V$, and various regularity assumptions for $μ$. Regularity means here that $μ$ may satisfy various functional inequalities (F-Sobolev, generalized Poincaré etc...).
Karamata's integral representation for slowly varying functions is extended to a broader class of the so-called $ψ$-locally constant functions, i.e. functions $f(x)>0$ having the property that, for a given non-decreasing function $ψ(x)$ and any fixed $v$, $f (x+vψ(x))/f(x) \to 1 $ as $x\to\infty$. We consider applications of such functions to extending known results on large deviations of sums of random variables with regularly varying distribution tails.
A sum rule is an identity connecting the entropy of a measure with coefficients involved in the construction of its orthogonal polynomials (Jacobi coefficients). Our paper is an extension of Gamboa, Nagel and Rouault (2016), where we have showed sum rules by using only probabilistic tools (namely the large deviations theory). Here, we prove large deviation principles for the weighted spectral measure of unitarily invariant random matrices in two general situations: firstly, when the equilibrium measure is not necessarily supported by a single interval and secondly, when the potential is a nonn…
The regular Dirichlet extension is the dual concept of regular Dirichlet subspace. The main purpose of this paper is to characterize all the regular Dirichlet extensions of one-dimensional Brownian motion and to explore their structures. It is shown that every regular Dirichlet extension of one-dimensional Brownian motion may essentially decomposed into at most countable disjoint invariant intervals and an $\mathcal{E}$-polar set relative to this regular Dirichlet extension. On each invariant interval the regular Dirichlet extension is characterized uniquely by a scale function in a given clas…
This work is devoted to a vast extension of Sanov's theorem, in Laplace principle form, based on alternatives to the classical convex dual pair of relative entropy and cumulant generating functional. The abstract results give rise to a number of probabilistic limit theorems and asymptotics. For instance, widely applicable non-exponential large deviation upper bounds are derived for empirical distributions and averages of i.i.d. samples under minimal integrability assumptions, notably accommodating heavy-tailed distributions. Other interesting manifestations of the abstract results include new …
We formulate two types of extension of the large deviation theory initiated by Bahadur in a non-regular setting. One can be regarded as a bound of the point estimation, the other can be regarded as the limit of a bound of the interval estimation. Both coincide in the regular case, but do not necessarily coincide in a non-regular case. Using the limits of relative Renyi entropies, we derive their upper bounds and give a necessary and sufficient condition for the coincidence of the two upper bounds. We also show the attainability of these two bounds in several non-regular location shift families…
We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V. Nagaev (1969) and S.V. Nagaev (1979) for iid regularly varying sequences. The proof uses an idea of Jakubowski (1993,1997) in the context of centra limit theorems with infinite variance stable limits. We illustrate the principle for \sv\ models, functions of a Markov chain satisfying a polynomial drift condition and solutions of linear and non-linear stochastic recurrence equations.
We prove a geometric extension of Lévy's occupation time arcsine law near a hypersurface on a Riemannian manifold. The deviation from the classic arcsine law is of the order of the square-root of the time horizon and is expressed explicitly in terms of the mean curvature of the hypersurface and the local time of the underlying standard Brownian motion.
For a $d-$regular random model, we assign to vertices $q-$state spins. From this model, we define the \emph{empirical co-operate measure}, which enumerates the number of co-operation between a given couple of spins, and \emph{ empirical spin measure}, which enumerates the number of sites having a given spin on the $d-$regular random graph model. For these empirical measures we obtain large deviation principle(LDP) in the weak topology.
For a $Δ$-regular connected graph ${\sf H}$ the problem of determining the upper tail large deviation for the number of copies of ${\sf H}$ in $\mathbb{G}(n,p)$, an Erdős-Rényi graph on $n$ vertices with edge probability $p$, has generated significant interests. For $p\ll 1$ and $np^{Δ/2} \gg (\log n)^{1/(v_{\sf H}-2)}$, where $v_{\sf H}$ is the number of vertices in ${\sf H}$, the upper tail large deviation event is believed to occur due to the presence of localized structures. In this regime the large deviation event that the number of copies of ${\sf H}$ in $\mathbb{G}(n,p)$ exceeds its exp…
Consider the regular Dirichlet extension $(\mathcal{E},\mathcal{F})$ for one-dimensional Brownian motion, that $H^1(\mathbb{R})$ is a subspace of $\mathcal{F}$ and $\mathcal{E}(f,g)=\frac12\mathbf{D}(f,g)$ for $f,g\in H^1(\mathbb{R})$. Both $H^1(\mathbb{R})$ and $\mathcal{F}$ are Hilbert spaces under $\mathcal{E}_α$ and hence there is $α$-orthogonal compliment $\mathcal{G}_α$. We give the explicit expression for functions in $\mathcal{G}_α$ which then can be described by another two spaces. On the two spaces, there is a natural Dirichlet form in the wide sense and by the darning method, their …
We prove a large deviation principle on path space for a class of discrete time Markov processes whose state space is the intersection of a regular domain $Ł\subset \R^d$ with some lattice of spacing $\e$. Transitions from $x$ to $y$ are allowed if $\e^{-1}(x-y)\in \D$ for some fixed set of vectors $\D$. The transition probabilities $p_\e(t,x,y)$, which themselves depend on $\e$, are allowed to depend on the starting point $x$ and the time $t$ in a sufficiently regular way, except near the boundaries, where some singular behaviour is allowed. The rate function is identified as an action functi…
We obtain several extensions of Talagrand's lower bound for the small deviation probability using metric entropy. For Gaussian processes, our investigations are focused on processes with sub-polynomial and, respectively, exponential behaviour of covering numbers. The corresponding results are also proved for non-Gaussian symmetric stable processes, both for the cases of critically small and critically large entropy. The results extensively use the classical chaining technique; at the same time they are meant to explore the limits of this method.
Let the random variable $X\, :=\, e(\mathcal{H}[B])$ count the number of edges of a hypergraph $\mathcal{H}$ induced by a random $m$ element subset $B$ of its vertex set. Focussing on the case that $\mathcal{H}$ satisfies some regularity condition we prove bounds on the probability that $X$ is far from its mean. It is possible to apply these results to discrete structures such as the set of $k$-term arithmetic progressions in the cyclic group $\mathbb{Z}_N$. Furthermore, we show that our main theorem is essentially best possible and we deduce results for the case $B\sim B_p$ is generated by in…
We study the asymptotic behavior for an inhomogeneous multiscale stochastic dynamical system with non-smooth coefficients. Depending on the averaging regime and the homogenization regime, two strong convergences in the averaging principle of functional law of large numbers type are established. Then we consider the small fluctuations of the system around its average. Nine cases of functional central limit type theorems are obtained. In particular, even though the averaged equation for the original system is the same, the corresponding homogenization limit for the normal deviation can be quite …
It is well known that some important Markov semi-groups have a "regularization effect" -- as for example the hypercontractivity property of the noise operator on the Boolean hypercube or the Ornstein-Uhlenbeck semi-group on the real line, which applies to functions in $L^p$ for $p>1$. Talagrand had conjectured in 1989 that the noise operator on the Boolean hypercube has a further subtle regularization property for functions that are just integrable, but this conjecture remains open. Nonetheless, the Gaussian analogue of this conjecture was proven in recent years by Eldan-Lee and Lehec, by comb…
A two-dimensional statistical model of N charged particles interacting via logarithmic repulsion in the presence of an oppositely charged regular closed region K whose charge density is determined by its equilibrium potential at an inverse temperature βis investigated. When the charge on the region, s, is greater than N, the particles accumulate in a neighborhood of the boundary of K, and form a point process in the complex plane. We describe the weak* limits of the joint intensities of this point process and show that it is exponentially likely to find the process in a neighborhood of the equ…
We continue the investigation of the spectral theory and exponential asymptotics of Markov processes, following Kontoyiannis and Meyn (2003). We introduce a new family of nonlinear Lyapunov drift criteria, characterizing distinct subclasses of geometrically ergodic Markov processes in terms of inequalities for the nonlinear generator. We concentrate on the class of "multiplicatively regular" Markov processes, characterized via conditions similar to (but weaker than) those of Donsker-Varadhan. For any such process {Phi(t)} with transition kernel P on a general state space, the following are obt…
Recently Talagrand [T] estimated the deviation of a function on $\{0,1\}^n$ from its median in terms of the Lipschitz constant of a convex extension of $f$ to $\ell ^n_2$; namely, he proved that $$P(|f-M_f| > c) \le 4 e^{-t^2/4σ^2}$$ where $σ$ is the Lipschitz constant of the extension of $f$ and $P$ is the natural probability on $\{0,1\}^n$. Here we extend this inequality to more general product probability spaces; in particular, we prove the same inequality for $\{0,1\}^n$ with the product measure $((1-η)δ_0 + ηδ_1)^n$. We believe this should be useful in proofs involving random selections. …
We consider the width $X_T(ω)$ of a convex $n$-gon $T$ in the plane along the random direction $ω\in\mathbb{R}/2π\mathbb{Z}$ and study its deviation rate: $$ δ(X_T)=\frac{\sqrt{\mathbb{E}(X^2_T)-\mathbb{E}(X_T)^2}}{\mathbb{E}(X_T)}. $$ We prove that the maximum is attained if and only if $T$ degenerates to a $2$-gon. Let $n\geq 2$ be an integer which is not a power of $2$. We show that $$ \sqrt{\fracπ{4n\tan(\fracπ{2n})} +\frac{π^2}{8n^2\sin^2(\fracπ{2n})}-1} $$ is the minimum of $δ(X_T)$ among all $n$-gons and determine completely the shapes of $T$'s which attain this minimum. They are charac…
In this paper we propose the notion of dynamic deviation measure, as a dynamic time-consistent extension of the (static) notion of deviation measure. To achieve time-consistency we require that a dynamic deviation measures satisfies a generalised conditional variance formula. We show that, under a domination condition, dynamic deviation measures are characterised as the solutions to a certain class of backward SDEs. We establish for any dynamic deviation measure an integral representation, and derive a dual characterisation result in terms of additively $m$-stable dual sets. Using this notion …
We study the stochastic Allen-Cahn equation driven by a noise term with intensity $\sqrt{\varepsilon}$ and correlation length $δ$ in two and three spatial dimensions. We study diagonal limits $δ, \varepsilon \to 0$ and describe fully the large deviation behaviour depending on the relationship between $δ$ and $\varepsilon$. The recently developed theory of regularity structures allows to fully analyse the behaviour of solutions for vanishing correlation length $δ$ and fixed noise intensity $\varepsilon$. One key fact is that in order to get non-trivial limits as $δ\to 0$, it is necessary to int…
Open Quantum Walks (OQWs), originally introduced by S. Attal, are quantum generalizations of classical Markov chains. Recently, natural continuous time models of OQW have been developed by C. Pellegrini. These models, called Continuous Time Open Quantum Walks (CTOQWs), appear as natural continuous time limits of discrete time OQWs. In particular they are quantum extensions of continuous time Markov chains. This article is devoted to the study of homogeneous CTOQW on $\mathbb{Z}^d$. We focus namely on their associated quantum trajectories which allow us to prove a Central Limit Theorem for the …
