Persistence probabilities via large deviations
Persistence probabilities via large deviations
批准号:
282777864
负责人:
Professor Dr. Frank Aurzada
金额:
$0.0万
依托单位:
依托单位国家:
德国
项目类别:
Research Grants
财政年份:
2015
资助国家:
德国
项目状态:
已结题
起止时间:
2014-12-31 至 2020-12-31
中文摘要
持久性涉及到一个随机过程有一个异常长的偏移的概率问题。该概率的衰减率由持久性指数控制。这类问题是概率论中的经典问题。它被认为是非常困难的;尽管最近该领域的活动频繁,但没有通用的方法。所提议的项目的新攻角是将大偏差技术应用于持久性类型问题,以便通过合适的大偏差原则获得新的持久性指数、变分公式或持久性指数的边界。在持久性概率上下文中引入大偏差方法是一种新的方法,对于理解持久性类型问题背后的一般原理可能是一种很有前途的方法。
英文摘要
Persistence concerns the question of the probability that a stochastic process has an unusually long excursion. The rate of decay of this probability is governed by a persistence exponent. This type of question is a classical question in probability theory. It is considered very hard; and despite high recent activity in the field, general methods are not available.The new angle of attack of the proposed project is in applying large deviation techniques to persistence type problems in order to obtain new persistence exponents, variational formulas, or bounds for the persistence exponents via suitable large deviation principles. The introduction of the large deviation method in the context of persistence probabilities is new and can be a promising approach in order to understand the general principles behind persistence type questions.
期刊论文(3)
专著(0)
科研奖励(0)
会议论文
Persistence exponents via perturbation theory : autoregressive and moving average processes
通过扰动理论的持久性指数:自回归和移动平均过程
DOI:
10.26083/tuprints-00017566
发表时间:
2021
期刊:
影响因子:
--
作者:
[Marvin Kettner]
通讯作者:
Marvin Kettner
Persistence exponents in Markov chains
马尔可夫链中的持久性指数
DOI:
10.1214/20-aihp1114
发表时间:
2021
期刊:
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
影响因子:
--
作者:
[Frank Aurzada, Sumit Mukherjee, Ofer Zeitouni]
通讯作者:
Ofer Zeitouni
DOI:
10.1007/s10955-019-02384-3
发表时间:
2018-10
期刊:
Journal of Statistical Physics
影响因子:
1.6
作者:
[F. Aurzada;Marvin Kettner]
通讯作者:
F. Aurzada;Marvin Kettner
Fractional processes conditioned to stay positive
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批准号:403468074
-
项目类别:Research Grants
-
资助金额:$0.0万
-
财政年份:2018
-
负责人:Professor Dr. Frank Aurzada
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依托单位:
Einseitige und zweiseitige Austrittsprobleme für stochastische Prozesse
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批准号:159071155
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项目类别:Independent Junior Research Groups
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资助金额:$0.0万
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财政年份:2009
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负责人:Professor Dr. Frank Aurzada
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依托单位:
Multidimensional Stochastic Models and Their Applications
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批准号:429659655
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项目类别:Research Grants
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资助金额:$0.0万
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财政年份:--
-
负责人:Professor Dr. Frank Aurzada
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依托单位:
海外基金