Zobrazeno 1 - 10
of 49
pro vyhledávání: '"Ferré, Grégoire"'
Autor:
Ferré, Grégoire
We study large deviations for the time average of the Ornstein-Uhlenbeck process raised to an arbitrary power. We prove that beyond a critical value, large deviations are subexponential in time, with a non-convex rate function whose main coefficient
Externí odkaz:
http://arxiv.org/abs/2402.16992
Autor:
Ferré, Grégoire
We consider the large deviations associated with the empirical mean of independent and identically distributed random variables under a subexponential moment condition. We show that non-trivial deviations are observable at a subexponential scale in t
Externí odkaz:
http://arxiv.org/abs/2206.05791
Autor:
Ferré, Grégoire
We consider the computation of free energy-like quantities for diffusions in high dimension, when resorting to Monte Carlo simulation is necessary. Such stochastic computations typically suffer from high variance, in particular in a low noise regime,
Externí odkaz:
http://arxiv.org/abs/2111.10819
Autor:
Ferré, Grégoire, Grafke, Tobias
The computation of free energies is a common issue in statistical physics. A natural technique to compute such high dimensional integrals is to resort to Monte Carlo simulations. However these techniques generally suffer from a high variance in the l
Externí odkaz:
http://arxiv.org/abs/2011.10990
Publikováno v:
SIAM J. Math. Anal., 53(1), 181-220. (2021)
We consider Coulomb gas models for which the empirical measure typically concentrates, when the number of particles becomes large, on an equilibrium measure minimizing an electrostatic energy. We study the behavior when the gas is conditioned on a ra
Externí odkaz:
http://arxiv.org/abs/1907.05803
Autor:
Ferré, Grégoire, Stoltz, Gabriel
We consider large deviations of empirical measures of diffusion processes. In a first part, we present conditions to obtain a large deviations principle (LDP) for a precise class of unbounded functions. This provides an analogue to the standard Cram\
Externí odkaz:
http://arxiv.org/abs/1906.09411
Feynman-Kac semigroups appear in various areas of mathematics: non-linear filtering, large deviations theory, spectral analysis of Schrodinger operators among others. Their long time behavior provides important information, for example in terms of gr
Externí odkaz:
http://arxiv.org/abs/1807.00390
Autor:
Chafaï, Djalil, Ferré, Grégoire
Publikováno v:
Journal of Statistical Physics 174(3):692-714 (2019)
Coulomb and log-gases are exchangeable singular Boltzmann-Gibbs measures appearing in mathematical physics at many places, in particular in random matrix theory. We explore experimentally an efficient numerical method for simulating such gases. It is
Externí odkaz:
http://arxiv.org/abs/1806.05985
Autor:
Ferré, Grégoire, Touchette, Hugo
Publikováno v:
J. Stat. Phys. 172, 1525, 2018
We introduce and test an algorithm that adaptively estimates large deviation functions characterizing the fluctuations of additive functionals of Markov processes in the long-time limit. These functions play an important role for predicting the proba
Externí odkaz:
http://arxiv.org/abs/1803.11117
Autor:
Ferré, Grégoire, Stoltz, Gabriel
We consider the numerical analysis of the time discretization of Feynman-Kac semigroups associated with diffusion processes. These semigroups naturally appear in several fields, such as large deviation theory, Diffusion Monte Carlo or non-linear filt
Externí odkaz:
http://arxiv.org/abs/1712.04013