This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper studies the dynamic entropic repulsion for the Ginzburg-Landau [backward difference][phi] interface model on the wall. Depending on the lattice dimension d, the interface is repelled as t--[infinity] to for d=3 and logt for d=2. In the harmonic case with a quadratic interaction...

We study the existence of first derivatives with respect to the initial condition of the solution of a finite system of SDEs with reflection. We prove that such derivatives evolve according to a linear differential equation when the process is away from the boundary and that they are projected...

We consider the anharmonic crystal, or lattice massless field, with 0-boundary conditions outside and N a large natural number, that is the finite volume Gibbs measure on for every x[negated set membership]DN} with Hamiltonian [summation operator]x~yV([phi]x-[phi]y), V a strictly convex even...

We study the large deviations and the central limit theorem for the occupation time functional of a Poisson system of independent Brownian particles in , extending the results of Cox and Griffeath (1984) to functional spaces. In the lower (recurrent) dimensions d = 1, 2 we have critical orders T...

For {Xi}i = 1 a sequence of i.i.d. random variables taking values in a Polish space [Sigma] with distribution [mu], we obtain large and moderate deviation principles for the processes {n-1 [Sigma][nt]i = 1 [delta]Xi; t = 0}n = 1 and {n-1/2 [Sigma][nt]i = 1 ([delta]Xi - [mu]); t = 0}n = 1,...

The large deviation principle is known to hold for the empirical measures (occupation times) of Polish space valued random variables and for the empirical means of Banach space valued random variables under Markov dependence or mixing conditions, and subject to the appropriate exponential tail...

An extension of the "prior density for path" (Onsager-Machlup functional) is defined and shown to exist for Gaussian fields generated by solutions of elliptic PDEs driven by white noise. This functional is then used to define and solve the MAP estimation of such fields observed via nonlinear...

If for a 'permissible' family of functions and an i.i.d. process {Xi}[infinity]i=0, with probability one, then the same holds for away absolutely regular (weakly Bernoulli) process having the same marginal distribution. In particular, for any class of sets having finite V-C dimension and any...