Large Deviations estimates for some non-local equations I. Fast decaying kernels and explicit bounds

Cristina Brändle (1) , Emmanuel Chasseigne (2)

1 Departamento de Matematicas
2 LMPT - Laboratoire de Mathématiques et Physique Théorique

We study large deviations for some non-local parabolic type equations. We show that, under some assumptions on the non-local term, problems defined in a bounded domain converge with an exponential rate to the solution of the problem defined in the whole space. We compute this rate in different examples, with different kernels defining the non-local term, and it turns out that the estimate of convergence depends strongly on the decay at infinity of that kernel.

Mots clés: Lévy operators

Mots clés: Non-local diffusion; Large deviations; Hamilton-Jacobi equation; Lévy operators.

Domaines: Equations aux dérivées partielles [math.AP]

Cristina Brändle, Emmanuel Chasseigne. Large Deviations estimates for some non-local equations I. Fast decaying kernels and explicit bounds. Nonlinear Analysis: Theory, Methods and Applications, 2009, 71, pp.5572-5586. ⟨hal-00342145⟩