Die Theorie der Großen Abweichungen, ein Zweig der Wahrscheinlichkeitstheorie, stellt Mittel bereit zur Beschreibung der asymptotischen exponentiellen Abfallrate von sehr kleinen Wahrscheinlichkeiten für sehr große oder sehr kleine Werte eines Parameters. Beispiele für solche Parameter sind große Zeiten, große Anzahlen von Zufallsgrößen, der Radius großer Boxen, tiefe Temperaturen oder Approximationsparameter. Die betrachteten Wahrscheinlichkeiten beschreiben oft Abweichung einer stochastischen Größe von ihrem erwarteten Verhalten, etwa der Durchschnitt vieler Zufälle im Gesetz der großen Zahlen oder im Ergodensatz oder im thermodynamischen Grenzwert. Die Abfallrate wird oft ausgedrückt mit Hilfe einer nichtnegativen Ratenfunktion, die in vielen Fällen konvex ist und genau in dem Punkt nur Null ist, der das normale Verhalten beschreibt. Daher kann man Große Abweichungen oft auch benutzen, um das normale Verhalten mit Hilfe eines Variationsproblems zu beschreiben, also als Minimum der Ratenfunktion. Auf diese Weise kann die Variationsrechnung analytische Hilfsmittel für die Beschreibung auch eines Gesetzes der großen Zahlen liefern.
Ferner wird mit Hilfe der Theorie der Großen Abweichungen auch die Asymptotik von Erwartungswerten von exponentiellen Funktionalen der betrachteten stochastischen Größen beschrieben, und zwar wiederum mit Hilfe einer Variationsformel. Diese Formel beschreibt meist einen optimalen Kompromiss zwischen der exponentiellen Funktion der Zufallsvariable und der Abfallraten der Wahrscheinlichkeiten. Diese Anwendung betrifft zum Beispiel die Partitionsfunktion vieler Modelle der Statistischen Physik. Diese Objekte, die in der Formel erscheinen, enthalten in der Regel relevante Informationen über die zugrunde liegende stochastische Größe, daher ist die Analyse der Formel mittels Variationsrechnung ein integraler Bestandteil der Problemlösung. Insbesondere kann man diejenigen zufälligen Situationen, die den besten Beitrag zu dem betrachteten Erwartungswert, charakterisieren. Vielfach liegt das relevante Objekt, das ein Prinzip Großer Abweichungen erfüllt, nicht an der Oberfläche und muss durch geeignete vorbereitende Umformulierungen erst gefunden werden. Oft ist die charakteristische Variationsformel nur der Startpunkt für tiefergehende Untersuchungen, etwa für eine präzisere Asymptotik oder die Untersuchung von Abweichungen auf anderen Skalen.
Beitrag des Instituts
Am WIAS wird die Theorie der Großen Abweichungen in diversen Modellen eingesetzt, die zum Teil weit von einander entfernt liegen. Zum Beispiel werden für einige Modelle der Statistischen Physik Methoden entwickelt, die dazu führen, dass die Theorie der Großen Abweichungen angewendet werden kann. Etwa bei klassischen und für quantenmechanischen Vielkörpersystemen: Hier werden große Punktsysteme in einer großen Box im d-dimensionalen euklidischen Raum einer exponentiellen Interaktion unterworfen, die jedem Paar von Punkten eine Energie zuordnet, die erstens große Häufungen ausschließt (abstoßende Interaktion) und zweitens einen gewissen Abstand favorisiert (anziehende Interaktion). Die Gesamtenergie der Konfiguration schreibt man meist als Gibbsmaß mit einer Paarinteraktion mit Lenard-Jones-Potential. Durch diese Interaktion schließen sich die Partikel zu Gruppen zusammen. Die Statistik der Kardinalitäten dieser Gruppen ist von Interesse. In thermodynamischen Grenzwert (d.h große Partikelzahl in einer großen Box mit einer konstanten Partikeldichte) wurde für dieses Objekt am WIAS ein Prinzip Großer Abweichungen hergeleitet mit einer expliziten Ratenfunktion, deren Minimierer recht gut analysiert werden konnten. Bei Hinzunahme kinetischer Energie (also bei quantenmechanischen Systemen) wird auch eine Symmetrie eingefügt, die zu einem System von interagierenden Brown'schen Bewegungen führt. Hier war in einer Abeit ein Ansatz erfolgreich, der ein Prinzip Großer Abweichungen für die empirischen stationären Felder eines gewissen markierten Punktprozesses anwendbar machte.
Ein Höhepunkt war die neue Idee, mit der ein sehr prominentes Prinzip großer Abweichungen für die normierten Aufenthaltsmaße einer Brown'schen Bewegung ohne Forderung von Kompaktheitsbedingung bewiesen wurde.
Ein anderes Beispiel ist die Abfallrate von Frustrationswahrscheinlichkeiten
, d.h. Wahrscheinlichkeiten ungewollter Ereignisse, in der Telekommunikation, im Grenzwert einer hohen Dichte von Teilnehmern. Die ungewollten Ereignisse sind z.B. gegeben durch eine deutlich schlechtere Konnektivität im System oder durch zu geringe Kapazität. Solche Abfallraten wurden in Arbeiten der Leibniz Gruppe 4 analytisch untersucht, insbesondere wurden die Konfigurationen, die zu solchen Ereignissen führen, charakterisiert, und in vereinfachten Fällen wurden interessante Effekte untersucht. Das Hauptinteresse gilt bei Multihop-Kommunikation der Frage, ob eine schlechte Konnektivität von zu großer Häufung von Teilnehmern durch deren Interferenz kommt, oder von einer zu geringen Dichte an unterstützenden Relais in den entscheidenden Gegenden.


Große Abweichungen spielen auch eine wichtige Rolle bei der Approximation der Smoluchowski-Gleichung durch koagulierende räumliche Partikelmodelle; die Beschreibung der Abweichungen des empirischen Durchschnitts der Partikel von der Gleichung führt auf eine hochinteressante Ratenfunktion, die aus der Wentzell-Freidlin-Theorie bekannt ist und als Startpunkt der Konstruktion von Gradientenflüssen dient, siehe das Anwendungsgebiet Koagulation
Publikationen
Monografien
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B. Jahnel, W. König, Probabilistic Methods in Telecommunications, D. Mazlum, ed., Compact Textbooks in Mathematics, Birkhäuser Basel, 2020, XI, 200 pages, (Monograph Published), DOI 10.1007/978-3-030-36090-0 .
Abstract
This textbook series presents concise introductions to current topics in mathematics and mainly addresses advanced undergraduates and master students. The concept is to offer small books covering subject matter equivalent to 2- or 3-hour lectures or seminars which are also suitable for self-study. The books provide students and teachers with new perspectives and novel approaches. They may feature examples and exercises to illustrate key concepts and applications of the theoretical contents. The series also includes textbooks specifically speaking to the needs of students from other disciplines such as physics, computer science, engineering, life sciences, finance. -
W. König, Große Abweichungen, Techniken und Anwendungen, M. Brokate, A. Heinze , K.-H. Hoffmann , M. Kang , G. Götz , M. Kerz , S. Otmar, eds., Mathematik Kompakt, Birkhäuser Basel, 2020, VIII, 167 pages, (Monograph Published), DOI 10.1007/978-3-030-52778-5 .
Abstract
Die Lehrbuchreihe Mathematik Kompakt ist eine Reaktion auf die Umstellung der Diplomstudiengänge in Mathematik zu Bachelor- und Masterabschlüssen. Inhaltlich werden unter Berücksichtigung der neuen Studienstrukturen die aktuellen Entwicklungen des Faches aufgegriffen und kompakt dargestellt. Die modular aufgebaute Reihe richtet sich an Dozenten und ihre Studierenden in Bachelor- und Masterstudiengängen und alle, die einen kompakten Einstieg in aktuelle Themenfelder der Mathematik suchen. Zahlreiche Beispiele und Übungsaufgaben stehen zur Verfügung, um die Anwendung der Inhalte zu veranschaulichen. Kompakt: relevantes Wissen auf 150 Seiten Lernen leicht gemacht: Beispiele und Übungsaufgaben veranschaulichen die Anwendung der Inhalte Praktisch für Dozenten: jeder Band dient als Vorlage für eine 2-stündige Lehrveranstaltung -
W. König, The Parabolic Anderson Model -- Random Walks in Random Potential, Pathways in Mathematics, Birkhäuser, Basel, 2016, xi+192 pages, (Monograph Published).
Artikel in Referierten Journalen
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L. Andreis, W. König, H. Langhammer, R.I.A. Patterson, A large-deviations principle for all the components in a sparse inhomogeneous random graph, Probability Theory and Related Fields, published online on 11.01.2023, DOI 10.1007/s00440-022-01180-7 .
Abstract
We study an inhomogeneous sparse random graph, GN, on [N] = { 1,...,N } as introduced in a seminal paper [BJR07] by Bollobás, Janson and Riordan (2007): vertices have a type (here in a compact metric space S), and edges between different vertices occur randomly and independently over all vertex pairs, with a probability depending on the two vertex types. In the limit N → ∞ , we consider the sparse regime, where the average degree is O(1). We prove a large-deviations principle with explicit rate function for the statistics of the collection of all the connected components, registered according to their vertex type sets, and distinguished according to being microscopic (of finite size) or macroscopic (of size ≈ N). In doing so, we derive explicit logarithmic asymptotics for the probability that GN is connected. We present a full analysis of the rate function including its minimizers. From this analysis we deduce a number of limit laws, conditional and unconditional, which provide comprehensive information about all the microscopic and macroscopic components of GN. In particular, we recover the criterion for the existence of the phase transition given in [BJR07]. -
D.R.M. Renger, Anisothermal chemical reactions: Onsager--Machlup and macroscopic fluctuation theory, Journal of Physics A: Mathematical and Theoretical, 55 (2022), pp. 315001/1--315001/24, DOI 10.1088/1751-8121/ac7c47 .
Abstract
We study a micro and macroscopic model for chemical reactions with feedback between reactions and temperature of the solute. The first result concerns the quasipotential as the large-deviation rate of the microscopic invariant measure. The second result is an application of modern Onsager-Machlup theory to the pathwise large deviations, in case the system is in detailed balance. The third result is an application of macroscopic fluctuation theory to the reaction flux large deviations, in case the system is in complex balance. -
A. Bianchi, F. Collet, E. Magnanini, The GHS and other inequalities for the two-star model, ALEA. Latin American Journal of Probability and Mathematical Statistics, 19 (2022), pp. 1679--1695, DOI 10.30757/ALEA.v19-64 .
Abstract
We consider the two-star model, a family of exponential random graphs indexed by two real parameters, h and ?, that rule respectively the total number of edges and the mutual dependence between them. Borrowing tools from statistical mechanics, we study different classes of correlation inequalities for edges, that naturally emerge while taking the partial derivatives of the (finite size) free energy. In particular, under a mild hypothesis on the parameters, we derive first and second order correlation inequalities and then prove the so-called GHS inequality. As a consequence, the average edge density turns out to be an increasing and concave function of the parameter h, at any fixed size of the graph -
A. Agazzi, L. Andreis, R.I.A. Patterson, D.R.M. Renger, Large deviations for Markov jump processes with uniformly diminishing rates, Stochastic Processes and their Applications, 152 (2022), pp. 533--559, DOI 10.1016/j.spa.2022.06.017 .
Abstract
We prove a large-deviation principle (LDP) for the sample paths of jump Markov processes in the small noise limit when, possibly, all the jump rates vanish uniformly, but slowly enough, in a region of the state space. We further show that our assumptions on the decay of the jump rates are optimal. As a direct application of this work we relax the assumptions needed for the application of LDPs to, e.g., Chemical Reaction Network dynamics, where vanishing reaction rates arise naturally particularly the context of Mass action kinetics. -
B. Jahnel, A. Tóbiás, SINR percolation for Cox point processes with random powers, Adv. Appl. Math., 54 (2022), pp. 227--253, DOI 10.1017/apr.2021.25 .
Abstract
Signal-to-interference plus noise ratio (SINR) percolation is an infinite-range dependent variant of continuum percolation modeling connections in a telecommunication network. Unlike in earlier works, in the present paper the transmitted signal powers of the devices of the network are assumed random, i.i.d. and possibly unbounded. Additionally, we assume that the devices form a stationary Cox point process, i.e., a Poisson point process with stationary random intensity measure, in two or higher dimensions. We present the following main results. First, under suitable moment conditions on the signal powers and the intensity measure, there is percolation in the SINR graph given that the device density is high and interferences are sufficiently reduced, but not vanishing. Second, if the interference cancellation factor γ and the SINR threshold τ satisfy γ ≥ 1/(2τ), then there is no percolation for any intensity parameter. Third, in the case of a Poisson point process with constant powers, for any intensity parameter that is supercritical for the underlying Gilbert graph, the SINR graph also percolates with some small but positive interference cancellation factor. -
C. Giardinà, C. Giberti, E. Magnanini, Approximating the cumulant generating function of triangles in the Erdös-Rényi random graph, Journal of Statistical Physics, 182 (2021), pp. 23/1--23/22, DOI 10.1007/s10955-021-02707-3 .
Abstract
We study the pressure of the “edge-triangle model”, which is equivalent to the cumulant generating function of triangles in the Erdös--Rényi random graph. The investigation involves a population dynamics method on finite graphs of increasing volume, as well as a discretization of the graphon variational problem arising in the infinite volume limit. As a result, we locate a curve in the parameter space where a one-step replica symmetry breaking transition occurs. Sampling a large graph in the broken symmetry phase is well described by a graphon with a structure very close to t he one of an equi-bipartite graph. -
S. Jansen, W. König, B. Schmidt, F. Theil, Distribution of cracks in a chain of atoms at low temperature, Annales Henri Poincare. A Journal of Theoretical and Mathematical Physics, 22 (2021), pp. 4131--4172, DOI 10.1007/s00023-021-01076-7 .
Abstract
We consider a one-dimensional classical many-body system with interaction potential of Lennard--Jones type in the thermodynamic limit at low temperature 1/β ∈ (0, ∞). The ground state is a periodic lattice. We show that when the density is strictly smaller than the density of the ground state lattice, the system with N particles fills space by alternating approximately crystalline domains (clusters) with empty domains (voids) due to cracked bonds. The number of domains is of the order of N exp(-β e surf /2) with e surf > 0 a surface energy. -
K. Chouk, W. van Zuijlen, Asymptotics of the eigenvalues of the Anderson Hamiltonian with white noise potential in two dimensions, The Annals of Probability, 49 (2021), pp. 1917--1964, DOI 10.1214/20-AOP1497 .
Abstract
In this paper we consider the Anderson Hamiltonian with white noise potential on the box [0,L]² with Dirichlet boundary conditions. We show that all the eigenvalues divided by log L converge as L → ∞ almost surely to the same deterministic constant, which is given by a variational formula. -
L. Andreis, W. König, R.I.A. Patterson, A large-deviations principle for all the cluster sizes of a sparse Erdős--Rényi random graph, Random Structures and Algorithms, 59 (2021), pp. 522--553, DOI 10.1002/rsa.21007 .
Abstract
A large-deviations principle (LDP) is derived for the state, at fixed time, of the multiplicative coalescent in the large particle number limit. The rate function is explicit and describes each of the three parts of the state: microscopic, mesoscopic and macroscopic. In particular, it clearly captures the well known gelation phase transition given by the formation of a particle containing a positive fraction of the system mass at time t=1. Via a standard map of the multiplicative coalescent onto a time-dependent version of the Erdős-Rényi random graph, our results can also be rephrased as an LDP for the component sizes in that graph. Our proofs rely on estimates and asymptotics for the probability that smaller Erdős-Rényi graphs are connected. -
A. Mielke, A. Montefusco, M.A. Peletier, Exploring families of energy-dissipation landscapes via tilting: Three types of EDP convergence, Continuum Mechanics and Thermodynamics, 33 (2021), pp. 611--637, DOI 10.1007/s00161-020-00932-x .
Abstract
This paper revolves around a subtle distinction between two concepts: passing to the limit in a family of gradient systems, on one hand, and deriving effective kinetic relations on the other. The two concepts are strongly related, and in many examples they even appear to be the same. Our main contributions are to show that they are different, to show that well-known techniques developed for the former may give incorrect results for the latter, and to introduce new tools to remedy this. The approach is based on the Energy-Dissipation Principle that provides a variational formulation to gradient-flow equations that allows one to apply techniques from Γ-convergence of functional on states and functionals on trajectories. -
A. Hinsen, B. Jahnel, E. Cali, J.-P. Wary, Phase transitions for chase-escape models on Poisson--Gilbert graphs, Electronic Communications in Probability, 25 (2020), pp. 25/1--25/14, DOI 10.1214/20-ECP306 .
Abstract
We present results on phase transitions of local and global survival in a two-species model on Gilbert graphs. At initial time there is an infection at the origin that propagates on the Gilbert graph according to a continuous-time nearest-neighbor interacting particle system. The Gilbert graph consists of susceptible nodes and nodes of a second type, which we call white knights. The infection can spread on susceptible nodes without restriction. If the infection reaches a white knight, this white knight starts to spread on the set of infected nodes according to the same mechanism, with a potentially different rate, giving rise to a competition of chase and escape. We show well-definedness of the model, isolate regimes of global survival and extinction of the infection and present estimates on local survival. The proofs rest on comparisons to the process on trees, percolation arguments and finite-degree approximations of the underlying random graphs. -
CH. Hirsch, B. Jahnel, A. Tóbiás, Lower large deviations for geometric functionals, Electronic Communications in Probability, 25 (2020), pp. 41/1--41/12, DOI 10.1214/20-ECP322 .
Abstract
This work develops a methodology for analyzing large-deviation lower tails associated with geometric functionals computed on a homogeneous Poisson point process. The technique applies to characteristics expressed in terms of stabilizing score functions exhibiting suitable monotonicity properties. We apply our results to clique counts in the random geometric graph, intrinsic volumes of Poisson--Voronoi cells, as well as power-weighted edge lengths in the random geometric, κ-nearest neighbor and relative neighborhood graph. -
A. Tóbiás, B. Jahnel, Exponential moments for planar tessellations, Journal of Statistical Physics, 179 (2020), pp. 90--109, DOI 10.1007/s10955-020-02521-3 .
Abstract
In this paper we show existence of all exponential moments for the total edge length in a unit disc for a family of planar tessellations based on Poisson point processes. Apart from classical such tessellations like the Poisson--Voronoi, Poisson--Delaunay and Poisson line tessellation, we also treat the Johnson--Mehl tessellation, Manhattan grids, nested versions and Palm versions. As part of our proofs, for some planar tessellations, we also derive existence of exponential moments for the number of cells and the number of edges intersecting the unit disk. -
F. Flegel, M. Heida, M. Slowik, Homogenization theory for the random conductance model with degenerate ergodic weights and unbounded-range jumps, Annales de l'Institut Henri Poincare. Probabilites et Statistiques, 55 (2019), pp. 1226--1257, DOI 10.1214/18-AIHP917 .
Abstract
We study homogenization properties of the discrete Laplace operator with random conductances on a large domain in Zd. More precisely, we prove almost-sure homogenization of the discrete Poisson equation and of the top of the Dirichlet spectrum. We assume that the conductances are stationary, ergodic and nearest-neighbor conductances are positive. In contrast to earlier results, we do not require uniform ellipticity but certain integrability conditions on the lower and upper tails of the conductances. We further allow jumps of arbitrary length. Without the long-range connections, the integrability condition on the lower tail is optimal for spectral homogenization. It coincides with a necessary condition for the validity of a local central limit theorem for the random walk among random conductances. As an application of spectral homogenization, we prove a quenched large deviation principle for thenormalized and rescaled local times of the random walk in a growing box. Our proofs are based on a compactness result for the Laplacian's Dirichlet energy, Poincaré inequalities, Moser iteration and two-scale convergence -
CH. Hirsch, B. Jahnel, Large deviations for the capacity in dynamic spatial relay networks, Markov Processes and Related Fields, 25 (2019), pp. 33--73.
Abstract
We derive a large deviation principle for the space-time evolution of users in a relay network that are unable to connect due to capacity constraints. The users are distributed according to a Poisson point process with increasing intensity in a bounded domain, whereas the relays are positioned deterministically with given limiting density. The preceding work on capacity for relay networks by the authors describes the highly simplified setting where users can only enter but not leave the system. In the present manuscript we study the more realistic situation where users leave the system after a random transmission time. For this we extend the point process techniques developed in the preceding work thereby showing that they are not limited to settings with strong monotonicity properties. -
CH. Bayer, P. Friz, A. Gulisashvili, B. Horvath, B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance, 19 (2019), pp. 779--798, DOI 10.1080/14697688.2018.1529420 .
Abstract
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H < ½. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order t1/2 (recent works of Alòs, León & Vives and Fukasawa) to the wider moderate deviations regime. -
R.I.A. Patterson, D.R.M. Renger, Large deviations of jump process fluxes, Mathematical Physics, Analysis and Geometry, 22 (2019), pp. 21/1--21/32, DOI 10.1007/s11040-019-9318-4 .
Abstract
We study a system of interacting particles that randomly react to form new particles. The reaction flux is the rescaled number of reactions that take place in a time interval. We prove a dynamic large-deviation principle for the reaction fluxes under general assumptions that include mass-action kinetics. This result immediately implies the dynamic large deviations for the empirical concentration. -
M. Heida, M. Röger, Large deviation principle for a stochastic Allen--Cahn equation, Journal of Theoretical Probability, 31 (2018), pp. 364--401, DOI 10.1007/s10959-016-0711-7 .
Abstract
The Allen-Cahn equation is a prototype model for phase separation processes, a fundamental example of a nonlinear spatial dynamic and an important approximation of a geometric evolution equation by a reaction-diffusion equation. Stochastic perturbations, especially in the case of additive noise, to the Allen-Cahn equation have attracted considerable attention. We consider here an alternative random perturbation determined by a Brownian flow of spatial diffeomorphism that was introduced by Röger and Weber [Stoch. Partial Differ. Equ. Anal. Comput. 1 (2013)]. We first provide a large deviation principle for stochastic flows in spaces of functions that are Hölder-continuous in time, which extends results by Budhiraja, Dupuis and Maroulas [Ann. Probab. 36 (2008)]. From this result and a continuity argument we deduce a large deviation principle for the Allen-Cahn equation perturbed by a Brownian flow in the limit of small noise. Finally, we present two asymptotic reductions of the large deviation functional. -
D.R.M. Renger, Flux large deviations of independent and reacting particle systems, with implications for macroscopic fluctuation theory, Journal of Statistical Physics, 172 (2018), pp. 1291--1326, DOI 10.1007/s10955-018-2083-0 .
Abstract
We consider a system of independent particles on a finite state space, and prove a dynamic large-deviation principle for the empirical measure-empirical flux pair, taking the specific fluxes rather than net fluxes into account. We prove the large deviations under deterministic initial conditions, and under random initial conditions satisfying a large-deviation principle. We then show how to use this result to generalise a number of principles from Macroscopic Fluctuation Theory to the finite-space setting. -
D.R.M. Renger, P. Koltai , From large deviations to transport semidistances: Coherence analysis for finite Lagrangian data, Journal of Non-Newtonian Fluid Mechanics, 28 (2018), pp. 1915--1957, DOI 10.1007/s00332-018-9471-0 .
Abstract
Onsager's 1931 `reciprocity relations' result connects microscopic time-reversibility with a symmetry property of corresponding macroscopic evolution equations. Among the many consequences is a variational characterization of the macroscopic evolution equation as a gradient-flow, steepest-ascent, or maximal-entropy-production equation. Onsager's original theorem is limited to close-to-equilibrium situations, with a Gaussian invariant measure and a linear macroscopic evolution. In this paper we generalize this result beyond these limitations, and show how the microscopic time-reversibility leads to natural generalized symmetry conditions, which take the form of generalized gradient flows. -
D.R.M. Renger, Gradient and GENERIC systems in the space of fluxes, applied to reacting particle systems, Entropy. An International and Interdisciplinary Journal of Entropy and Information Studies, 20 (2018), pp. 596/1--596/26, DOI 10.3390/e20080596 .
Abstract
In a previous work we devised a framework to derive generalised gradient systems for an evolution equation from the large deviations of an underlying microscopic system, in the spirit of the Onsager-Machlup relations. Of particular interest is the case where the microscopic system consists of random particles, and the macroscopic quantity is the empirical measure or concentration. In this work we take the particle flux as the macroscopic quantity, which is related to the concentration via a continuity equation. By a similar argument the large deviations can induce a generalised gradient or Generic system in the space of fluxes. In a general setting we study how flux gradient or generic systems are related to gradient systems of concentrations. The arguments are explained by the example of reacting particle systems, which is later expanded to include spatial diffusion as well. -
CH. Hirsch, B. Jahnel, R.I.A. Patterson, Space-time large deviations in capacity-constrained relay networks, ALEA. Latin American Journal of Probability and Mathematical Statistics, 15 (2018), pp. 587--615, DOI 10.30757/ALEA.v15-24 .
Abstract
We consider a single-cell network of random transmitters and fixed relays in a bounded domain of Euclidean space. The transmitters arrive over time and select one relay according to a spatially inhomogeneous preference kernel. Once a transmitter is connected to a relay, the connection remains and the relay is occupied. If an occupied relay is selected by another transmitters with later arrival time, this transmitter becomes frustrated. We derive a large deviation principle for the space-time evolution of frustrated transmitters in the high-density regime. -
CH. Bayer, P. Friz, A. Gulisashvili, B. Horvath, B. Stemper, Short-time near-the-money skew in rough fractional volatility models, Quantitative Finance, 19 (2019), pp. 779--798 (published online on 13.11.2018), DOI 10.1080/14697688.2018.1529420 .
Abstract
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter H < ½. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation estimates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approximation formulae from CLT type log-moneyness deviations of order t1/2 (recent works of Alòs, León & Vives and Fukasawa) to the wider moderate deviations regime. -
M. Liero, A. Mielke, M.A. Peletier, D.R.M. Renger, On microscopic origins of generalized gradient structures, Discrete and Continuous Dynamical Systems -- Series S, 10 (2017), pp. 1--35, DOI 10.3934/dcdss.2017001 .
Abstract
Classical gradient systems have a linear relation between rates and driving forces. In generalized gradient systems we allow for arbitrary relations derived from general non-quadratic dissipation potentials. This paper describes two natural origins for these structures. A first microscopic origin of generalized gradient structures is given by the theory of large-deviation principles. While Markovian diffusion processes lead to classical gradient structures, Poissonian jump processes give rise to cosh-type dissipation potentials. A second origin arises via a new form of convergence, that we call EDP-convergence. Even when starting with classical gradient systems, where the dissipation potential is a quadratic functional of the rate, we may obtain a generalized gradient system in the evolutionary Gamma-limit. As examples we treat (i) the limit of a diffusion equation having a thin layer of low diffusivity, which leads to a membrane model, and (ii) the limit of diffusion over a high barrier, which gives a reaction-diffusion system. -
W. van Zuijlen, Large deviations of continuous regular conditional probabilities, Journal of Theoretical Probability, published online on 27.12.2016., DOI 10.1007/s10959-016-0733-1 .
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E. Bolthausen, W. König, Ch. Mukherjee, Mean-field interaction of Brownian occupation measures. II: A rigorous construction of the Pekar process, Communications on Pure and Applied Mathematics, 70 (2017), pp. 1598--1629.
Abstract
We consider mean-field interactions corresponding to Gibbs measures on interacting Brownian paths in three dimensions. The interaction is self-attractive and is given by a singular Coulomb potential. The logarithmic asymptotics of the partition function for this model were identified in the 1980s by Donsker and Varadhan [DV83] in terms of the Pekar variational formula, which coincides with the behavior of the partition function corresponding to the polaron problem under strong coupling. Based on this, Spohn ([Sp87]) made a heuristic observation that the strong coupling behavior of the polaron path measure, on certain time scales, should resemble a process, named as the itPekar process, whose distribution could somehow be guessed from the limiting asymptotic behavior of the mean-field measures under interest, whose rigorous analysis remained open. The present paper is devoted to a precise analysis of these mean-field path measures and convergence of the normalized occupation measures towards an explicit mixture of the maximizers of the Pekar variational problem. This leads to a rigorous construction of the aforementioned Pekar process and hence, is a contribution to the understanding of the “mean-field approximation" of the polaron problem on the level of path measures. The method of our proof is based on the compact large deviation theory developed in [MV14], its extension to the uniform strong metric for the singular Coulomb interaction carried out in [KM15], as well as an idea inspired by a itpartial path exchange argument appearing in [BS97] -
J.-D. Deuschel, P. Friz, M. Maurelli, M. Slowik, The enhanced Sanov theorem and propagation of chaos, Stochastic Processes and their Applications, 128 (2018), pp. 2228--2269 (published online on 21.09.2017), DOI 10.1016/j.spa.2017.09.010 .
Abstract
We establish a Sanov type large deviation principle for an ensemble of interacting Brownian rough paths. As application a large deviations for the (k-layer, enhanced) empirical measure of weakly interacting diffusions is obtained. This in turn implies a propagation of chaos result in a space of rough paths and allows for a robust analysis of the particle system and its McKean?Vlasov type limit, as shown in two corollaries. -
CH. Hirsch, B. Jahnel, P. Keeler, R.I.A. Patterson, Large deviations in relay-augmented wireless networks, Queueing Systems. Theory and Applications, 88 (2018), pp. 349--387 (published online on 28.10.2017).
Abstract
We analyze a model of relay-augmented cellular wireless networks. The network users, who move according to a general mobility model based on a Poisson point process of continuous trajectories in a bounded domain, try to communicate with a base station located at the origin. Messages can be sent either directly or indirectly by relaying over a second user. We show that in a scenario of an increasing number of users, the probability that an atypically high number of users experiences bad quality of service over a certain amount of time, decays at an exponential speed. This speed is characterized via a constrained entropy minimization problem. Further, we provide simulation results indicating that solutions of this problem are potentially non-unique due to symmetry breaking. Also two general sources for bad quality of service can be detected, which we refer to as isolation and screening. -
W. König, Ch. Mukherjee, Mean-field interaction of Brownian occupation measures. I: Uniform tube property of the Coulomb functional, Annales de l'Institut Henri Poincare. Probabilites et Statistiques, 53 (2017), pp. 2214--2228, DOI 10.1214/16-AIHP788 .
Abstract
We study the transformed path measure arising from the self-interaction of a three-dimensional Brownian motion via an exponential tilt with the Coulomb energy of the occupation measures of the motion by time $t$. The logarithmic asymptotics of the partition function were identified in the 1980s by Donsker and Varadhan [DV83-P] in terms of a variational formula. Recently [MV14] a new technique for studying the path measure itself was introduced, which allows for proving that the normalized occupation measure asymptotically concentrates around the set of all maximizers of the formula. In the present paper, we show that likewise the Coulomb functional of the occupation measure concentrates around the set of corresponding Coulomb functionals of the maximizers in the uniform topology. This is a decisive step on the way to a rigorous proof of the convergence of the normalized occupation measures towards an explicit mixture of the maximizers, which will be carried out elsewhere. Our methods rely on deriving Hölder-continuity of the Coulomb functional of the occupation measure with exponentially small deviation probabilities and invoking the large-deviation theory developed in [MV14] to a certain shift-invariant functional of the occupation measures. -
A. Mielke, R.I.A. Patterson, M.A. Peletier, D.R.M. Renger, Non-equilibrium thermodynamical principles for chemical reactions with mass-action kinetics, SIAM Journal on Applied Mathematics, 77 (2017), pp. 1562--1585, DOI 10.1137/16M1102240 .
Abstract
We study stochastic interacting particle systems that model chemical reaction networks on the micro scale, converging to the macroscopic Reaction Rate Equation. One abstraction level higher, we study the ensemble of such particle systems, converging to the corresponding Liouville transport equation. For both systems, we calculate the corresponding large deviations and show that under the condition of detailed balance, the large deviations induce a non-linear relation between thermodynamic fluxes and free energy driving force. -
CH. Hirsch, B. Jahnel, P. Keeler, R.I.A. Patterson, Large-deviation principles for connectable receivers in wireless networks, Advances in Applied Probability, 48 (2016), pp. 1061--1094.
Abstract
We study large-deviation principles for a model of wireless networks consisting of Poisson point processes of transmitters and receivers, respectively. To each transmitter we associate a family of connectable receivers whose signal-to-interference-and-noise ratio is larger than a certain connectivity threshold. First, we show a large-deviation principle for the empirical measure of connectable receivers associated with transmitters in large boxes. Second, making use of the observation that the receivers connectable to the origin form a Cox point process, we derive a large-deviation principle for the rescaled process of these receivers as the connection threshold tends to zero. Finally, we show how these results can be used to develop importance-sampling algorithms that substantially reduce the variance for the estimation of probabilities of certain rare events such as users being unable to connect. -
S. Jansen, W. König, B. Metzger, Large deviations for cluster size distributions in a continuous classical many-body system, The Annals of Applied Probability, 25 (2015), pp. 930--973.
Abstract
An interesting problem in statistical physics is the condensation of classical particles in droplets or clusters when the pair-interaction is given by a stable Lennard-Jones-type potential. We study two aspects of this problem. We start by deriving a large deviations principle for the cluster size distribution for any inverse temperature $betain(0,infty)$ and particle density $rhoin(0,rho_rmcp)$ in the thermodynamic limit. Here $rho_rmcp >0$ is the close packing density. While in general the rate function is an abstract object, our second main result is the $Gamma$-convergence of the rate function towards an explicit limiting rate function in the low-temperature dilute limit $betatoinfty$, $rho downarrow 0$ such that $-beta^-1logrhoto nu$ for some $nuin(0,infty)$. The limiting rate function and its minimisers appeared in recent work, where the temperature and the particle density were coupled with the particle number. In the de-coupled limit considered here, we prove that just one cluster size is dominant, depending on the parameter $nu$. Under additional assumptions on the potential, the $Gamma$-convergence along curves can be strengthened to uniform bounds, valid in a low-temperature, low-density rectangle. -
D. Belomestny, M. Ladkau, J.G.M. Schoenmakers, Simulation based policy iteration for American style derivatives -- A multilevel approach, SIAM ASA J. Uncertainty Quantification, 3 (2015), pp. 460--483.
Abstract
This paper presents a novel approach to reduce the complexity of simulation based policy iteration methods for pricing American options. Typically, Monte Carlo construction of an improved policy gives rise to a nested simulation algorithm for the price of the American product. In this respect our new approach uses the multilevel idea in the context of the inner simulations required, where each level corresponds to a specific number of inner simulations. A thorough analysis of the crucial convergence rates in the respective multilevel policy improvement algorithm is presented. A detailed complexity analysis shows that a significant reduction in computational effort can be achieved in comparison to standard Monte Carlo based policy iteration. -
M. Erbar, J. Maas, D.R.M. Renger, From large deviations to Wasserstein gradient flows in multiple dimensions, Electronic Communications in Probability, 20 (2015), pp. 1--12.
Abstract
We study the large deviation rate functional for the empirical distribution of independent Brownian particles with drift. In one dimension, it has been shown by Adams, Dirr, Peletier and Zimmer [ADPZ11] that this functional is asymptotically equivalent (in the sense of Gamma-convergence) to the Jordan-Kinderlehrer-Otto functional arising in the Wasserstein gradient flow structure of the Fokker-Planck equation. In higher dimensions, part of this statement (the lower bound) has been recently proved by Duong, Laschos and Renger, but the upper bound remained open, since the proof in [DLR13] relies on regularity properties of optimal transport maps that are restricted to one dimension. In this note we present a new proof of the upper bound, thereby generalising the result of [ADPZ11] to arbitrary dimensions. -
O. Gün, W. König, O. Sekulović, Moment asymptotics for multitype branching random walks in random environment, Journal of Theoretical Probability, 28 (2015), pp. 1726--1742.
Abstract
We study a discrete time multitype branching random walk on a finite space with finite set of types. Particles follow a Markov chain on the spatial space whereas offspring distributions are given by a random field that is fixed throughout the evolution of the particles. Our main interest lies in the averaged (annealed) expectation of the population size, and its long-time asymptotics. We first derive, for fixed time, a formula for the expected population size with fixed offspring distributions, which is reminiscent of a Feynman-Kac formula. We choose Weibull-type distributions with parameter 1/ρij for the upper tail of the mean number of j type particles produced by an i type particle. We derive the first two terms of the long-time asymptotics, which are written as two coupled variational formulas, and interpret them in terms of the typical behavior of the system. -
W. König, T. Wolff, Large deviations for the local times of a random walk among random conductances in a growing box, Special issue for Pastur's 75th birthday, Markov Processes and Related Fields, 21 (2015), pp. 591--638.
Abstract
We derive an annealed large deviation principle (LDP) for the normalised and rescaled local times of a continuous-time random walk among random conductances (RWRC) in a time-dependent, growing box in Zd. We work in the interesting case that the conductances are positive, but may assume arbitrarily small values. Thus, the underlying picture of the principle is a joint strategy of small conductance values and large holding times of the walk. The speed and the rate function of our principle are explicit in terms of the lower tails of the conductance distribution as well as the time-dependent size of the box.
An interesting phase transition occurs if the thickness parameter of the conductance tails exceeds a certain threshold: for thicker tails, the random walk spreads out over the entire growing box, for thinner tails it stays confined to some bounded region. In fact, in the first case, the rate function turns out to be equal to the p-th power of the p-norm of the gradient of the square root for some 2d/(d+2) < p < 2. This extends the Donsker-Varadhan-Gärtner rate function for the local times of Brownian motion (with deterministic environment) from p=2 to these values.
As corollaries of our LDP, we derive the logarithmic asymptotics of the non-exit probability of the RWRC from the growing box, and the Lifshitz tails of the generator of the RWRC, the randomised Laplace operator. To contrast with the annealed, not uniformly elliptic case, we also provide an LDP in the quenched setting for conductances that are bounded and bounded away from zero. The main tool here is a spectral homogenisation result, based on a quenched invariance principle for the RWRC. -
A. Mielke, M.A. Peletier, D.R.M. Renger, On the relation between gradient flows and the large-deviation principle, with applications to Markov chains and diffusion, Potential Analysis, 41 (2014), pp. 1293--1325.
Abstract
Motivated by the occurence in rate functions of time-dependent large-deviation principles, we study a class of non-negative functions ℒ that induce a flow, given by ℒ(zt,żt)=0. We derive necessary and sufficient conditions for the unique existence of a generalized gradient structure for the induced flow, as well as explicit formulas for the corresponding driving entropy and dissipation functional. In particular, we show how these conditions can be given a probabilistic interpretation when ℒ is associated to the large deviations of a microscopic particle system. Finally, we illustrate the theory for independent Brownian particles with drift, which leads to the entropy-Wasserstein gradient structure, and for independent Markovian particles on a finite state space, which leads to a previously unknown gradient structure. -
M.H. Duong, V. Laschos, M. Renger, Wasserstein gradient flows from large deviations of many-particle limits, ESAIM. Control, Optimisation and Calculus of Variations, 19 (2013), pp. 1166--1188.
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M.A. Peletier, M. Renger, M. Veneroni, Variational formulation of the Fokker--Planck equation with decay: A particle approach, Communications in Contemporary Mathematics, 15 (2013), pp. 1350017/1--1350017/43.
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W. König, Ch. Mukherjee, Large deviations for Brownian intersection measures, Communications on Pure and Applied Mathematics, 66 (2013), pp. 263--306.
Abstract
We consider $p$ independent Brownian motions in $R^d$. We assume that $pgeq 2$ and $p(d-2)<d$. Let $ell_t$ denote the intersection measure of the $p$ paths by time $t$, i.e., the random measure on $R^d$ that assigns to any measurable set $Asubset R^d$ the amount of intersection local time of the motions spent in $A$ by time $t$. Earlier results of Chen citeCh09 derived the logarithmic asymptotics of the upper tails of the total mass $ell_t(R^d)$ as $ttoinfty$. In this paper, we derive a large-deviation principle for the normalised intersection measure $t^-pell_t$ on the set of positive measures on some open bounded set $BsubsetR^d$ as $ttoinfty$ before exiting $B$. The rate function is explicit and gives some rigorous meaning, in this asymptotic regime, to the understanding that the intersection measure is the pointwise product of the densities of the normalised occupation times measures of the $p$ motions. Our proof makes the classical Donsker-Varadhan principle for the latter applicable to the intersection measure. A second version of our principle is proved for the motions observed until the individual exit times from $B$, conditional on a large total mass in some compact set $Usubset B$. This extends earlier studies on the intersection measure by König and Mörters citeKM01,KM05. -
M. Becker, W. König, Self-intersection local times of random walks: Exponential moments in subcritical dimensions, Probability Theory and Related Fields, 154 (2012), pp. 585--605.
Abstract
Fix $p>1$, not necessarily integer, with $p(d-2)0$ that are bounded from above, possibly tending to zero. The speed is identified in terms of mixed powers of $t$ and $theta_t$, and the precise rate is characterized in terms of a variational formula, which is in close connection to the it Gagliardo-Nirenberg inequality. As a corollary, we obtain a large-deviation principle for $ ell_t _p/(t r_t)$ for deviation functions $r_t$ satisfying $t r_tggE[ ell_t _p]$. Informally, it turns out that the random walk homogeneously squeezes in a $t$-dependent box with diameter of order $ll t^1/d$ to produce the required amount of self-intersections. Our main tool is an upper bound for the joint density of the local times of the walk. -
S. Adams, A. Collevecchio, W. König, A variational formula for the free energy of an interacting many-particle system, The Annals of Probability, 39 (2011), pp. 683--728.
Abstract
We consider $N$ bosons in a box in $R^d$ with volume $N/rho$ under the influence of a mutually repellent pair potential. The particle density $rhoin(0,infty)$ is kept fixed. Our main result is the identification of the limiting free energy, $f(beta,rho)$, at positive temperature $1/beta$, in terms of an explicit variational formula, for any fixed $rho$ if $beta$ is sufficiently small, and for any fixed $beta$ if $rho$ is sufficiently small. The thermodynamic equilibrium is described by the symmetrised trace of $rm e^-beta Hcal_N$, where $Hcal_N$ denotes the corresponding Hamilton operator. The well-known Feynman-Kac formula reformulates this trace in terms of $N$ interacting Brownian bridges. Due to the symmetrisation, the bridges are organised in an ensemble of cycles of various lengths. The novelty of our approach is a description in terms of a marked Poisson point process whose marks are the cycles. This allows for an asymptotic analysis of the system via a large-deviations analysis of the stationary empirical field. The resulting variational formula ranges over random shift-invariant marked point fields and optimizes the sum of the interaction and the relative entropy with respect to the reference process. In our proof of the lower bound for the free energy, we drop all interaction involving lq infinitely longrq cycles, and their possible presence is signalled by a loss of mass of the lq finitely longrq cycles in the variational formula. In the proof of the upper bound, we only keep the mass on the lq finitely longrq cycles. We expect that the precise relationship between these two bounds lies at the heart of Bose-Einstein condensation and intend to analyse it further in future. -
W. König, P. Schmid, Brownian motion in a truncated Weyl chamber, Markov Processes and Related Fields, 17 (2011), pp. 499--522.
Abstract
We examine the non-exit probability of a multidimensional Brownian motion from a growing truncated Weyl chamber. Different regimes are identified according to the growth speed, ranging from polynomial decay over stretched-exponential to exponential decay. Furthermore we derive associated large deviation principles for the empirical measure of the properly rescaled and transformed Brownian motion as the dimension grows to infinity. Our main tool is an explicit eigenvalue expansion for the transition probabilities before exiting the truncated Weyl chamber. -
A. Collevecchio, W. König, P. Mörters, N. Sidorova, Phase transitions for dilute particle systems with Lennard--Jones potential, Communications in Mathematical Physics, 299 (2010), pp. 603--630.
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G. Grüninger, W. König, Potential confinement property in the parabolic Anderson model, Annales de l'Institut Henri Poincare. Probabilites et Statistiques, 45 (2009), pp. 840--863.
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W. König, H. Lacoin, P. Mörters, N. Sidorova, A two cities theorem for the parabolic Anderson model, The Annals of Probability, 37 (2009), pp. 347--392.
Beiträge zu Sammelwerken
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W. König, Branching random walks in random environment, in: Probabilistic Structures in Evolution, E. Baake, A. Wakolbinger, eds., Probabilistic Structures in Evolution, EMS Series of Congress Reports, European Mathematical Society Publishing House, 2021, pp. 23--41, DOI 10.4171/ECR/17-1/2 .
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B. Jahnel, W. König, Probabilistic methods for spatial multihop communication systems, in: Topics in Applied Analysis and Optimisation, M. Hintermüller, J.F. Rodrigues, eds., CIM Series in Mathematical Sciences, Springer Nature Switzerland AG, Cham, 2019, pp. 239--268.
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TH. Dickhaus, H. Finner, Asymptotic density crossing points of self-normalized sums and normal (electronic only), in: Proceedings of the 3rd Annual International Conference on Computational Mathematics, Computational Geometry and Statistics, CMCGS 2014, Singapore, February 3--4, 2014, Global Science and Technology Forum (GSTF), Singapore, pp. 84--88.
Preprints, Reports, Technical Reports
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W. König, Ch. Kwofie, The throughput in multi-channel (slotted) ALOHA: Large deviations and analysis of bad events, Preprint no. 2991, WIAS, Berlin, 2023, DOI 10.20347/WIAS.PREPRINT.2991 .
Abstract, PDF (295 kByte)
We consider ALOHA and slotted ALOHA protocols as medium access rules for a multi-channel message delivery system. Users decide randomly and independently with a minimal amount of knowledge about the system at random times to make a message emission attempt. We consider the two cases that the system has a fixed number of independent available channels, and that interference constraints make the delivery of too many messages at a time impossible. We derive probabilistic formulas for the most important quantities like the number of successfully delivered messages and the number of emission attempts, and we derive large-deviation principles for these quantities in the limit of many participants and many emission attempts. We analyse the rate functions and their minimizers and derive laws of large numbers for the throughput. We optimize it over the probability parameter. Furthermore, we are interested in questions like “if the number of successfully delivered messages is significantly lower than the expectation, was the reason that too many or too few sending attempts were made?”. Our main tools are basic tools from probability and the theory of (the probabilities of) large deviations. -
W. König, H. Shafigh, Multi-channel ALOHA and CSMA medium-access protocols: Markovian description and large deviations, Preprint no. 2985, WIAS, Berlin, 2022, DOI 10.20347/WIAS.PREPRINT.2985 .
Abstract, PDF (314 kByte)
We consider a multi-channel communication system under ALOHA and CSMA protocols, resepc- tively, in continuous time. We derive probabilistic formulas for the most important quantities: the numbers of sending attempts and the number of successfully delivered messages in a given time interval. We derive (1) explicit formulas for the large-time limiting throughput, (2) introduce an explicit and ergodic Markov chain for a deeper probabilistic analysis, and use this to (3) derive exponential asymptotics for rare events for these quantities in the limit of large time, via large-deviation principles. -
L. Andreis, W. König, H. Langhammer, R.I.A. Patterson, A large-deviations principle for all the components in a sparse inhomogeneous random graph, Preprint no. 2898, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2898 .
Abstract, PDF (690 kByte)
We study an inhomogeneous sparse random graph, GN, on [N] = { 1,...,N } as introduced in a seminal paper [BJR07] by Bollobás, Janson and Riordan (2007): vertices have a type (here in a compact metric space S), and edges between different vertices occur randomly and independently over all vertex pairs, with a probability depending on the two vertex types. In the limit N → ∞ , we consider the sparse regime, where the average degree is O(1). We prove a large-deviations principle with explicit rate function for the statistics of the collection of all the connected components, registered according to their vertex type sets, and distinguished according to being microscopic (of finite size) or macroscopic (of size ≈ N). In doing so, we derive explicit logarithmic asymptotics for the probability that GN is connected. We present a full analysis of the rate function including its minimizers. From this analysis we deduce a number of limit laws, conditional and unconditional, which provide comprehensive information about all the microscopic and macroscopic components of GN. In particular, we recover the criterion for the existence of the phase transition given in [BJR07]. -
B. Jahnel, Ch. Külske, Gibbsianness and non-Gibbsianness for Bernoulli lattice fields under removal of isolated sites, Preprint no. 2878, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2878 .
Abstract, PDF (426 kByte)
We consider the i.i.d. Bernoulli field μ p on Z d with occupation density p ∈ [0,1]. To each realization of the set of occupied sites we apply a thinning map that removes all occupied sites that are isolated in graph distance. We show that, while this map seems non-invasive for large p, as it changes only a small fraction p(1-p)2d of sites, there is p(d) <1 such that for all p ∈ (p(d), 1) the resulting measure is a non-Gibbsian measure, i.e., it does not possess a continuous version of its finite-volume conditional probabilities. On the other hand, for small p, the Gibbs property is preserved. -
R.I.A. Patterson, D.R.M. Renger, U. Sharma, Variational structures beyond gradient flows: A macroscopic fluctuation-theory perspective, Preprint no. 2826, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2826 .
Abstract, PDF (522 kByte)
Macroscopic equations arising out of stochastic particle systems in detailed balance (called dissipative systems or gradient flows) have a natural variational structure, which can be derived from the large-deviation rate functional for the density of the particle system. While large deviations can be studied in considerable generality, these variational structures are often restricted to systems in detailed balance. Using insights from macroscopic fluctuation theory, in this work we aim to generalise this variational connection beyond dissipative systems by augmenting densities with fluxes, which encode non-dissipative effects. Our main contribution is an abstract framework, which for a given flux-density cost and a quasipotential, provides a decomposition into dissipative and non-dissipative components and a generalised orthogonality relation between them. We then apply this abstract theory to various stochastic particle systems -- independent copies of jump processes, zero-range processes, chemical-reaction networks in complex balance and lattice-gas models. -
N. Nüsken, D.R.M. Renger, Stein variational gradient descent: Many-particle and long-time asymptotics, Preprint no. 2819, WIAS, Berlin, 2021, DOI 10.20347/WIAS.PREPRINT.2819 .
Abstract, PDF (430 kByte)
Stein variational gradient descent (SVGD) refers to a class of methods for Bayesian inference based on interacting particle systems. In this paper, we consider the originally proposed deterministic dynamics as well as a stochastic variant, each of which represent one of the two main paradigms in Bayesian computational statistics: emphvariational inference and emphMarkov chain Monte Carlo. As it turns out, these are tightly linked through a correspondence between gradient flow structures and large-deviation principles rooted in statistical physics. To expose this relationship, we develop the cotangent space construction for the Stein geometry, prove its basic properties, and determine the large-deviation functional governing the many-particle limit for the empirical measure. Moreover, we identify the emphStein-Fisher information (or emphkernelised Stein discrepancy) as its leading order contribution in the long-time and many-particle regime in the sense of $Gamma$-convergence, shedding some light on the finite-particle properties of SVGD. Finally, we establish a comparison principle between the Stein-Fisher information and RKHS-norms that might be of independent interest.
Vorträge, Poster
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B. Jahnel, Continuum percolation in random environments, Topics in High Dimensional Probability, January 2 - 13, 2023, International Centre for Theoretical Sciences, Bangalore, India, January 3, 2023.
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R.I.A. Patterson, Large deviations with vanishing reactant concentrations, Workshop on Chemical Reaction Networks, July 6 - 8, 2022, Politecnico di Torino, Department of Mathematical Sciences ``G. L. Lagrange'', Torino, Italy, July 7, 2022.
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E. Magnanini, Limit theorems for the edge density in exponential random graphs, Workshop ``Junior Female Researchers in Probability'', October 4 - 6, 2021, Stochastic Analysis in Interaction. Berlin--Oxford IRTG 2544, October 5, 2021.
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E. Magnanini, Limit theorems for the edge density in exponential random graphs, Probability Seminar, Università degli Studi di Firenze, Dipartimento di Matematica e Informatica ``Ulisse Dini'', Italy, November 17, 2021.
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B. Jahnel, Phase transitions for the Boolean model for Cox point processes (online talk), DYOGENE Seminar (Online Event), INRIA Paris, France, January 11, 2021.
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B. Jahnel, Phase transitions for the Boolean model for Cox point processes (online talk), Probability Seminar Bath (Online Event), University of Bath, Department of Mathematical Sciences, UK, October 18, 2021.
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L. Andreis, A large deviations approach to sparse random graphs (online talk), Bernoulli--IMS One World Symposium 2020 (Online Event), August 24 - 28, 2020, A virtual one week symposium on Probability and Mathematical Statistics. Bernoulli-IMS One World Symposium 2020, August 25, 2020.
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L. Andreis, Sparse inhomogeneous random graphs from a large deviation point of view (online talk), Probability Seminar (Online Event), University of Bath, Department of Mathematical Sciences, UK, June 1, 2020.
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L. Andreis, The phase transition in random graphs and coagulation processes: A large deviation approach (online talk), Seminar of DISMA (Online Event), Politecnico di Torino, Department of Mathematical Sciences (DISMA), Italy, July 14, 2020.
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R.I.A. Patterson, Interpreting LDPs without detailed balance, Workshop ``Variational Methods for Evolution'', September 13 - 19, 2020, Mathematisches Forschungsinstitut Oberwolfach, September 15, 2020.
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D.R.M. Renger, Reaction fluxes, Applied Mathematics Seminar, University of Birmingham, School of Mathematics, UK, April 4, 2019.
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L. Andreis, A large-deviations approach to the multiplicative coagulation process, Workshop ``Woman in Probability'', May 31 - June 1, 2019, Technische Universität München, Fakultät für Mathematik, May 31, 2019.
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L. Andreis, Coagulating particles and gelation phase transition: A large-deviation approach, Second Italian Meeting on Probability and Mathematical Statistics, June 17 - 20, 2019, Vietri sul Mare, Italy, June 19, 2019.
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L. Andreis, Large-deviation approach to coagulation processes and gelation, Workshop on Chemical Reaction Networks, July 1 - 3, 2019, Politecnico di Torino, Dipartimento di Scienze Matematiche ''G. L. Lagrange``, Italy, July 2, 2019.
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B. Jahnel, Continuum percolation in random environment, Workshop on Probability, Analysis and Applications (PAA), September 23 - October 4, 2019, African Institute for Mathematical Sciences --- Ghana (AIMS Ghana), Accra.
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R.I.A. Patterson, Fluctuations and confidence intervals for stochastic particle simulations, First Berlin--Leipzig Workshop on Fluctuating Hydrodynamics, August 26 - 30, 2019, Max-Planck-Institut für Mathematik in den Naturwissenschaften, Leipzig, August 29, 2019.
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R.I.A. Patterson, Flux large deviations, Workshop on Chemical Reaction Networks, July 1 - 3, 2019, Politecnico di Torino, Dipartimento di Scienze Matematiche ``G. L. Lagrange``, Italy, July 2, 2019.
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R.I.A. Patterson, Flux large deviations, Seminar, Statistical Laboratory, University of Cambridge, Faculty of Mathematics, UK, May 7, 2019.
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R.I.A. Patterson, The role of fluctuating hydrodynamics in the CRC 1114, CRC 1114 School 2019: Fluctuating Hydrodynamics, Zuse Institute Berlin (ZIB), October 28, 2019.
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M. Maurelli, Sanov theorem for Brownian rough paths and an application to interacting particles, Università di Roma La Sapienza, Dipartimento di Matematica Guido Castelnuovo, Italy, January 18, 2018.
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D.R.M. Renger, Gradient and GENERIC structures from flux large deviations, POLYPHYS Seminar, Eidgenössische Technische Hochschule Zürich, Department of Materials, Zürich, Switzerland, March 28, 2018.
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D.R.M. Renger, Gradient and GENERIC structures in the space of fluxes, Analysis of Evolutionary and Complex Systems (ALEX2018), September 24 - 28, 2018, WIAS Berlin, September 27, 2018.
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D.R.M. Renger, Gradient and Generic structures in the space of fluxes, Analysis of Evolutionary and Complex Systems (ALEX2018), September 24 - 28, 2018, WIAS Berlin, September 27, 2018.
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D.R.M. Renger, Large deviations for reaction fluxes, Workshop on Transformations and Phase Transitions, January 29 - 31, 2018, Ruhr-Universität Bochum, Fakultät für Mathematik, January 29, 2018.
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D.R.M. Renger, Large deviations for reaction fluxes, Università degli Studi dell'Aquila, Dipartimento di Ingegneria e Scienze dell'Informazione e Matematica, L'Aquila, Italy, January 10, 2018.
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W. van Zuijlen, A Hamilton--Jacobi point of view on mean-field Gibbs-non-Gibbs transitions, Workshop on Transformations and Phase Transitions, January 29 - 31, 2018, Ruhr-Universität Bochum, Fakultät für Mathematik, Bochum, January 30, 2018.
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L. Andreis, A large-deviations approach to the multiplicative coagulation process, Probability Seminar, Università degli Studi di Padova, Dipartimento di Matematica ``Tullio Levi--Civita'', Italy, October 12, 2018.
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L. Andreis, A large-deviations approach to the multiplicative coagulation process, Seminar ''Theory of Complex Systems and Neurophysics --- Theory of Statistical Physics and Nonlinear Dynamics``, Humboldt-Universität zu Berlin, Institut für Physik, October 30, 2018.
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CH. Bayer, Short-time near-the-money skew in rough fractional volatility models, 9-th International Workshop on Applied Probability, June 18 - 21, 2018, Eörvös Loránd University (ELU), Budapest, Hungary, June 19, 2018.
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A. Mielke, Construction of effective gradient systems via EDP convergence, Workshop on Mathematical Aspects of Non-Equilibrium Thermodynamics, March 5 - 7, 2018, Rheinisch-Westfälische Technische Hochschule Aachen, March 6, 2018.
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D.R.M. Renger, Gradient flows and GENERIC in flux space, Workshop ``Variational Methods for Evolution'', November 12 - 18, 2017, Mathematisches Forschungsinstitut Oberwolfach, November 16, 2017.
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D.R.M. Renger, Large deviations and gradient flows, Spring School 2017: From Particle Dynamics to Gradient Flows, February 27 - March 3, 2017, Technische Universität Kaiserslautern, Fachbereich Mathematik, March 1, 2017.
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A. Mielke, Perspectives for gradient flows, GAMM-Workshop on Analysis of Partial Differential Equations, September 27 - 29, 2017, Eindhoven University of Technology, Mathematics and Computer Science Department, Netherlands, September 28, 2017.
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M. Heida, Large deviation principle for a stochastic Allen--Cahn equation, 9th European Conference on Elliptic and Parabolic Problems, May 23 - 27, 2016, University of Zurich, Institute of Mathematics, Gaeta, Italy, May 25, 2016.
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M. Maurelli, Enhanced Sanov theorem and large deviations for interacting particles, Workshop ``Rough Paths, Regularity Structures and Related Topics'', May 1 - 7, 2016, Mathematisches Forschungsinstitut Oberwolfach, May 5, 2016.
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R.I.A. Patterson, Pathwise LDPs for chemical reaction networks, 12th German Probability and Statistics Days 2016 --- Bochumer Stochastik-Tage, February 29 - March 4, 2016, Ruhr-Universität Bochum, Fakultät für Mathematik, March 4, 2016.
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D.R.M. Renger, Large deviations for reacting particle systems: The empirical and ensemble processes, Workshop ``Interplay of Analysis and Probability in Applied Mathematics'', July 26 - August 1, 2015, Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach, July 30, 2015.
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M. Maurelli, A large deviation principle for enhanced Brownian empirical measure, 4th Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis, December 7 - 9, 2015, WIAS Berlin, December 8, 2015.
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M. Maurelli, A large deviation principle for interacting particle SDEs via rough paths, 38th Conference on Stochastic Processes and their Applications, July 13 - 17, 2015, University of Oxford, Oxford-Man Institute of Quantitative Finance, UK, July 14, 2015.
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M. Maurelli, Enhanced Sanov theorem for Brownian rough paths and an application to interacting particles, Seminar Stochastic Analysis, Imperial College London, UK, October 20, 2015.
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D.R.M. Renger, From large deviations to Wasserstein gradient flows in multiple dimensions, Workshop on Gradient Flows, Large Deviations and Applications, November 22 - 29, 2015, EURANDOM, Mathematics and Computer Science Department, Eindhoven, Netherlands, November 23, 2015.
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D.R.M. Renger, The empirical process of reacting particles: Large deviations and thermodynamic principles, Minisymposium ``Real World Phenomena Explained by Microscopic Particle Models'' of the 8th International Congress on Industrial and Applied Mathematics (ICIAM 2015), August 8 - 22, 2015, International Council for Industrial and Applied Mathematics, Beijing, China, August 10, 2015.
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D.R.M. Renger, The inverse problem: From gradient flows to large deviations, Workshop ``Analytic Approaches to Scaling Limits for Random System'', January 26 - 30, 2015, Universität Bonn, Hausdorff Research Institute for Mathematics, January 26, 2015.
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A. Mielke, Chemical Master Equation: Coarse graining via gradient structures, Kolloquium des SFB 1114 ``Scaling Cascades in Complex Systems'', Freie Universität Berlin, Fachbereich Mathematik, Berlin, June 4, 2015.
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A. Mielke, Evolutionary $Gamma$-convergence for generalized gradient systems, Workshop ``Gradient Flows'', June 22 - 23, 2015, Université Pierre et Marie Curie, Laboratoire Jacques-Louis Lions, Paris, France, June 22, 2015.
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A. Mielke, The Chemical Master Equation as a discretization of the Fokker--Planck and Liouville equation for chemical reactions, Colloquium of Collaborative Research Center/Transregio ``Discretization in Geometry and Dynamics'', Technische Universität Berlin, Institut für Mathematik, Berlin, February 10, 2015.
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A. Mielke, The Chemical Master Equation as entropic gradient flow, Conference ``New Trends in Optimal Transport'', March 2 - 6, 2015, Universität Bonn, Institut für Angewandte Mathematik, March 2, 2015.
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D.R.M. Renger, Connecting particle systems to entropy-driven gradient flows, Conference ``Stochastic Processes and High Dimensional Probability Distributions'', June 16 - 20, 2014, Euler International Mathematical Institute, Saint-Petersburg, Russian Federation, June 20, 2014.
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D.R.M. Renger, Connecting particle systems to entropy-driven gradient flows, Conference on Nonlinearity, Transport, Physics, and Patterns, October 6 - 10, 2014, Fields Institute for Research in Mathematical Sciences, Toronto, Canada, October 9, 2014.
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D.R.M. Renger, Connecting particle systems to entropy-driven gradient flows, Oberseminar ``Stochastische und Geometrische Analysis'', Universität Bonn, Institut für Angewandte Mathematik, May 28, 2014.
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TH. Dickhaus, H. Finner, Asymptotic density crossing points of self-normalized sums and normal, 3rd Annual International Conference on Computational Mathematics, Computational Geometry & Statistics (CMCGS 2014), February 3 - 4, 2014, Singapore, February 3, 2014.
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T. Wolff, Annealed asymptotics for occupation time measures of a random walk among random conductances, ``Young European Probabilists 2013 (YEP X)'' and ``School on Random Polymers'', January 8 - 12, 2013, EURANDOM, Eindhoven, Netherlands, January 10, 2013.
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W. König, Eigenvalue order statistics and mass concentration in the parabolic Anderson model, SFB/TR12 Workshop, November 4 - 8, 2012, Universität zu Köln, SFB TR12 ``Symmetries and Universality in Mesoscopic Systems'', Langeoog, November 7, 2012.
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W. König, Large deviations for the cluster size distributions in a classical interacting many-particle system with Lennard--Jones potential, Mark Kac Seminar, Eindhoven University of Technology, Netherlands, November 9, 2012.
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M. Becker , Random walks and self-intersections, Evolving Complex Networks (ECONS) Phd-Student Meeting, WIAS, August 24, 2010.
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S. Jansen, M. Aizenman, P. Jung, Symmetry breaking in quasi 1D Coulomb systems, Combinatorics and Analysis in Spatial Probability --- ESF Mathematics Conference in Partnership with EMS and ERCOM, Eindhoven, Netherlands, December 12 - 18, 2010.
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B. Metzger, The parabolic Anderson model: The asymptotics of the statistical moments and Lifshitz tails revisited, EURANDOM, Eindhoven, Netherlands, December 1, 2010.
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W. König, Die Universalitätsklassen im parabolischen Anderson-Modell, Mathematisches Kolloquium, Technische Universität Darmstadt, Fachbereich Mathematik, July 7, 2010.
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W. König, Phase transitions for dilute particle systems with Lennard--Jones potential, University of Bath, Department of Mathematical Sciences, UK, April 14, 2010.
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W. König, The parabolic Anderson model, XIV Escola Brasileira de Probabilidade, August 2 - 7, 2010, Instituto Nacional de Matemática Pura e Aplicada (IMPA), Rio de Janeiro, Brazil.
Preprints im Fremdverlag
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A. Bianchi, F. Collet, E. Magnanini, Limit theorems for exponential random graphs, Preprint no. arXiv:2105.06312, Cornell University Library, arXiv.org, 2021.
Abstract
We consider the edge-triangle model, a two-parameter family of exponential random graphs in which dependence between edges is introduced through triangles. In the so-called replica symmetric regime, the limiting free energy exists together with a complete characterization of the phase diagram of the model. We borrow tools from statistical mechanics to obtain limit theorems for the edge density. First, we determine the asymptotic distribution of this quantity, as the graph size tends to infinity, in the various phases. Then we study the fluctuations of the edge density around its average value off the critical curve and formulate conjectures about the behavior at criticality based on the analysis of a mean-field approximation of the model. Some of our results can be extended with no substantial changes to more general classes of exponential random graphs -
A. Bianchi, F. Collet, E. Magnanini, The GHS and other inequalities for the two-star model, Preprint no. arXiv:2107.08889, Cornell University Library, arXiv.org, 2021.
Abstract
We consider the two-star model, a family of exponential random graphs indexed by two real parameters, h and ?, that rule respectively the total number of edges and the mutual dependence between them. Borrowing tools from statistical mechanics, we study different classes of correlation inequalities for edges, that naturally emerge while taking the partial derivatives of the (finite size) free energy. In particular, under a mild hypothesis on the parameters, we derive first and second order correlation inequalities and then prove the so-called GHS inequality. As a consequence, the average edge density turns out to be an increasing and concave function of the parameter h, at any fixed size of the graph -
CH. Bayer, P. Friz, P. Gassiat, J. Martin, B. Stemper , A regularity structure for rough volatility, Preprint no. arXiv:1710.07481, Cornell University Library, arXiv.org, 2017.
Abstract
A new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture parsimoniously key stylized facts of the entire implied volatility surface, including extreme skews that were thought to be outside the scope of stochastic volatility. On the mathematical side, Markovianity and, partially, semi-martingality are lost. In this paper we show that Hairer's regularity structures, a major extension of rough path theory, which caused a revolution in the field of stochastic partial differential equations, also provides a new and powerful tool to analyze rough volatility models. -
J.-D. Deuschel, P. Friz, M. Maurelli, M. Slowik, The enhanced Sanov theorem and propagation of chaos, Preprint no. arxiv:1602.08043, Cornell University Library, arXiv.org, 2016.

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