Large deviations for the Pearson family of ergodic diffusion processes involving a quadratic diffusion coefficient and a linear force
Abstract
The Pearson family of ergodic diffusions with a quadratic diffusion coefficient and a linear force is characterized by explicit dynamics of their integer moments and by explicit relaxation of spectral properties towards their steady state. Besides the OrnsteinUhlenbeck process with a Gaussian steady state, other representative examples of the Pearson family are the square root or the CoxIngersollRoss process converging towards the gamma distribution, the Jacobi process converging towards the beta distribution, the reciprocal gamma process (corresponding to an exponential functional of the Brownian motion) that converges towards the inversegamma distribution, the FisherSnedecor process and the Student process. The last three steady states display heavy tails. The goal of the present paper is to analyze the large deviation properties of these various diffusion processes in a unified framework. We first consider level 1 concerning timeaveraged observables over a large time window T. We write the first rescaled cumulants for generic observables and identify specific observables whose large deviations can be explicitly computed from the dominant eigenvalue of the appropriate deformed generator. The explicit large deviations at level 2 concerning the timeaveraged density are then used to analyze the statistical inference of model parameters from data on a very long stochastic trajectory in order to obtain the explicit rate function for the two inferred parameters of the Pearson linear force.
 Publication:

Journal of Statistical Mechanics: Theory and Experiment
 Pub Date:
 August 2023
 DOI:
 10.1088/17425468/ace431
 arXiv:
 arXiv:2303.09348
 Bibcode:
 2023JSMTE2023h3204M
 Keywords:

 Pearson diffusion processes;
 spectral decomposition;
 supersymmetric quantum mechanics;
 large deviations;
 timeaveraged observables;
 empirical density;
 inference of model parameters;
 Condensed Matter  Statistical Mechanics;
 Mathematics  Probability
 EPrint:
 v3=final version (63 pages) with new discussions of boundary conditions in various sections with respect to v1