General large deviations principle for stationary reflected Brownian motion in the octant
General large deviations principle for stationary reflected Brownian motion in the octant
Let be a semimartingale reflected Brownian motion (SRBM) with data , where is a completely- matrix and there is a probability measure under which is stationary. For a measurable set , let and denote its closure and interior, respectively.
General large deviations principle. For every measurable ,
\nand
The principle describes the exponential decay of the stationary distribution's probabilities at large spatial scales; the source notes that it had only been established in some special cases, so its general validity remains open.
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Primary source
Ziyu Liang and John J. Hasenbein, “Optimal Paths in Large Deviations of Symmetric Reflected Brownian Motion in the Octant”, arXiv:1208.1971 (2013).
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