General large deviations principle for stationary reflected Brownian motion in the octant

Let ZZ be a semimartingale reflected Brownian motion (SRBM) with data (θ,Γ,R)(\theta,\Gamma,R), where RR is a completely-S\mathcal{S} matrix and there is a probability measure Pπ\mathbb{P}_{\pi} under which ZZ is stationary. For a measurable set AR+dA\subset\mathbb{R}^d_+, let AcA^c and AoA^o denote its closure and interior, respectively.

General large deviations principle. For every measurable AR+dA\subset\mathbb{R}^d_+,

lim supu1ulogPπ(Z(0)/uA)infvAcI(v)\limsup_{u\to\infty}\frac{1}{u}\log\mathbb{P}_{\pi}(Z(0)/u\in A)\leq-\inf_{v\in A^c}I(v)

\nand

lim infu1ulogPπ(Z(0)/uA)infvAoI(v).\liminf_{u\to\infty}\frac{1}{u}\log\mathbb{P}_{\pi}(Z(0)/u\in A)\geq-\inf_{v\in A^o}I(v).

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.

Sources & referencesView supporting material

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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