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Large deviations for Brownian intersection measures
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DOI：10.1002/cpa.21407.png)
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摘要
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We consider p independent Brownian motions in R-d. We assume that p >= 2 and p(d - 2) < d. Let l(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 A subset of R-d the amount of intersection local time of the motions spent in A by time t. Earlier results of X. Chen derived the logarithmic asymptotics of the upper tails of the total mass l(t)(R-d) as t -> infinity. In this paper, we derive a large-deviation principle for the normalized intersection measure t(-p) l(t) on the set of positive measures on some open bounded set B subset of R-d as t -> infinity 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 normalized 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 U subset of B. This extends earlier studies on the intersection measure by Konig and Morters. (C) 2012 Wiley Periodicals, Inc.
Keyword:
MARKOV PROCESS EXPECTATIONS
ASYMPTOTIC EVALUATION
LARGE TIME
LOCAL-TIMES
MULTIPLE POINTS
MOTION
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