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 are characterized by explicit dynamics of their integer moments and by explicit relaxation spectral properties towards their steady state. Besides the Ornstein-Uhlenbeck process with a Gaussian steady state, the other representative examples of the Pearson family are the Square-Root or the Cox-Ingersoll-Ross 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 Inverse-Gamma-distribution, the Fisher-Snedecor process, and the Student process, so that the last three steady states display heavy-tails. The goal of the present paper is to analyze the large deviations properties of these various diffusion processes in a unified framework. We first consider the Level 1 concerning time-averaged observables over a large time-window $T$ : we write the first rescaled cumulants for generic observables and we identify the 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 time-averaged 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.

arXiv commentv3=final version (63 pages) with new discussions of boundary conditions in various sections with respect to v1

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