4 papers
Large deviations for Markov jump processes with uniformly diminishing rates
Andrea Agazzi, Luisa Andreis, Robert I. A. Patterson +1
We prove a large-deviation principle (LDP) for the sample paths of jump Markov processes in the small noise limit when, possibly, all the jump rates vanish uniformly, but slowly en…
Pricing Reliability Options under different electricity prices' regimes
Luisa Andreis, Maria Flora, Fulvio Fontini +1
Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by pow…
A large-deviations principle for all the cluster sizes of a sparse Erdős-Rényi graph
Luisa Andreis, Wolfgang König, Robert I. A. Patterson
Let be the Erdős-Rényi graph with connection probability as for a fixed . We derive a large-deviatio…
Ergodicity of a system of interacting random walks with asymmetric interaction
Luisa Andreis, Amine Asselah, Paolo Dai Pra
We study N interacting random walks on the positive integers. Each particle has drift δ towards infinity, a reflection at the origin, and a drift towards particles with lower posit…