This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

We study the large deviations and the central limit theorem for the occupation time functional of a Poisson system of independent Brownian particles in , extending the results of Cox and Griffeath (1984) to functional spaces. In the lower (recurrent) dimensions d = 1, 2 we have critical orders T...

This paper studies the dynamic entropic repulsion for the Ginzburg-Landau [backward difference][phi] interface model on the wall. Depending on the lattice dimension d, the interface is repelled as t--[infinity] to for d=3 and logt for d=2. In the harmonic case with a quadratic interaction...

We study the existence of first derivatives with respect to the initial condition of the solution of a finite system of SDEs with reflection. We prove that such derivatives evolve according to a linear differential equation when the process is away from the boundary and that they are projected...

We consider the anharmonic crystal, or lattice massless field, with 0-boundary conditions outside and N a large natural number, that is the finite volume Gibbs measure on for every x[negated set membership]DN} with Hamiltonian [summation operator]x~yV([phi]x-[phi]y), V a strictly convex even...