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Showing posts with the label Ornstein-Uhlenbeck process

Why Biological Systems Suddenly Change State: An Intuitive Guide to Freidlin–Wentzell Theory

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  Stochasticity is ubiquitous in biology and neuroscience, manifesting in various forms, including ion channel noise, synaptic variability, gene regulatory fluctuations, noisy population dynamics, and more. Many biological systems spend long periods in a stable “state” and only rarely transition to another state due to noise. For instance, a neuron typically remains inactive but may occasionally trigger a spontaneous spike. Similarly, a gene can switch from the OFF state to the ON state due to rare bursts of transcription factors. Cells can also transition out of metabolic or epigenetic states, populations might shift between different ecological equilibria, and a viral infection can fluctuate between phases of control and uncontrollability. Freidlin–Wentzell theory provides a mathematically rigorous framework to study these phenomena when noise is small but nonzero . It tells you, firstly, h ow likely rare transitions are,    secondly,   h ow fast they occ...

Sanov’s Theorem and Girsanov Transformations in Diffusion Processes

  In the context of large deviation theory, it is valuable to explore how  Sanov’s theorem and the Girsanov transformation interact in the context of two fundamental diffusion models: Brownian motion and the Ornstein–Uhlenbeck process. 1. Introduction Sanov’s theorem describes the exponential decay of probabilities associated with atypical empirical distributions of i.i.d. random variables. Girsanov’s theorem, on the other hand, provides a way to modify the drift of a stochastic process by changing the underlying probability measure. Together, they form a natural bridge between empirical deviations and pathwise deviations in diffusion processes. Notation For clarity, we summarize the variables and symbols used throughout this post: \(X_t\) : generic diffusion process. \(B_t\) : Brownian motion with volatility \(\sigma\). \(\sigma\) : diffusion coefficient (scalar or matrix). \(W_t\) : standard Brownian motion under the reference measure...

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