Large Deviations for Additive Functionals of Reflected Jump-Diffusions

Abstract

We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establish long-term results for a general additive process of its path. This includes the long-term behaviour of its occupation time in the interior and on the boundaries. We derive a characterization of the large deviation rate function which quantifies the rate of exponential decay of probabilities of rare events for paths of the process. The characterization relies on a solution of a partial integro-differential equation (PIDE) with boundary constraints. We develop a practical implementation of our results in terms of a numerical solution for the PIDE. We illustrate the method on a few standard examples (Brownian motion, birth-death processes) and on a particular jump-diffusion model arising from applications to biochemical reactions.