Large deviations for multiscale diffusion via weak convergence methods
From MaRDI portal
Publication:424511
DOI10.1016/j.spa.2011.12.006zbMath1247.60034arXiv1011.5933MaRDI QIDQ424511
Paul Dupuis, Konstantinos V. Spiliopoulos
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.5933
importance sampling; large deviations; weak convergence methods; multiscale diffusions; Laplace principle; rugged energy landscape
60J60: Diffusion processes
60F10: Large deviations
60G17: Sample path properties
70K70: Systems with slow and fast motions for nonlinear problems in mechanics
Related Items
Importance Sampling for Metastable and Multiscale Dynamical Systems, Minimizing movements for oscillating energies: the critical regime, Large deviation for two-time-scale stochastic burgers equation, Fluctuation analysis and short time asymptotics for multiple scales diffusion processes, Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations, Moderate deviation principle for multiscale systems driven by fractional Brownian motion, Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems, Large deviations for the two-time-scale stochastic convective Brinkman-Forchheimer equations, Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs, Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations, Large deviations for small noise diffusions over long time, Large deviations for some fast stochastic volatility models by viscosity methods, Maximum likelihood estimation for small noise multiscale diffusions, Quadratic and rate-independent limits for a large-deviations functional, Large deviations for multi-scale jump-diffusion processes, Large deviations and importance sampling for systems of slow-fast motion, Averaging principle and normal deviations for multiscale stochastic systems, Diffusion approximation for fully coupled stochastic differential equations, Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles, Large deviations for interacting multiscale particle systems, Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions, Pathwise large deviations for white noise chaos expansions, Large and moderate deviations for stochastic Volterra systems, Large deviations and averaging for stochastic tamed 3D Navier-Stokes equations with fast oscillations, Large deviations for a slow-fast system with jump-diffusion processes, From fluctuating kinetics to fluctuating hydrodynamics: a \(\Gamma \)-convergence of large deviations functionals approach, Large deviations and averaging for systems of slow-fast stochastic reaction-diffusion equations, Large deviations for synchronized system, Typical dynamics and fluctuation analysis of slow–fast systems driven by fractional Brownian motion, Rare Event Simulation for Multiscale Diffusions in Random Environments
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Large deviations for two-time-scale diffusions, with delays
- Large deviations for diffusion processes with homogenization and applications
- Weak convergence methods and singularly perturbed stochastic control and filtering problems
- A variational representation for certain functionals of Brownian motion
- On Poisson equation and diffusion approximation. II.
- A comparison of homogenization and large deviations, with applications to wavefront propagation
- On large deviations in the averaging principle for SDEs with a ``full dependence
- On large deviations for SDEs with small diffusion and averaging.
- Large deviations for two scaled diffusions
- Large deviations for small noise diffusions with discontinuous statistics
- Probabilistic approach to homogenization of viscosity solutions of parabolic PDEs
- Averaging of singularly perturbed controlled stochastic differential equations
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Importance Sampling for Multiscale Diffusions
- Ergodic Control of Diffusion Processes
- On ergodic stochastic control
- Existence of Markov Controls and Characterization of Optimal Markov Controls
- On a Representation of the Limit Occupational Measures Set of a Control System with Applications to Singularly Perturbed Control Systems
- Multiscale Singularly Perturbed Control Systems: Limit Occupational Measures Sets and Averaging
- Singularly perturbed ordinary differential equations with dynamic limits