Large deviations for two-time-scale diffusions, with delays

DOI10.1007/S00245-010-9104-YzbMath1215.34099OpenAlexW2170319173MaRDI QIDQ607781

Harold J. Kushner

Publication date: 3 December 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-010-9104-y

zbMATH Keywords

two-time-scale systemslarge deviationsdelay equations

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Singular perturbations of functional-differential equations (34K26)

Related Items (6)

Large deviations for the two-time-scale stochastic convective Brinkman-Forchheimer equations ⋮ Large deviations for multiscale diffusion via weak convergence methods ⋮ Large deviations and importance sampling for systems of slow-fast motion ⋮ Large deviation for two-time-scale stochastic burgers equation ⋮ Large deviations for Gaussian diffusions with delay ⋮ Large deviations for some fast stochastic volatility models by viscosity methods

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Euler schemes and large deviations for stochastic Volterra equations with singular kernels
• Freidlin-Wentzell's large deviations for stochastic evolution equations
• Numerical methods for controlled stochastic delay systems
• Large deviations for stochastic evolution equations with small multiplicative noise
• Weak convergence methods and singularly perturbed stochastic control and filtering problems
• A variational representation for certain functionals of Brownian motion
• 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 stochastic systems with memory
• Averaging of singularly perturbed controlled stochastic differential equations
• On Existence of Limit Occupational Measures Set of a Controlled Stochastic Differential Equation
• Ergodicity, stabilization, and singular perturbations for Bellman-Isaacs equations
• Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control
• On lipschitz continuity of the solution mapping to the skorokhod problem, with applications

This page was built for publication: Large deviations for two-time-scale diffusions, with delays