Examples of moderate deviation principle for diffusion processes
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Abstract: Taking into account some likeness of moderate deviations (MD) and central limit theorems (CLT), we develop an approach, which made a good showing in CLT, for MD analysis of a family S^kappa_t=frac{1}{t^kappa}int_0^tH(X_s)ds, t oinfty for an ergodic diffusion process under and appropriate . We mean a decomposition with ``corrector: frac{1}{t^kappa}int_0^tH(X_s)ds={
m corrector}+frac{1}{t^kappa}underbrace{M_t}_{
m martingale}. and show that, as in the CLT analysis, the corrector is negligible but in the MD scale, and the main contribution in the MD brings the family `` Starting from Bayer and Freidlin, cite{BF}, and finishing by Wu's papers cite{Wu1}-cite{WuH}, in the MD study Laplace's transform dominates. In the paper, we replace the Laplace technique by one, admitting to give the conditions, providing the MD, in terms of ``drift-diffusion parameters and . However, a verification of these conditions heavily depends on a specificity of a diffusion model. That is why the paper is named ``Examples ....
The authors study the moderate deviation principle (MDP) for the family \((S_t^k)_{t\to+\infty}, k\in (0.5,1):\) \[ S_t^k:=\frac{1}{t^k}\int_0^tH(X_s)ds, \] where \(X=(X_t)_{t\geq 0}\in R^d,d\geq 1\) is an ergodic diffusion process with unique invariant measure \(\mu(dz)\) possessing a density \(p(z).\) The function \(H\) is assumed to be integrable relative to \(\mu(dz)\) and has zero barycenter \[ \int_{R^d}H(z)p(z)dz=0. \] The SDE under consideration is \(dX=b(X)dt+\sigma(X)dW(t),\) generated by a standard vector-valued Wiener process \(W.\) In most papers on the topic, the Laplace transform is used to study the MDP. In this paper, authors replace this technique by `stochastic exponential' one, enabling to formulate the MDP conditions in terms of `drift-diffusion' parameters and \(H.\)
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