Large deviations for multiscale diffusion via weak convergence methods
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Abstract: We study the large deviations principle for locally periodic stochastic differential equations with small noise and fast oscillating coefficients. There are three possible regimes depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter. We use weak convergence methods which provide convenient representations for the action functional for all three regimes. Along the way we study weak limits of related controlled SDEs with fast oscillating coefficients and derive, in some cases, a control that nearly achieves the large deviations lower bound at the prelimit level. This control is useful for designing efficient importance sampling schemes for multiscale diffusions driven by small noise.
The authors derive a large deviation principle (LDP) for two-scale SDEs via a Laplace principle and weak convergence methods. The framework consists of SDEs with Lipschitz continuous coefficients that are locally periodic in the fast time scale but admits a generalization for special cases. Such a framework is motivated by rugged energy landscapes in chemical physics or biology and importance sampling. Results are stated under the three possible limit regimes for the ratio of the time scale \(\delta\) and the noise level \(\epsilon\), i.e \(\epsilon/\delta\to 0,\infty\) or \(\gamma\in(0,\infty)\).NEWLINENEWLINEIf a large deviation functional \(S\) has compact level sets (i.e. a good rate function) then the LDP for solutions \(X^{\epsilon}\) is equivalent to the Laplace principle NEWLINE\[NEWLINE \lim_{\epsilon\downarrow 0}-\epsilon\ln\mathbb{E}\left[ \exp\left\{ -\frac{h(X^{\epsilon})}{\epsilon} \right\}\right]=\inf_{\phi\in\mathcal{C}([0,1])} \left[ S(\phi)-h(\phi) \right] NEWLINE\]NEWLINE for bounded continuous \(h\) and the infimum is taken over the sample space of \(X^{\epsilon}\). Their method consists of expressing the prelimit left hand side as control problem with \(\bar X^{\epsilon}\) solution to a controlled SDE and the control \(u\). Weak convergence of \(\bar X^{\epsilon}/\delta\) then gives that the functional \(S\) is given by a variational equation for pairs \((\phi,P)\), where the probability measures \(P\) is determined by \(\phi\) and the generator of this limit. The method allows to obtain a control that nearly achieves the LDP lower bound at prelimit level.
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