Large deviations for small noise diffusions in a fast Markovian environment
From MaRDI portal
Abstract: A large deviation principle is established for a two-scale stochastic system in which the slow component is a continuous process given by a small noise finite dimensional It^{o} stochastic differential equation, and the fast component is a finite state pure jump process. Previous works have considered settings where the coupling between the components is weak in a certain sense. In the current work we study a fully coupled system in which the drift and diffusion coefficient of the slow component and the jump intensity function and jump distribution of the fast process depend on the states of both components. In addition, the diffusion can be degenerate. Our proofs use certain stochastic control representations for expectations of exponential functionals of finite dimensional Brownian motions and Poisson random measures together with weak convergence arguments. A key challenge is in the proof of the large deviation lower bound where, due to the interplay between the degeneracy of the diffusion and the full dependence of the coefficients on the two components, the associated local rate function has poor regularity properties.
Recommendations
- Large deviations for multi-scale regime-switching jump diffusion systems
- On Large Deviations for Stochastic DifferentialEquations with a Small Diffusion and Averaging
- Large deviations for a slow-fast system with jump-diffusion processes
- On Large Deviations in the Averaging Principle for Stochastic Differential Equations with "Complete Dependence"
- On large deviations for small noise Itô processes
Cites work
- scientific article; zbMATH DE number 4147221 (Why is no real title available?)
- scientific article; zbMATH DE number 1239549 (Why is no real title available?)
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- scientific article; zbMATH DE number 195091 (Why is no real title available?)
- scientific article; zbMATH DE number 3242513 (Why is no real title available?)
- scientific article; zbMATH DE number 3366247 (Why is no real title available?)
- A variational representation for certain functionals of Brownian motion
- Asymptotic analysis of multiscale approximations to reaction networks
- Averaging in dynamical systems and large deviations
- Central limit theorems and diffusion approximations for multiscale Markov chain models
- Importance sampling for multiscale diffusions
- Large deviations and adiabatic transitions for dynamical systems and Markov processes in fully coupled averaging
- Large deviations for Markov-modulated diffusion processes with rapid switching
- Large deviations for infinite dimensional stochastic dynamical systems
- Large deviations for multi-scale Markovian switching systems with a small diffusion
- Large deviations for multi-scale jump-diffusion processes
- Large deviations for stochastic partial differential equations driven by a Poisson random measure
- Large deviations for stochastic processes.
- Large deviations for two scaled diffusions
- Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems
- Mathematical aspects of classical and celestial mechanics. Transl. from the Russian by E. Khukhro.
- Moderate deviation principles for stochastic differential equations with jumps
- On large deviations for SDEs with small diffusion and averaging.
- On large deviations in the averaging principle for SDEs with a ``full dependence
- On large deviations of coupled diffusions with time scale separation
- Separation of time-scales and model reduction for stochastic reaction networks
- Variational representations for continuous time processes
Cited in
(20)- Large deviations for small noise diffusions over long time
- Large deviations of mean-field interacting particle systems in a fast varying environment
- Large deviation principles for Langevin equations in random environment and applications
- Large deviations for regime-switching diffusions with infinite delay
- Large-deviation principles of switching Markov processes via Hamilton-Jacobi equations
- Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure
- Large deviations for Lévy diffusions in the small noise regime
- Second-order fast-slow stochastic systems
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation
- On large deviations of coupled diffusions with time scale separation
- Splitting algorithms for rare event simulation over long time intervals
- Mean field interaction on random graphs with dynamically changing multi-color edges
- Large deviations for neutral stochastic functional differential equations
- Quenched large deviations for multiscale diffusion processes in random environments
- Averaging principle for two time-scale regime-switching processes
- Large deviations for multi-scale regime-switching jump diffusion systems
- Averaging principle and normal deviations for multiscale stochastic systems
- Functional large deviations for Kac-Stroock approximation to a class of Gaussian processes with application to small noise diffusions
- Large and moderate deviations for stochastic Volterra systems
- Dynamical systems under random perturbations with fast switching and slow diffusion: hyperbolic equilibria and stable limit cycles
This page was built for publication: Large deviations for small noise diffusions in a fast Markovian environment
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1994521)
