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

DOI10.1007/S00245-010-9104-YMaRDI QIDQ607781zbMATH OpenOpenAlexFDO

Authors 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

delay equationslarge deviationstwo-time-scale systems

Mathematics Subject Classification ID

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

Review text

Large deviations results for two-time-scale systems of reflected diffusion form, possibly with delays in the slow variable are obtained, by using the Dupuis-Ellis weak convergence approach.

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Cited in

(8)

• Large deviations for Gaussian diffusions with delay
• Large deviations and importance sampling for systems of slow-fast motion
• Large deviations for some fast stochastic volatility models by viscosity methods
• Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems
• Large deviations for multiscale diffusion via weak convergence methods
• Large deviation for two-time-scale stochastic Burgers equation
• Large deviations for the two-time-scale stochastic convective Brinkman-Forchheimer equations
• Large deviations of multiscale multivalued McKean-Vlasov stochastic systems

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