MDP for integral functionals of fast and slow processes with averaging

DOI10.1016/J.SPA.2005.02.008MaRDI QIDQ2485478zbMATH OpenOpenAlexFDO

Authors Arnaud Guillin, R. Liptser

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0304426

zbMATH Keywords

diffusion with averagingmoderate deviationsPoisson equations

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We establish large deviation principle (LDP) for the family of vector-valued random processes $(X^{e}psilon,Y^{e}psilon),epsilono0$ defined as ${\displaystyle }$ X^epsilon_t=frac{1}{epsilon^kappa}int_0^t H(xi^epsilon_s,Y^epsilon_s)ds, dY^epsilon_t=F(xi^epsilon_t,Y^epsilon_t)dt+ Depsilon^{1/2-kappa}G(xi^epsilon_t,Y^epsilon_t)dW_t,${\displaystyle }$ where $W_t$ is Wiener process and $x{i}^{e}psilo{n}_t$ is fast ergodic diffusion. We show that, under $kappa<1/2$ or less and Veretennikov-Khasminskii type condition for fast diffusion, the LDP holds with rate function of Freidlin-Wentzell's type.

Review text

The moderate deviation principle (MDP) is established for an integral functional of a stochastic system of ``Freidlin's type, with fast and slow components. An advantage of this approach for computations is a much more easily computable rate function, in comparison to the ``standard large deviation (LD) scale. This provides, of course, certain asymptotics in different scales of parameters for MDP and LDP; however, e.g., in some statistical problems both scales may be suitable, so that the computational convenience can be, indeed, important. Recent advances in large deviations, due to A. Pukhalskij, and Poisson equations in unbounded Euclidean spaces are essential components of the method.

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