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

moderate deviationsPoisson equationsdiffusion with averaging

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.

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Cited in

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• Moderate deviations for two-time scale systems with mixed fractional Brownian motion
• Large deviation for slow-fast McKean-Vlasov stochastic differential equations driven by fractional Brownian motions and Brownian motions
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