Moderate deviation principle for multiscale systems driven by fractional Brownian motion
The authors study the asymptotic behavior of the solution of the system \[ dX_t^\varepsilon= g(X_t^\varepsilon,Y_t^\varepsilon)dt+\sqrt{\varepsilon}f(X_t^\varepsilon,Y_t^\varepsilon)dW_t^H, X_0^\varepsilon=x_0, \] \[ dY_t^\varepsilon=\frac{1}{\varepsilon}c(Y_t^\varepsilon)+ \frac{1}{\sqrt{\varepsilon}}\sigma(Y_t^\varepsilon)dB_t,Y_0^\varepsilon=y_0, \] where \(\varepsilon \rightarrow 0, t \in [0,1], (X_t^\varepsilon, Y_t^\varepsilon) \in \mathbb R^d\times \mathbb R^d,\) \(B\) is a standard Brownian motion and \(W^H\) is a \(p\)-dimensional fractional Brownian motion with Hurst parameter \(H\in (1/2,1).\) Suppose that \(h(\varepsilon)\rightarrow \infty\) such that \(\sqrt{\varepsilon}h(\varepsilon)\rightarrow 0\) and let \(\bar X_t= \lim_{\varepsilon\rightarrow 0}X_t^\varepsilon.\) The moderate deviation process is defined by \[ \eta_t^\varepsilon= \frac{X_t^\varepsilon- \bar X_t}{\sqrt{\varepsilon}h(\varepsilon)}. \] The authors investigate the asymptotic behaviour of the process \(X_t^\varepsilon\) as \(\varepsilon \rightarrow 0\) in the moderate deviation setting. It is shown that the resulting action functional is discontinuous in \(H\) at \(H=1/2\), indicating that the tail behaviour of stochastic dynamical systems perturbed by fBm can have different characteristics than the tail behaviour of such systems that are perturbed by standard Brownian motion.
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