Moderate deviation and central limit theorem for stochastic differential delay equations with polynomial growth

DOI10.1007/S11464-018-0710-3zbMATH Open1401.60039arXiv1806.11003OpenAlexW2830556264MaRDI QIDQ1787151FDOQ1787151

Authors: Yongqiang Suo, Jin Tao, Wei Zhang 

Publication date: 4 October 2018

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Abstract: In this paper, employing the weak convergence method, based on a variational representation for expected values of positive functionals of a Brownian motion, we investigate moderate deviation %(CLT for abbreviation) for a class of stochastic differential delay equations with small noises, where the coefficients are allowed to be highly nonlinear growth with respect to the variables. Moreover, we obtain the central limit theorem for stochastic differential delay equations which the coefficients are polynomial growth with respect to the delay variables.

Full work available at URL: https://arxiv.org/abs/1806.11003

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zbMATH Keywords

central limit theoremweak convergencepolynomial growthdeviation principlemoderatestochastic differential delay equation (SDDE)

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (8)

• Moderate deviations for two-time scale systems with mixed fractional Brownian motion
• Moderate deviations for rough differential equations
• Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations
• On the existence of continuous processes with given one-dimensional distributions
• Fisher information bounds and applications to SDEs with small noise
• Moderate deviations for neutral functional stochastic differential equations driven by Lévy noises
• Optimal total variation bounds for stochastic differential delay equations with small noises
• Large deviations for neutral stochastic functional differential equations

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