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

DOI10.1007/S11464-018-0710-3MaRDI QIDQ1787151zbMATH OpenOpenAlexFDO

Authors Yongqiang Suo, Jin Tao, Wei Zhang

Publication date 4 October 2018

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

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

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)

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.

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Cited in

(8)

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

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