Examples of moderate deviation principle for diffusion processes
From MaRDI portal
(Redirected from Publication:2471398)
Abstract: Taking into account some likeness of moderate deviations (MD) and central limit theorems (CLT), we develop an approach, which made a good showing in CLT, for MD analysis of a family S^kappa_t=frac{1}{t^kappa}int_0^tH(X_s)ds, t oinfty for an ergodic diffusion process under and appropriate . We mean a decomposition with ``corrector: frac{1}{t^kappa}int_0^tH(X_s)ds={
m corrector}+frac{1}{t^kappa}underbrace{M_t}_{
m martingale}. and show that, as in the CLT analysis, the corrector is negligible but in the MD scale, and the main contribution in the MD brings the family `` Starting from Bayer and Freidlin, cite{BF}, and finishing by Wu's papers cite{Wu1}-cite{WuH}, in the MD study Laplace's transform dominates. In the paper, we replace the Laplace technique by one, admitting to give the conditions, providing the MD, in terms of ``drift-diffusion parameters and . However, a verification of these conditions heavily depends on a specificity of a diffusion model. That is why the paper is named ``Examples ....
The authors study the moderate deviation principle (MDP) for the family \((S_t^k)_{t\to+\infty}, k\in (0.5,1):\) \[ S_t^k:=\frac{1}{t^k}\int_0^tH(X_s)ds, \] where \(X=(X_t)_{t\geq 0}\in R^d,d\geq 1\) is an ergodic diffusion process with unique invariant measure \(\mu(dz)\) possessing a density \(p(z).\) The function \(H\) is assumed to be integrable relative to \(\mu(dz)\) and has zero barycenter \[ \int_{R^d}H(z)p(z)dz=0. \] The SDE under consideration is \(dX=b(X)dt+\sigma(X)dW(t),\) generated by a standard vector-valued Wiener process \(W.\) In most papers on the topic, the Laplace transform is used to study the MDP. In this paper, authors replace this technique by `stochastic exponential' one, enabling to formulate the MDP conditions in terms of `drift-diffusion' parameters and \(H.\)
Recommendations
- Moderate deviations for dynamic model governed by stationary process
- Moderate deviations in the averaging principle of a SDE with small diffusion in a random environment
- Moderate deviations type evaluation for integral functionals of diffusion processes
- scientific article; zbMATH DE number 5066261
- Moderate deviations for a diffusion-type process in a random environment
Cited in
(36)- Moderate deviations for a stochastic wave equation in dimension three
- Deviation inequalities for quadratic Wiener functionals and moderate deviations for parameter estimators
- Moderate deviations for the Langevin equation with strong damping
- Moderate deviations for stochastic models of two-dimensional second-grade fluids driven by Lévy noise
- Moderate deviations for stochastic fractional heat equation driven by fractional noise
- Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics
- A moderate deviation principle for 2-D stochastic Navier-Stokes equations
- Moderate deviations for drift parameter estimations in reflected Ornstein-Uhlenbeck process
- Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations
- Parameter estimation for the non-stationary Ornstein-Uhlenbeck process with linear drift
- Deviation inequalities for centered additive functionals of recurrent Harris processes having general state space
- Moderate deviations for dynamic model governed by stationary process
- Asymptotic behaviours for the trajectory fitting estimator in Ornstein-Uhlenbeck process with linear drift
- Large and moderate deviations in testing Ornstein-Uhlenbeck process with linear drift
- A moderate deviation principle for 2-D stochastic Navier-Stokes equations driven by multiplicative Lévy noises
- scientific article; zbMATH DE number 5119105 (Why is no real title available?)
- Moderate deviations for a diffusion-type process in a random environment
- Asymptotics of stochastic 2D hydrodynamical type systems in unbounded domains
- Moderate deviations for stochastic models of two-dimensional second grade fluids
- Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
- Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
- Moderate deviations for a stochastic heat equation with spatially correlated noise
- A moderate deviation principle for stochastic Volterra equation
- Moderate deviations for stochastic tidal dynamics equations with multiplicative Gaussian noise
- Cramér-type moderate deviations for statistics in the non-stationary Ornstein–Uhlenbeck process
- Small-time moderate deviations for the randomised Heston model
- Moderate deviation principle for multivalued stochastic differential equations
- Moderate deviations for a fractional stochastic heat equation with spatially correlated noise
- Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process
- scientific article; zbMATH DE number 5066261 (Why is no real title available?)
- The precise asymptotic behavior of parameter estimators in Ornstein-Uhlenbeck process
- Moderate deviation principle for stochastic reaction-diffusion systems with multiplicative noise and non-Lipschitz reaction
- Large deviation principles of 2D stochastic Navier–Stokes equations with Lévy noises
- Asymptotic behavior of maximum likelihood estimators for Ornstein–Uhlenbeck process with large linear drift
- Moderate deviations for parameter estimation in the fractional Ornstein-Uhlenbeck processes with periodic mean
- Moderate deviations for neutral functional stochastic differential equations driven by Lévy noises
This page was built for publication: Examples of moderate deviation principle for diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2471398)
