Large deviations for multiscale diffusion via weak convergence methods
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Publication:424511
DOI10.1016/J.SPA.2011.12.006zbMATH Open1247.60034arXiv1011.5933OpenAlexW2056767400MaRDI QIDQ424511FDOQ424511
Authors: Paul Dupuis, Konstantinos Spiliopoulos 
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We study the large deviations principle for locally periodic stochastic differential equations with small noise and fast oscillating coefficients. There are three possible regimes depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter. We use weak convergence methods which provide convenient representations for the action functional for all three regimes. Along the way we study weak limits of related controlled SDEs with fast oscillating coefficients and derive, in some cases, a control that nearly achieves the large deviations lower bound at the prelimit level. This control is useful for designing efficient importance sampling schemes for multiscale diffusions driven by small noise.
Full work available at URL: https://arxiv.org/abs/1011.5933
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importance samplinglarge deviationsmultiscale diffusionsLaplace principlerugged energy landscapeweak convergence methods
Large deviations (60F10) Diffusion processes (60J60) Sample path properties (60G17) Systems with slow and fast motions for nonlinear problems in mechanics (70K70)
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