Moderate deviations for systems of slow-fast diffusions
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Publication:4606533
DOI10.3233/ASY-171434zbMATH Open1390.60111arXiv1611.05903OpenAlexW2767178308MaRDI QIDQ4606533FDOQ4606533
Authors: Matthew R. Morse, Konstantinos Spiliopoulos 
Publication date: 8 March 2018
Published in: Asymptotic Analysis (Search for Journal in Brave)
Abstract: In this paper, we prove the moderate deviations principle (MDP) for a general system of slow-fast dynamics. We provide a unified approach, based on weak convergence ideas and stochastic control arguments, that cover both the averaging and the homogenization regimes. We allow the coefficients to be in the whole space and not just the torus and allow the noises driving the slow and fast processes to be correlated arbitrarily. Similar to the large deviation case, the methodology that we follow allows construction of provably efficient Monte Carlo methods for rare events that fall into the moderate deviations regime.
Full work available at URL: https://arxiv.org/abs/1611.05903
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