Moderate deviations for systems of slow-fast diffusions

DOI10.3233/ASY-171434MaRDI QIDQ4606533zbMATH OpenOpenAlexFDO

Authors Matthew R. Morse, Konstantinos Spiliopoulos

Publication date 8 March 2018

Published in Asymptotic Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.05903

zbMATH Keywords

moderate deviationsstochastic controlmultiscale processesLaplace principleslow-fast diffusions

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Diffusion processes (60J60)

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.

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