Fluctuation analysis and short time asymptotics for multiple scales diffusion processes

DOI10.1142/S0219493713500263zbMath1291.60050arXiv1306.1499OpenAlexW2963426178MaRDI QIDQ5170131

Konstantinos V. Spiliopoulos

Publication date: 18 July 2014

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.1499

zbMATH Keywords

central limit theoremfluctuations analysismultiscale diffusion processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)

Related Items (17)

Homogenization for stochastic reaction-diffusion equations with singular perturbation term ⋮ Rate of homogenization for fully-coupled McKean–Vlasov SDEs ⋮ Fluctuation analysis for a class of nonlinear systems with fast periodic sampling and small state-dependent white noise ⋮ Approximation of linear controlled dynamical systems with small random noise and fast periodic sampling ⋮ Functional law of large numbers and central limit theorem for slow-fast McKean-Vlasov equations ⋮ Optimal total variation bounds for stochastic differential delay equations with small noises ⋮ Fluctuation analysis of synchronized system ⋮ Discrete-Time Statistical Inference for Multiscale Diffusions ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Averaging principle and normal deviations for multiscale stochastic systems ⋮ Statistical inference for perturbed multiscale dynamical systems ⋮ Diffusion approximation for fully coupled stochastic differential equations ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Simultaneous small noise limit for singularly perturbed slow-fast coupled diffusions ⋮ Typical dynamics and fluctuation analysis of slow–fast systems driven by fractional Brownian motion ⋮ Importance Sampling for Slow-Fast Diffusions Based on Moderate Deviations ⋮ Large deviations for interacting multiscale particle systems

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• Large deviations and importance sampling for systems of slow-fast motion
• THE AVERAGING PRINCIPLE AND THEOREMS ON LARGE DEVIATIONS
• Stochastic version of the averaging principle for diffusion type processes

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