Large deviations for small noise diffusions over long time

DOI10.1090/BTRAN/172arXiv2207.07282OpenAlexW4390496366MaRDI QIDQ6180755FDOQ6180755

Authors: Amarjit Budhiraja 

Publication date: 22 January 2024

Published in: Transactions of the American Mathematical Society, Series B (Search for Journal in Brave)

Abstract: We study two problems. First, we consider the large deviation behavior of empirical measures of certain diffusion processes as, simultaneously, the time horizon becomes large and noise becomes vanishingly small. The law of large numbers (LLN) of the empirical measure in this asymptotic regime is given by the unique equilibrium of the noiseless dynamics. Due to degeneracy of the noise in the limit, the methods of Donsker and Varadhan (1976) are not directly applicable and new ideas are needed. Second, we study a system of slow-fast diffusions where both the slow and the fast components have vanishing noise on their natural time scales. This time the LLN is governed by a degenerate averaging principle in which local equilibria of the noiseless system obtained from the fast dynamics describe the asymptotic evolution of the slow component. We establish a large deviation principle that describes probabilities of divergence from this behavior. On the one hand our methods require stronger assumptions than the nondegenerate settings, while on the other hand the rate functions take simple and explicit forms that have striking differences from their nondegenerate counterparts.

Full work available at URL: https://arxiv.org/abs/2207.07282

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zbMATH Keywords

large deviationsstochastic controlaveraging principledegenerate noiseempirical measuremultiscale diffusionsslow-fast dynamicsLaplace asymptoticsstochastic approximations

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (2)

• Large deviations for Lévy diffusions in the small noise regime
• The large-time and vanishing-noise limits for entropy production in nondegenerate diffusions

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