Moderate averaged deviations for a multi-scale system with jumps and memory

arXiv1909.10894MaRDI QIDQ6325883FDOQ6325883

Pedro J. Catuogno, André de Oliveira Gomes

Publication date: 24 September 2019

Abstract: This work studies a two-time-scale functional system given by two jump-diffusions under the scale separation by a small parameter $varepsilonightarrow0$. The coefficients of the equations that govern the dynamics of the system depend on the segment process of the slow variable (responsible for capturing delay effects on the slow component) and on the state of the fast variable. We derive a moderate deviations principle for the slow component of the system in the small noise limit using the weak convergence approach. The rate function is written in terms of the averaged dynamics associated to the multi-scale system. The core of the proof of the moderate deviations principle is the establishment of an averaging principle for the controlled processes associated to the slow variable in the framework of the weak convergence approach. The controlled version of the averaging principle for jump multi-scale diffusions relies on the classical Khasminkii's technique.

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