English

Large deviations for two scaled diffusions

Probability 2007-05-23 v1

Abstract

We formulate large deviations principle (LDP) for diffusion pair (Xϵ,ξϵ)=(Xtϵ,ξtϵ)(X^\epsilon,\xi^\epsilon)=(X_t^\epsilon,\xi_t^\epsilon), where first component has a small diffusion parameter while the second is ergodic Markovian process with fast time. More exactly, the LDP is established for (Xϵ,νϵ)(X^\epsilon,\nu^\epsilon) with νϵ(dt,dz)\nu^\epsilon(dt,dz) being an occupation type measure corresponding to ξtϵ\xi_t^\epsilon. In some sense we obtain a combination of Freidlin-Wentzell's and Donsker-Varadhan's results. Our approach relies the concept of the exponential tightness and Puhalskii's theorem.

Keywords

Cite

@article{arxiv.math/0510029,
  title  = {Large deviations for two scaled diffusions},
  author = {R. Liptser},
  journal= {arXiv preprint arXiv:math/0510029},
  year   = {2007}
}