Related papers: Moderate averaged deviations for a multi-scale sys…
The theory of stochastic approximations form the theoretical foundation for studying convergence properties of many popular recursive learning algorithms in statistics, machine learning and statistical physics. Large deviations for…
We establish uniqueness for a class of first-order Hamilton-Jacobi equations with Hamiltonians that arise from the large deviations of the empirical measure and empirical flux pair of weakly interacting Markov jump processes. As a corollary…
This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are…
The large deviation principle in the small noise limit is derived for solutions of possibly degenerate It\^o stochastic differential equations with predictable coefficients, which may depend also on the large deviation parameter. The result…
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…
This paper is concerned with classes of models of stochastic reaction dynamics with time-scales separation. We demonstrate that the existence of the time-scale separation naturally leads to the application of the averaging principle and…
We develop a provably efficient importance sampling scheme that estimates exit probabilities of solutions to small-noise stochastic reaction-diffusion equations from scaled neighborhoods of a stable equilibrium. The moderate deviation…
In this paper, we study the asymptotic behavior of a fully-coupled slow-fast McKean-Vlasov stochastic system. Using the non-linear Poisson equation on Wasserstein space, we first establish the strong convergence in the averaging principle…
The averaged dynamics of various two-phase systems in a high-frequency vibration field is studied theoretically. The continuum approach is applied to describe such systems as solid particle suspensions, emulsions, bubbly fluids, when the…
In this paper, we derive the moderate deviation principle for stationary sequences of bounded random variables with values in a Hilbert space. The conditions obtained are expressed in terms of martingale-type conditions. The main tools are…
In the first part of this paper, we consider a family of continuous-time dynamical systems coupled with diffusion-transmutation processes. Under certain conditions, such randomly perturbed dynamical systems can be interpreted as an averaged…
This work focuses on a slow-fast system perturbed by mixed fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. The integral with respect to fractional Brownian motion is the generalized Riemann-Stieltjes integral and the integral…
We study diffusion processes driven by a Brownian motion with regular drift in a finite dimension setting. The drift has two components on different time scales, a fast conservative component and a slow dissipative component. Using the…
The averaging principle for slow-fast systems of various kind of stochastic (partial) differential equations has been extensively studied. An analogous result was shown for slow-fast systems of rough differential equations driven by random…
We consider potential type dynamical systems in finite dimensions with two meta-stable states. They are subject to two sources of perturbation: a slow external periodic perturbation of period $T$ and a small Gaussian random perturbation of…
Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are…
In this paper, we investigate a class of multiscale McKean-Vlasov stochastic systems, where the entire system depends on the distributions of both fast and slow components. First of all, by applying the Poisson equation method, we prove…
This article is concerned with moderate deviation principles of a general class of mean eld type interacting particle models. We discuss functional moderate deviations of the occupation measures for both the strong -topology on the space of…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
The purpose of the present paper is to establish moderate deviation principles for a rather general class of random variables fulfilling certain bounds of the cumulants. We apply a celebrated lemma of the theory of large deviations…