中文

MDP for integral functionals of fast and slow processes with averaging

概率论 2016-09-07 v1

摘要

We establish large deviation principle (LDP) for the family of vector-valued random processes (Xϵ,Yϵ),ϵ0(X^\epsilon,Y^\epsilon),\epsilon\to 0 defined as Xtϵ=1ϵκ0tH(ξsϵ,Ysϵ)ds,dYtϵ=F(ξtϵ,Ytϵ)dt+Dϵ1/2κG(ξtϵ,Ytϵ)dWt, X^\epsilon_t=\frac{1}{\epsilon^\kappa}\int_0^t H(\xi^\epsilon_s,Y^\epsilon_s)ds, dY^\epsilon_t=F(\xi^\epsilon_t,Y^\epsilon_t)dt+ D\epsilon^{1/2-\kappa}G(\xi^\epsilon_t,Y^\epsilon_t)dW_t, where WtW_t is Wiener process and ξtϵ\xi^\epsilon_t is fast ergodic diffusion. We show that, under κ<1/2\kappa<{1/2} or less and Veretennikov-Khasminskii type condition for fast diffusion, the LDP holds with rate function of Freidlin-Wentzell's type.

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引用

@article{arxiv.math/0304426,
  title  = {MDP for integral functionals of fast and slow processes with averaging},
  author = {A. Guillin and R. Liptser},
  journal= {arXiv preprint arXiv:math/0304426},
  year   = {2016}
}

备注

18 pages