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 defined as where is Wiener process and is fast ergodic diffusion. We show that, under or less and Veretennikov-Khasminskii type condition for fast diffusion, the LDP holds with rate function of Freidlin-Wentzell's type.
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