Large deviations for two scaled diffusions

Details Large deviations for two scaled diffusions Large deviations for two scaled diffusions

2005-10-03

arxiv.org/abs/math/0510029v1

Theory of Probability and Related Fields. Vol 106, 1996, pp. 71--104

Mathematics

Probability

Scientific paper

We formulate large deviations principle (LDP) for diffusion pair $(X^\epsilon,\xi^\epsilon)=(X_t^\epsilon,\xi_t^\epsilon)$, 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 $(X^\epsilon,\nu^\epsilon)$ with $\nu^\epsilon(dt,dz)$ being an occupation type measure corresponding to $\xi_t^\epsilon$. 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.

Affiliated with

Also associated with

No associations

Rating

Large deviations for two scaled diffusions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Large deviations for two scaled diffusions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Large deviations for two scaled diffusions will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-134462