Averaging principle of SDE with small diffusion: Moderate deviations
نویسندگان
چکیده
منابع مشابه
Moderate Deviations Type Evaluation for Integral Functionals of Diffusion Processes
where Ψ and g are smooth functions, ξε t is a “fast” ergodic diffusion whileXε t is a “slow” diffusion type process, κ ∈ (0, 1/2). Under the assumption that g has zero barycenter with respect to the invariant distribution of the fast diffusion, we derive the main result from the moderate deviation principle for the family (ε−κ ∫ t 0 g(ξ ε s)ds)t≥0, ε ↘ 0 which has an independent interest as wel...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2003
ISSN: 0091-1798
DOI: 10.1214/aop/1046294316