Large deviations for two scaled diffusions

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dc.creatorLiptser, R.
dc.date2005-10-03
dc.date.accessioned2026-07-07T06:20:35Z
dc.date.available2026-07-07T06:20:35Z
dc.descriptionWe formulate large deviations principle (LDP) for diffusion pair $(X^ε,ξ^ε)=(X_t^ε,ξ_t^ε)$, 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 $(X^ε,ν^ε)$ with $ν^ε(dt,dz)$ being an occupation type measure corresponding to $ξ_t^ε$. 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.
dc.identifierhttps://arxiv.org/abs/math/0510029
dc.identifierhttp://arxiv.org/abs/math/0510029
dc.identifierTheory of Probability and Related Fields. Vol 106, 1996, pp. 71--104
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/95359
dc.subjectProbability
dc.subject60F10
dc.titleLarge deviations for two scaled diffusions
dc.typetext

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