Large deviation principle for slow-fast system with mixed fractional Brownian motion
Fuente:
arXiv
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2023
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866929548354912256 |
|---|---|
| author | Inahama, Yuzuru Xu, Yong Yang, Xiaoyu |
| author_facet | Inahama, Yuzuru Xu, Yong Yang, Xiaoyu |
| contents | This work focuses on a slow-fast system perturbed by mixed fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. The integral with respect to fractional Brownian motion is the generalized Riemann-Stieltjes integral and the integral with respect to Brownian motion is the standard Itô integral. Our approach is based on the variational framework and the weak convergence criteria for mixed fractional Brownian motion. By combining the weak convergence method and Khasminskii's averaging principle, we show a large deviation principle for the slow component. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2303_06626 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Large deviation principle for slow-fast system with mixed fractional Brownian motion Inahama, Yuzuru Xu, Yong Yang, Xiaoyu Probability 60F10, 60G15, 60H10 This work focuses on a slow-fast system perturbed by mixed fractional Brownian motion with Hurst parameter $H\in(1/2,1)$. The integral with respect to fractional Brownian motion is the generalized Riemann-Stieltjes integral and the integral with respect to Brownian motion is the standard Itô integral. Our approach is based on the variational framework and the weak convergence criteria for mixed fractional Brownian motion. By combining the weak convergence method and Khasminskii's averaging principle, we show a large deviation principle for the slow component. |
| title | Large deviation principle for slow-fast system with mixed fractional Brownian motion |
| topic | Probability 60F10, 60G15, 60H10 |
| url | https://arxiv.org/abs/2303.06626 |