Moderate deviations for two-time scale systems with mixed fractional Brownian motion
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arXiv
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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866914710240100352 |
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| author | Yang, Xiaoyu Inahama, Yuzuru Xu, Yong |
| author_facet | Yang, Xiaoyu Inahama, Yuzuru Xu, Yong |
| contents | This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian motion. Throughout this paper, Hurst parameter of fractional Brownian motion is larger than $1/2$ and the integral along the fractional Brownian motion is understood as the generalized Riemann-Stieltjes integral. First, we consider single-time scale systems with fractional Brownian motion. The key of our proof is showing the weak convergence of the controlled system. Next, we extend our method to show moderate deviations for two-time scale systems. To this goal, we combine the Khasminskii-type averaging principle and the weak convergence approach. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2310_14232 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Moderate deviations for two-time scale systems with mixed fractional Brownian motion Yang, Xiaoyu Inahama, Yuzuru Xu, Yong Dynamical Systems Probability 60F10, 60G15, 60H10 This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian motion. Throughout this paper, Hurst parameter of fractional Brownian motion is larger than $1/2$ and the integral along the fractional Brownian motion is understood as the generalized Riemann-Stieltjes integral. First, we consider single-time scale systems with fractional Brownian motion. The key of our proof is showing the weak convergence of the controlled system. Next, we extend our method to show moderate deviations for two-time scale systems. To this goal, we combine the Khasminskii-type averaging principle and the weak convergence approach. |
| title | Moderate deviations for two-time scale systems with mixed fractional Brownian motion |
| topic | Dynamical Systems Probability 60F10, 60G15, 60H10 |
| url | https://arxiv.org/abs/2310.14232 |