On large deviations in the averaging principle for stochastic differential equations with "complete dependence"

被引：2

作者：

Veretennikov, AY ^{[1
]}

机构：

[1] Inst Informat Transmiss Problems, Moscow 101447, Russia

来源：

THEORY OF PROBABILITY AND ITS APPLICATIONS | 1999年 / 43卷 / 04期

关键词：

large deviations; stochastic differential equation; averaging;

D O I：

10.1137/S0040585X97977185

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The large deviation principle for a system of stochastic differential equations with fast and slow components is established in the case when the fast diffusion coefficient depends on a slow process.

引用

页码：664 / 666

页数：3

共 8 条

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[3] FREIDLIN MI, 1978, USP MAT NAUK, V33, P107
[4] Freidlin MI, 1984, RANDOM PERTURBATIONS
[5] Ikeda N., 1989, STOCHASTIC DIFFERENT, DOI DOI 10.1002/BIMJ.4710320720
[6] Kato T., 1976, PERTURBATION THEORY
[7] KRASNOSELSKII MA, SIGMA SERIES APPL MA, V5
[8] ON LARGE DEVIATIONS IN THE AVERAGING PRINCIPLE FOR STOCHASTIC DIFFERENTIAL-EQUATIONS WITH PERIODIC COEFFICIENTS .2.
VERETENNIKOV, AY
[J]. MATHEMATICS OF THE USSR-IZVESTIYA, 1992, 39 (01): : 677 - 701

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