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

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[5]

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[8] ON LARGE DEVIATIONS IN THE AVERAGING PRINCIPLE FOR STOCHASTIC DIFFERENTIAL-EQUATIONS WITH PERIODIC COEFFICIENTS .2. [J].

VERETENNIKOV, AY .

MATHEMATICS OF THE USSR-IZVESTIYA, 1992, 39 (01) :677-701

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