Moderate deviations for systems of slow-fast diffusions

Article type: Research Article

Authors: Morse, Matthew R. | Spiliopoulos, Konstantinos^{; *}

Affiliations: Department of Mathematics and Statistics, Boston University, Boston, MA 02215, USA. E-mails: mrmorse@bu.edu, kspiliop@math.bu.edu

Correspondence: [*] Corresponding author: Konstantinos Spiliopoulos. E-mail: kspiliop@math.bu.edu.

Abstract: In this paper, we prove the moderate deviations principle (MDP) for a general system of slow-fast dynamics. We provide a unified approach, based on weak convergence ideas and stochastic control arguments, that cover both the averaging and the homogenization regimes. We allow the coefficients to be in the whole space and not just the torus and allow the noises driving the slow and fast processes to be correlated arbitrarily. Similar to the large deviation case, the methodology that we follow allows construction of provably efficient Monte Carlo methods for rare events that fall into the moderate deviations regime.

Keywords: Moderate deviations, slow-fast diffusions, multiscale processes, stochastic control, Laplace principle

DOI: 10.3233/ASY-171434

Journal: Asymptotic Analysis, vol. 105, no. 3-4, pp. 97-135, 2017