Lower bound for large deviations for an averaged SDE with a small diffusion (Q1267459)
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scientific article; zbMATH DE number 1208184
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lower bound for large deviations for an averaged SDE with a small diffusion |
scientific article; zbMATH DE number 1208184 |
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Lower bound for large deviations for an averaged SDE with a small diffusion (English)
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13 December 1998
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Large deviations of a singularly perturbed stochastic differential system driven by a two-dimensional Wiener process are studied. The author proves a representation of the rate function \(S(\varphi)\) which occurs in the large deviation problem of finding lower bounds in the Freidlin-Wentzell form [see \textit{M. I. Frejdlin} and \textit{A. D. Venttsel'}, ``Random perturbations of dynamical systems'' (1984; Zbl 0522.60055)]. Another approach to the presented problem and representation of rate function is given by \textit{R. Liptser} [Probab. Theory Relat. Fields 106, No. 1, 71-104 (1996; Zbl 0855.60030)].
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large deviations
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stochastic ordinary differential equations
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rate function
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averaging principle
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Freidlin-Wentzell approach
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0.9408516
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0.93047637
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0.9043346
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0.90007967
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