Large deviations for small noise diffusions in a fast Markovian environment

DOI10.1214/18-EJP228zbMath1402.60030arXiv1705.02948OpenAlexW2964108150MaRDI QIDQ1994521

Arnab Ganguly, Paul Dupuis, Amarjit Budhiraja

Publication date: 1 November 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.02948

zbMATH Keywords

large deviationsvariational representationsaveraging principlemulti-scale analysisPoisson random measuresstochastic averagingswitching diffusionssmall noise asymptoticsMarkov modulated diffusions

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Large deviations (60F10) Processes in random environments (60K37)

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