Quantitative fluctuation analysis of multiscale diffusion systems via Malliavin calculus

DOI10.1016/J.SPA.2024.104524MaRDI QIDQ6657408

Solesne Bourguin, Konstantinos V. Spiliopoulos

Publication date: 6 January 2025

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusfluctuationsdiffusion systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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• Diffusion approximation for fully coupled stochastic differential equations
• THE AVERAGING PRINCIPLE AND THEOREMS ON LARGE DEVIATIONS
• Stochastic version of the averaging principle for diffusion type processes
• The Malliavin Calculus and Related Topics
• Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion
• Fluctuation analysis and short time asymptotics for multiple scales diffusion processes

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