WIAS Preprint No. 414, (1998)

On Large Deviation Probabilities in Ergodic Theorem for Singularly Perturbed Stochastic Systems



Authors

  • Pergamenshchikov, Sergei M

2010 Mathematics Subject Classification

  • 60F10

Keywords

  • fast and slow components, large deviations, stochastic differential, singular perturbations, ergodic theorem

Abstract

We consider a two scale system of stochastic differential equations. We study asymptotic properties of integral functionals of slow component of this system and establish some large deviation type estimations for these functionals.

Download Documents