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Teoriya Veroyatnostei i ee Primeneniya, 2009, Volume 54, Issue 1, Pages 39–62
DOI: https://doi.org/10.4213/tvp2498
(Mi tvp2498)
 

This article is cited in 9 scientific papers (total in 10 papers)

Moderate Deviations for a Diffusion-Type Process in a Random Environment

R. Sh. Liptsera, P. Chiganskyb

a Tel Aviv University
b Tel Aviv University, Department of Electrical Engineering-Systems
References:
Abstract: Let $\sigma(u)$, $u\in\mathbf{R}$, be an ergodic stationary Markov chain, taking a finite number of values $a_1,\ldots,a_m$, and let $b(u)=g(\sigma(u))$, where $g$ is a bounded and measurable function. We consider the diffusion-type process
$$ dX^\varepsilon_t = b\biggl(\frac{X^\varepsilon_t}{\varepsilon}\biggr)\,dt+\varepsilon^\kappa\sigma\biggl(\frac{X^\varepsilon_t}{\varepsilon}\biggr)\,dB_t,\qquad t\le T, $$
subject to $X^\varepsilon_0=x_0$, where $\varepsilon$ is a small positive parameter, $B_t$ is a Brownian motion, independent of $\sigma$, and $\kappa>0$ is a fixed constant.
We show that for $\kappa<\frac16$, the family $\{X^\varepsilon_t\}_{\varepsilon\to 0}$ satisfies the large deviation principle (LDP) of Freidlin–Wentzell type with the constant drift $\mathbf{b}$ and the diffusion $\mathbf{a}$, given by
$$ \mathbf{b}=\sum_{i=1}^m\frac{g(a_i)}{a^2_i}\,\pi_i\Big/ \sum_{i=1}^m\frac{1}{a^2_i}\,\pi_i, \quad \mathbf{a}=1\Big/\sum_{i=1}^m\frac{1}{a^2_i}\,\pi_i, $$
where $\{\pi_1,\ldots,\pi_m\}$ is the invariant distribution of the chain $\sigma(u)$.
Keywords: random environment, moderate deviations, diffusion-type processes, Freidlin–Wentzell large deviation principle.
Received: 17.03.2007
Revised: 12.10.2008
English version:
Theory of Probability and its Applications, 2010, Volume 54, Issue 1, Pages 29–50
DOI: https://doi.org/10.1137/S0040585X97983973
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: R. Sh. Liptser, P. Chigansky, “Moderate Deviations for a Diffusion-Type Process in a Random Environment”, Teor. Veroyatnost. i Primenen., 54:1 (2009), 39–62; Theory Probab. Appl., 54:1 (2010), 29–50
Citation in format AMSBIB
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\paper Moderate Deviations for a Diffusion-Type Process in a Random Environment
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\pages 39--62
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  • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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