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Large Deviations for Multiscale Diffusions via Weak Convergence Methods

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dc.contributor.author Dupuis, P en
dc.contributor.author Spiliopoulos, K en
dc.date.accessioned 2014-03-01T01:59:19Z
dc.date.available 2014-03-01T01:59:19Z
dc.date.issued 2010 en
dc.identifier.uri http://hdl.handle.net/123456789/28917
dc.relation.uri http://arxiv.org/abs/1011.5933 en
dc.subject Importance Sampling en
dc.subject Large Deviation en
dc.subject Large Deviation Principle en
dc.subject Oscillations en
dc.subject Stochastic Differential Equation en
dc.subject Weak Convergence en
dc.subject Lower Bound en
dc.title Large Deviations for Multiscale Diffusions via Weak Convergence Methods en
heal.type journalArticle en
heal.publicationDate 2010 en
heal.abstract We study the large deviations principle for locally periodic stochasticdifferential equations with small noise and fast oscillating coefficients.There are three possible regimes depending on how fast the intensity of thenoise goes to zero relative to the homogenization parameter. We use weakconvergence methods which provide convenient representations for the actionfunctional for all three regimes. Along the en


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