Large Deviations for Multiscale Diffusions via Weak Convergence Methods

Dupuis, P; Spiliopoulos, K

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	https://dspace.lib.ntua.gr/xmlui/handle/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