Large Deviations for Two-Time-Scale Diffusions, with Delays
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We consider the problem of large deviations for a two-time-scale reflected diffusion process, possibly with delays in the dynamical terms. The Dupuis-Ellis weak convergence approach is used. It is perhaps the most intuitive and simplest for the problems of concern. The results have applications to the problem of approximating optimal controls for two-time-scale systems via use of the averaged equation.
KeywordsLarge deviations Delay equations Two-time-scale systems
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