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Large deviations for two scaled diffusions
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  • Published: September 1996

Large deviations for two scaled diffusions

  • Robert Liptser1 

Probability Theory and Related Fields volume 106, pages 71–104 (1996)Cite this article

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Summary.

We formulate large deviations principle (LDP) for diffusion pair (X ɛ ,ξ ɛ )=(X t ɛ ,ξ t ɛ ), where first component has a small diffusion parameter while the second is ergodic Markovian process with fast time. More exactly, the LDP is established for (X ɛ ,ν ɛ ) with ν ɛ(dt, dz) being an occupation type measure corresponding to ξ t ɛ. In some sense we obtain a combination of Freidlin–Wentzell’s and Donsker–Varadhan’s results. Our approach relies on the concept of the exponential tightness and Puhalskii’s theorem.

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Authors and Affiliations

  1. Department of Electrical Engineering-Systems, Tel Aviv University, Tel Aviv 69978, Israel, (e-mail: liptser@eng.tau.ac.il) , , , , , , IL

    Robert Liptser

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  1. Robert Liptser
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Received: 29 June 1995/In revised form: 14 February 1996

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Liptser, R. Large deviations for two scaled diffusions. Probab Theory Relat Fields 106, 71–104 (1996). https://doi.org/10.1007/s004400050058

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  • Issue Date: September 1996

  • DOI: https://doi.org/10.1007/s004400050058

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  • Mathematics Subject classification (1991): 60F10
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