On Large Deviation Probabilities in Ergodic Theorem for Singularly Perturbed Stochastic Systems
- Pergamenshchikov, Sergei M
2010 Mathematics Subject Classification
- fast and slow components, large deviations, stochastic differential, singular perturbations, ergodic theorem
We consider a two scale system of stochastic differential equations. We study asymptotic properties of integral functionals of slow component of this system and establish some large deviation type estimations for these functionals.