WIAS Preprint No. 414, (1998)
On Large Deviation Probabilities in Ergodic Theorem for Singularly Perturbed Stochastic Systems
Authors
- Pergamenshchikov, Sergei M
2010 Mathematics Subject Classification
- 60F10
Keywords
- fast and slow components, large deviations, stochastic differential, singular perturbations, ergodic theorem
DOI
Abstract
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.
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