For light-tailed Lévy bridges conditioned to hit x on short time scales, the sample path large deviation rate is an entropy functional whose unique minimizer is the linear path, with explicit jump-count and jump-increment asymptotics.
Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations
1 Pith paper cite this work. Polarity classification is still indexing.
abstract
The goal of this paper is to study the Moderate Deviation Principle (MDP) for a system of stochastic reaction-diffusion equations with a time-scale separation in slow and fast components and small noise in the slow component. Based on weak convergence methods in infinite dimensions and related stochastic control arguments, we obtain an exact form for the moderate deviations rate function in different regimes as the small noise and time-scale separation parameters vanish. Many issues that appear due to the infinite dimensionality of the problem are completely absent in their finite-dimensional counterpart. In comparison to corresponding Large Deviation Principles, the moderate deviation scaling necessitates a more delicate approach to establishing tightness and properly identifying the limiting behavior of the underlying controlled problem. The latter involves regularity properties of a solution of an associated elliptic Kolmogorov equation on Hilbert space along with a finite-dimensional approximation argument.
citation-role summary
citation-polarity summary
fields
math.PR 1years
2025 1verdicts
CONDITIONAL 1roles
background 1polarities
unclear 1representative citing papers
citing papers explorer
-
Large deviations for light-tailed L\'evy bridges on short time scales
For light-tailed Lévy bridges conditioned to hit x on short time scales, the sample path large deviation rate is an entropy functional whose unique minimizer is the linear path, with explicit jump-count and jump-increment asymptotics.