Large deviations for slow–fast processes on connected complete Riemannian manifolds

We consider a class of slow–fast processes on a connected complete Riemannian manifold M . The limiting dynamics as the scale separation goes to ∞ is governed by the averaging principle. Around this limit, we prove large deviation principles with an action-integral rate function for the slow process by nonlinear semigroup methods together with Hamilton–Jacobi–Bellman (HJB) equation techniques. Our main innovation is solving the comparison principle for viscosity solutions for the HJB equation on M and the construction of a variational viscosity solution for the non-smooth Hamiltonian, which lies at the heart of deriving the action integral representation for the rate function.

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Publication Details

Journal
Stochastic Processes and their Applications
Published
2024-08-31
DOI
https://doi.org/10.1016/j.spa.2024.104478
Primary Topic
Stochastic processes and financial applications
Type
article
Field-Weighted Citation Impact
0.00

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article

Large deviations for slow–fast processes on connected complete Riemannian manifolds

Yanyan Hu, Richard C. Kraaij, Fubao Xi
Stochastic Processes and their Applications
Stochastic processes and financial applications
article

Large deviations for slow–fast processes on connected complete Riemannian manifolds

Yanyan Hu, Richard C. Kraaij, Fubao Xi
article en

Abstract

We consider a class of slow–fast processes on a connected complete Riemannian manifold M . The limiting dynamics as the scale separation goes to ∞ is governed by the averaging principle. Around this limit, we prove large deviation principles with an action-integral rate function for the slow process by nonlinear semigroup methods together with Hamilton–Jacobi–Bellman (HJB) equation techniques. Our main innovation is solving the comparison principle for viscosity solutions for the HJB equation on M and the construction of a variational viscosity solution for the non-smooth Hamiltonian, which lies at the heart of deriving the action integral representation for the rate function.

Stochastic Processes and their ApplicationsVol. 178
Beijing Institute of Technology (CN), Delft University of Technology (NL)
National Natural Science Foundation of China, China Scholarship Council
Reduced inequalities
Openalex Percentile: Top 81%
Stochastic processes and financial applications
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Large deviations for slow–fast processes on connected complete Riemannian manifolds — Yanyan Hu, Richard C. Kraaij, et al. · Stochastic Processes and their Applications (2024) | TGRS Research Map | TGRS