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

10.20347/WIAS.PREPRINT.414

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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