Large deviations for multiscale diffusion via weak convergence methods

By Paul Dupuis, Konstantinos Spiliopoulos. 2010

67 citations recorded by the source corpus.

We study the large deviations principle for locally periodic SDEs with small noise and fast oscillating coefficients. There are three regimes depending on how fast the intensity of the noise goes to zero relative to homogenization parameter. We use weak convergence methods which provide convenient representations for the action functional for all regimes. Along the way, we study weak limits of controlled SDEs with fast oscillating coefficients. We derive, in some cases, a control that nearly achieves the large deviations lower bound at prelimit level. This control is useful for designing efficient importance sampling schemes for multiscale small noise diffusion.

Subfields: Computational Theory and Mathematics, Control and Systems Engineering, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/479ca4c92ee79014bb6b53b775dc176b85172f55