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...

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Bibliographic Details
Published in:Stochastic processes and their applications 2024-12, Vol.178, p.104478, Article 104478
Main Authors: Hu, Yanyan, Kraaij, Richard C., Xi, Fubao
Format: Article
Language:English
Subjects:
Action-integral representation
Comparison principle
Hamilton–Jacobi–Bellman equations
Large deviation principle
Riemannian manifold
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Summary: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.
ISSN:0304-4149
DOI:10.1016/j.spa.2024.104478