Copyright © 2005 Elsevier B.V. All rights reserved.
MDP for integral functionals of fast and slow processes with averaging
Received 12 March 2003;
revised 13 September 2004;
accepted 18 February 2005.
Available online 19 March 2005.
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Abstract
We establish the moderate deviation principle (MDP) for the family of
Keywords: Moderate deviations; Poisson equation; Puhalskii theorem
MSC: 60J27; 60F10
Article Outline
- 1. Introduction
- 2. Notations and assumptions
- 3. Main result
- 4. Preliminaries
- 5. MDP analysis for
- 5.1. The proof of Theorem 5.1 under uniformly nonsingular
- 5.2. The proof of Theorem 5.1 under nonnegative definite
- 5.2.1. Verification of (5.14)
- 5.2.2. Verification of (5.15)
- 6. The proof of Theorem 3.1
- Acknowledgements
- Appendix A. Exponential estimates for martingale
- Appendix B. Auxiliary results for exponential tightness
- References






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