Central limit type theorem and large deviation principle for multi-scale McKean–Vlasov SDEs

W Hong, S Li, W Liu, X Sun - Probability Theory and Related Fields, 2023 - Springer
The main aim of this work is to study the asymptotic behavior for multi-scale McKean–Vlasov
stochastic dynamical systems. Firstly, we obtain a central limit type theorem, ie the deviation …

Slow-fast systems with fractional environment and dynamics

XM Li, J Sieber - The Annals of Applied Probability, 2022 - projecteuclid.org
We prove a fractional averaging principle for interacting slow-fast systems. The mode of
convergence is in Hölder norm in probability. The main technical result is a quenched …

Generating diffusions with fractional Brownian motion

M Hairer, XM Li - Communications in Mathematical Physics, 2022 - Springer
We study fast/slow systems driven by a fractional Brownian motion B with Hurst parameter
H∈(1 3, 1]. Surprisingly, the slow dynamic converges on suitable timescales to a limiting …

Moderate deviation principle for multiscale systems driven by fractional Brownian motion

S Bourguin, T Dang, K Spiliopoulos - Journal of Theoretical Probability, 2024 - Springer
In this paper, we study the moderate deviations principle (MDP) for slow–fast stochastic
dynamical systems where the slow motion is governed by small fractional Brownian motion …

Discrete-time inference for slow-fast systems driven by fractional Brownian motion

S Bourguin, S Gailus, K Spiliopoulos - Multiscale Modeling & Simulation, 2021 - SIAM
We study statistical inference for small-noise-perturbed multiscale dynamical systems where
the slow motion is driven by fractional Brownian motion. We develop statistical estimators for …

Large deviations of slow-fast systems driven by fractional Brownian motion

S Gailus, I Gasteratos - arXiv preprint arXiv:2210.03678, 2022 - arxiv.org
We consider a multiscale system of stochastic differential equations in which the slow
component is perturbed by a small fractional Brownian motion with Hurst index $ H> 1/2 …

Large deviation principle for multi-scale distribution-dependent stochastic differential equations driven by fractional Brownian motions

G Shen, H Zhou, JL Wu - Journal of Evolution Equations, 2024 - Springer
In this paper, we are concerned with multi-scale distribution-dependent stochastic
differential equations driven by fractional Brownian motion (with Hurst index H> 1 2) and …

Averaging principle for slow-fast systems of rough differential equations via controlled paths

Y Inahama - arXiv preprint arXiv:2210.01334, 2022 - arxiv.org
In this paper we prove the strong averaging principle for a slow-fast system of rough
differential equations. The slow and the fast component of the system are driven by a rather …

On the large-time behaviour of affine Volterra processes

A Jacquier, A Pannier, K Spiliopoulos - arXiv preprint arXiv:2204.05270, 2022 - arxiv.org
We show the existence of a stationary measure for a class of multidimensional stochastic
Volterra systems of affine type. These processes are in general not Markovian, a …

Approximation of linear controlled dynamical systems with small random noise and fast periodic sampling

S Dhama, CD Pahlajani - arXiv preprint arXiv:2001.07057, 2020 - arxiv.org
In this paper, we study the dynamics of a linear control system with given state feedback
control law in the presence of fast periodic sampling at temporal frequency $1/\delta …