Moderate Deviations for Two-Time Scale Systems with Mixed Fractional Brownian Motion

Xiaoyu Yang, Yuzuru Inahama, Yong Xu

研究成果: ジャーナルへの寄稿学術誌査読

1 被引用数 (Scopus)

抄録

This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian motion. Throughout this paper, the Hurst parameter of fractional Brownian motion is larger than 1/2 and the integral along the fractional Brownian motion is understood as the generalized Riemann-Stieltjes integral. First, we consider single-time scale systems with fractional Brownian motion. The key of our proof is showing the weak convergence of the controlled system. Next, we extend our method to show moderate deviations for two-time scale systems. To this goal, we combine the Khasminskii-type averaging principle and the weak convergence approach.

本文言語英語
論文番号18
ジャーナルApplied Mathematics and Optimization
90
1
DOI
出版ステータス出版済み - 8月 2024

!!!All Science Journal Classification (ASJC) codes

  • 制御と最適化
  • 応用数学

フィンガープリント

「Moderate Deviations for Two-Time Scale Systems with Mixed Fractional Brownian Motion」の研究トピックを掘り下げます。これらがまとまってユニークなフィンガープリントを構成します。

引用スタイル