IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v115y2005i7p1187-1207.html

MDP for integral functionals of fast and slow processes with averaging

Author

Listed:
  • Guillin, A.
  • Liptser, R.

Abstract

We establish the moderate deviation principle (MDP) for the family ofwhere 0

Suggested Citation

  • Guillin, A. & Liptser, R., 2005. "MDP for integral functionals of fast and slow processes with averaging," Stochastic Processes and their Applications, Elsevier, vol. 115(7), pages 1187-1207, July.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:7:p:1187-1207
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(05)00028-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Guillin, Arnaud, 2001. "Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 287-313, April.
    2. Miguel Arcones, 2002. "Moderate deviations for M-estimators," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 11(2), pages 465-500, December.
    3. Gao, Fuqing, 2001. "Moderate deviations for the maximum likelihood estimator," Statistics & Probability Letters, Elsevier, vol. 55(4), pages 345-352, December.
    4. Wu, Liming, 2001. "Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems," Stochastic Processes and their Applications, Elsevier, vol. 91(2), pages 205-238, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Antoine Jacquier & Konstantinos Spiliopoulos, 2018. "Pathwise moderate deviations for option pricing," Papers 1803.04483, arXiv.org, revised Dec 2018.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Douc, Randal & Fort, Gersende & Guillin, Arnaud, 2009. "Subgeometric rates of convergence of f-ergodic strong Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 897-923, March.
    2. Xi, Fubao, 2009. "Asymptotic properties of jump-diffusion processes with state-dependent switching," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2198-2221, July.
    3. Pepin, Bob, 2021. "Concentration inequalities for additive functionals: A martingale approach," Stochastic Processes and their Applications, Elsevier, vol. 135(C), pages 103-138.
    4. Bao, Jianhai & Wang, Jian, 2022. "Coupling approach for exponential ergodicity of stochastic Hamiltonian systems with Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 114-142.
    5. Jiang Hui & Xu Lihu & Yang Qingshan, 2024. "Functional Large Deviations for Kac–Stroock Approximation to a Class of Gaussian Processes with Application to Small Noise Diffusions," Journal of Theoretical Probability, Springer, vol. 37(4), pages 3015-3054, November.
    6. Comte, Fabienne & Prieur, Clémentine & Samson, Adeline, 2017. "Adaptive estimation for stochastic damping Hamiltonian systems under partial observation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3689-3718.
    7. Xiao, Zhihong & Liu, Luqin, 2006. "Moderate deviations of maximum likelihood estimator for independent not identically distributed case," Statistics & Probability Letters, Elsevier, vol. 76(10), pages 1056-1064, May.
    8. Susanne Ditlevsen & Adeline Samson, 2019. "Hypoelliptic diffusions: filtering and inference from complete and partial observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 81(2), pages 361-384, April.
    9. Song, Renming & Xie, Longjie, 2020. "Well-posedness and long time behavior of singular Langevin stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 1879-1896.
    10. Dexheimer, Niklas & Strauch, Claudia, 2022. "Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations," Stochastic Processes and their Applications, Elsevier, vol. 153(C), pages 321-362.
    11. P. Cattiaux & José R. León & C. Prieur, 2015. "Recursive estimation for stochastic damping hamiltonian systems," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(3), pages 401-424, September.
    12. Quentin Clairon & Adeline Samson, 2022. "Optimal control for parameter estimation in partially observed hypoelliptic stochastic differential equations," Computational Statistics, Springer, vol. 37(5), pages 2471-2491, November.
    13. Djellout, H. & Guillin, A., 2001. "Moderate deviations for Markov chains with atom," Stochastic Processes and their Applications, Elsevier, vol. 95(2), pages 203-217, October.
    14. Gourcy, Mathieu, 2007. "A large deviation principle for 2D stochastic Navier-Stokes equation," Stochastic Processes and their Applications, Elsevier, vol. 117(7), pages 904-927, July.
    15. Pilipovic, Predrag & Samson, Adeline & Ditlevsen, Susanne, 2025. "Strang splitting for parametric inference in second-order stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 187(C).
    16. Ankit Kumar & Manil T. Mohan, 2023. "Large Deviation Principle for Occupation Measures of Stochastic Generalized Burgers–Huxley Equation," Journal of Theoretical Probability, Springer, vol. 36(1), pages 661-709, March.
    17. Ganguly, Arnab & Sundar, P., 2021. "Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: Central limit theorem and moderate deviation asymptotics," Stochastic Processes and their Applications, Elsevier, vol. 133(C), pages 74-110.
    18. Hiroki Masuda & Lorenzo Mercuri & Yuma Uehara, 2024. "Student t-L\'evy regression model in YUIMA," Papers 2403.12078, arXiv.org.
    19. Kulik, Alexey M., 2011. "Asymptotic and spectral properties of exponentially [phi]-ergodic Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 121(5), pages 1044-1075, May.
    20. Guillin, Arnaud, 2001. "Moderate deviations of inhomogeneous functionals of Markov processes and application to averaging," Stochastic Processes and their Applications, Elsevier, vol. 92(2), pages 287-313, April.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:115:y:2005:i:7:p:1187-1207. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.