Central Limit Type Theorem and Large Deviation Principle for Multi-Scale McKean-Vlasov SDEs

2021/12/15 by Wei Hong, Hong, Wei, Shihu Li +5 · 2 citations
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Stochastic processes and financial applications #Gas Dynamics and Kinetic Theory #Advanced Thermodynamics and Statistical Mechanics

paper · pdf · doi:10.48550/arxiv.2112.08203

Abstract

In this paper, we aim to study the asymptotic behavior for multi-scale McKean-Vlasov stochastic dynamical systems. Firstly, we obtain a central limit type theorem, i.e, the deviation between the slow component X^ε and the solution X of the averaged equation converges weakly to a limiting process. More precisely, \fracX^ε-X√(ε) converges weakly in C([0,T],\RRⁿ) to the solution of certain distribution dependent stochastic differential equation, which involves an extra explicit stochastic integral term. Secondly, in order to estimate the probability of deviations away from the limiting process, we further investigate the Freidlin-Wentzell's large deviation principle for multi-scale McKean-Vlasov stochastic system. The main techniques are based on the Poisson equation for central limit type theorem and the weak convergence approach for large deviation principle.

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• Large deviation principles for fully coupled multiscale multivalued stochastic systems
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