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

2023/06/03 by Shen Gunagjun, Gunagjun, Shen, Zhou Huan +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Nonlinear Differential Equations Analysis #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2306.02047

openalex publication_date 2023/06/03 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, we are concerned with multi-scale distribution dependent stochastic differential equations driven by fractional Brownian motion (with Hurst index H>\frac12 and standard Brownian motion, simultaneously. Our aim is to establish a large deviation principle for the multi-scale distribution dependent stochastic differential equations. This is done via the weak convergence approach and our proof is based heavily on the fractional calculus.

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