MDP for integral functionals of fast and slow processes with averaging

Abstract

We establish large deviation principle (LDP) for the family of vector-valued random processes $(X^ε,Y^ε),ε\to 0$ defined as $$ X^ε_t=\frac{1}{ε^κ}\int_0^t H(ξ^ε_s,Y^ε_s)ds, dY^ε_t=F(ξ^ε_t,Y^ε_t)dt+ Dε^{1/2-κ}G(ξ^ε_t,Y^ε_t)dW_t,$$ where $W_t$ is Wiener process and $ξ^ε_t$ is fast ergodic diffusion. We show that, under $κ<{1/2}$ or less and Veretennikov-Khasminskii type condition for fast diffusion, the LDP holds with rate function of Freidlin-Wentzell&#39;s type.