Asymptotic behaviors for functionals of random dynamical systems

作者：Gao, Fuqing; Wang, Shaochen^*

来源：Stochastic Analysis and Applications, 2016, 34(2): 258-277.

DOI：10.1080/07362994.2015.1119050

• 60H10
• 60F10
• forward-backward SDE
• Dynamical system
• large deviations
• moderate deviations
• Gaussian approximation

In this article, we consider asymptotic behaviors for functionals of dynamical systems with small random perturbations. First, we present a deviation inequality for Gaussian approximation of dynamical systems with small random perturbations under Holder norms and establish the moderate deviation principle and the central limit theorem for the dynamical systems by the deviation inequality. Then, applying these results to forward-backward stochastic differential equations and diffusions in small time intervals, combining the delta method in large deviations, we give a moderate deviation principle for solutions of forward-backward stochastic differential equations with small random perturbations, and obtain the central limit theorem, the moderate deviation principle and the iterated logarithm law for functionals of diffusions in small time intervals.

• 出版日期2016-3-3
• 单位武汉大学