Large deviations for slow–fast processes on connected complete Riemannian manifolds
Yanyan Hu (TU Delft - Applied Probability)
Richard C. Kraaij (TU Delft - Applied Probability)
Fubao Xi (Beijing Institute of Technology)
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Abstract
We consider a class of slow–fast processes on a connected complete Riemannian manifold M. The limiting dynamics as the scale separation goes to ∞ is governed by the averaging principle. Around this limit, we prove large deviation principles with an action-integral rate function for the slow process by nonlinear semigroup methods together with Hamilton–Jacobi–Bellman (HJB) equation techniques. Our main innovation is solving the comparison principle for viscosity solutions for the HJB equation on M and the construction of a variational viscosity solution for the non-smooth Hamiltonian, which lies at the heart of deriving the action integral representation for the rate function.
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