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Large deviation for slow-fast McKean–Vlasov stochastic differential equations driven by fractional Brownian motions and Brownian motions
Hao Wu 
,
Junhao Hu ,
Chenggui Yuan
,
Junhao Hu ,
Chenggui Yuan
Stochastics and Dynamics
Swansea University Author:
Chenggui Yuan
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DOI (Published version): 10.1142/s0219493724500448
Abstract
In this paper, we consider slow-fast McKean–Vlasov stochastic differential equations driven by fractional Brownian motions with Hurst parameter [Formula: see text] and Brownian motions. We give a definition of the large deviation principle (LDP) on the product space related to fractional Brownian mo...
| Published in: | Stochastics and Dynamics |
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| ISSN: | 0219-4937 1793-6799 |
| Published: |
World Scientific Publishing Co Pte Ltd
2024
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa68461 |
| Abstract: |
In this paper, we consider slow-fast McKean–Vlasov stochastic differential equations driven by fractional Brownian motions with Hurst parameter [Formula: see text] and Brownian motions. We give a definition of the large deviation principle (LDP) on the product space related to fractional Brownian motion and Brownian motion, which is different from the traditional definition for LDP. Under some proper assumptions on coefficients, LDP is investigated for this type of equations by using the weak convergence method. |
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| Keywords: |
LDP, fractional Brownian motions, McKean–Vlasov, slow-fast |
| College: |
Faculty of Science and Engineering |
| Funders: |
National Natural Science Foundation of China Grant: 61876192 Grant: 11626236 |