Abstract
We consider multiple time scales systems of stochastic differential equations with small noise in random environments. We prove a quenched large deviations principle with explicit characterization of the action functional. The random medium is assumed to be stationary and ergodic. In the course of the proof we also prove related quenched ergodic theorems for controlled diffusion processes in random environments that are of independent interest. The proof relies entirely on probabilistic arguments, allowing to obtain detailed information on how the rare event occurs. We derive a control, equivalently a change of measure, that leads to the large deviations lower bound. This information on the change of measure can motivate the design of asymptotically efficient Monte Carlo importance sampling schemes for multiscale systems in random environments
Citation
Konstantinos Spiliopoulos. "Quenched large deviations for multiscale diffusion processes in random environments." Electron. J. Probab. 20 1 - 29, 2015. https://doi.org/10.1214/EJP.v20-3729
Information