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Large deviation principle for slow-fast rough differential equations via controlled rough paths

Published online by Cambridge University Press:  28 January 2025

Xiaoyu Yang
Affiliation:
Graduate School of Information Science and Technology, Osaka University, Suita, Osaka, 5650871, Japan (yangxiaoyu@yahoo.com)
Yong Xu*
Affiliation:
School of Mathematics and Statistics, Northwestern Polytechnical University, Xi’an, Shaanxi, 710072, China MOE Key Laboratory of Complexity Science in Aerospace, Northwestern Polytechnical University, Xi’an, Shaanxi, 710072, China (hsux3@nwpu.edu.cn) (corresponding author)
*
*Corresponding author.
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Abstract

We prove a large deviation principle for the slow-fast rough differential equations (RDEs) under the controlled rough path (RP) framework. The driver RPs are lifted from the mixed fractional Brownian motion (FBM) with Hurst parameter $H\in (1/3,1/2)$. Our approach is based on the continuity of the solution mapping and the variational framework for mixed FBM. By utilizing the variational representation, our problem is transformed into a qualitative property of the controlled system. In particular, the fast RDE coincides with Itô stochastic differential equation (SDE) almost surely, which possesses a unique invariant probability measure with frozen slow component. We then demonstrate the weak convergence of the controlled slow component by averaging with respect to the invariant measure of the fast equation and exploiting the continuity of the solution mapping.

Information

Type
Research Article
Copyright
© The Author(s), 2025. Published by Cambridge University Press on behalf of The Royal Society of Edinburgh