Year: 2026
Type: article
Abstract: In this paper, we prove the Freidlin-Wentzell-type large deviation principle for a general system of fully-coupled slow-fast McKean-Vlasov stochastic dynamics, when the noise intensity δ→0 and the time scale parameter varepsilon(δ) satisfies varepsilon²(δ)/δ→0. The coefficients can depend on the distribution of the slow motion and that of the fast motion. The main techniques are based on the Poisson equation and the weak convergence approach for the large deviation principle.
Source: Scientia Sinica Mathematica
Authors: Ren Jie, Xia Pengcheng
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W7128010741