Journal article 311 views 38 downloads
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions
Stochastic Processes and their Applications, Volume: 164, Pages: 383 - 415
Swansea University Author: Chenggui Yuan
-
PDF | Version of Record
© 2023 The Author(s). This is an open access article under the CCBY-NC-ND license.
Download (1.72MB)
DOI (Published version): 10.1016/j.spa.2023.07.015
Abstract
In this paper, we study small-noise asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter H ∈ (1/2, 1) and magnitude ϵH. By building up a variational framework and two weak convergence criteria in the f...
Published in: | Stochastic Processes and their Applications |
---|---|
ISSN: | 0304-4149 |
Published: |
Elsevier BV
2023
|
Online Access: |
Check full text
|
URI: | https://cronfa.swan.ac.uk/Record/cronfa63996 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
first_indexed |
2023-07-31T08:13:36Z |
---|---|
last_indexed |
2023-07-31T08:13:36Z |
id |
cronfa63996 |
recordtype |
SURis |
fullrecord |
<?xml version="1.0" encoding="utf-8"?><rfc1807 xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema"><bib-version>v2</bib-version><id>63996</id><entry>2023-07-31</entry><title>Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions</title><swanseaauthors><author><sid>22b571d1cba717a58e526805bd9abea0</sid><ORCID>0000-0003-0486-5450</ORCID><firstname>Chenggui</firstname><surname>Yuan</surname><name>Chenggui Yuan</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2023-07-31</date><deptcode>SMA</deptcode><abstract>In this paper, we study small-noise asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter H ∈ (1/2, 1) and magnitude ϵH. By building up a variational framework and two weak convergence criteria in the factional Brownian motion setting, we establish the large and moderate deviation principles for these types of equations. Besides, we also obtain the central limit theorem, in which the limit process solves a linear equation involving the Lions derivative of the drift coefficient.</abstract><type>Journal Article</type><journal>Stochastic Processes and their Applications</journal><volume>164</volume><journalNumber/><paginationStart>383</paginationStart><paginationEnd>415</paginationEnd><publisher>Elsevier BV</publisher><placeOfPublication/><isbnPrint/><isbnElectronic/><issnPrint>0304-4149</issnPrint><issnElectronic/><keywords>Distribution dependent SDE, Fractional Brownian motion, Large deviation principle, Moderate deviation principle, Central limit theorem</keywords><publishedDay>1</publishedDay><publishedMonth>10</publishedMonth><publishedYear>2023</publishedYear><publishedDate>2023-10-01</publishedDate><doi>10.1016/j.spa.2023.07.015</doi><url>http://dx.doi.org/10.1016/j.spa.2023.07.015</url><notes/><college>COLLEGE NANME</college><department>Mathematics</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>SMA</DepartmentCode><institution>Swansea University</institution><apcterm>SU Library paid the OA fee (TA Institutional Deal)</apcterm><funders>Swansea University</funders><projectreference/><lastEdited>2023-09-07T13:33:52.7347177</lastEdited><Created>2023-07-31T09:09:54.9555087</Created><path><level id="1">Faculty of Science and Engineering</level><level id="2">School of Mathematics and Computer Science - Mathematics</level></path><authors><author><firstname>Xiliang</firstname><surname>Fan</surname><order>1</order></author><author><firstname>Ting</firstname><surname>Yu</surname><order>2</order></author><author><firstname>Chenggui</firstname><surname>Yuan</surname><orcid>0000-0003-0486-5450</orcid><order>3</order></author></authors><documents><document><filename>63996__28316__5fbc39adc5084c6cae6ed838720ed749.pdf</filename><originalFilename>63996.VOR.pdf</originalFilename><uploaded>2023-08-18T11:55:54.6238965</uploaded><type>Output</type><contentLength>1805811</contentLength><contentType>application/pdf</contentType><version>Version of Record</version><cronfaStatus>true</cronfaStatus><documentNotes>© 2023 The Author(s). This is an open access article under the CCBY-NC-ND license.</documentNotes><copyrightCorrect>true</copyrightCorrect><language>eng</language><licence>http://creativecommons.org/licenses/by-nc-nd/4.0/</licence></document></documents><OutputDurs/></rfc1807> |
spelling |
v2 63996 2023-07-31 Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions 22b571d1cba717a58e526805bd9abea0 0000-0003-0486-5450 Chenggui Yuan Chenggui Yuan true false 2023-07-31 SMA In this paper, we study small-noise asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter H ∈ (1/2, 1) and magnitude ϵH. By building up a variational framework and two weak convergence criteria in the factional Brownian motion setting, we establish the large and moderate deviation principles for these types of equations. Besides, we also obtain the central limit theorem, in which the limit process solves a linear equation involving the Lions derivative of the drift coefficient. Journal Article Stochastic Processes and their Applications 164 383 415 Elsevier BV 0304-4149 Distribution dependent SDE, Fractional Brownian motion, Large deviation principle, Moderate deviation principle, Central limit theorem 1 10 2023 2023-10-01 10.1016/j.spa.2023.07.015 http://dx.doi.org/10.1016/j.spa.2023.07.015 COLLEGE NANME Mathematics COLLEGE CODE SMA Swansea University SU Library paid the OA fee (TA Institutional Deal) Swansea University 2023-09-07T13:33:52.7347177 2023-07-31T09:09:54.9555087 Faculty of Science and Engineering School of Mathematics and Computer Science - Mathematics Xiliang Fan 1 Ting Yu 2 Chenggui Yuan 0000-0003-0486-5450 3 63996__28316__5fbc39adc5084c6cae6ed838720ed749.pdf 63996.VOR.pdf 2023-08-18T11:55:54.6238965 Output 1805811 application/pdf Version of Record true © 2023 The Author(s). This is an open access article under the CCBY-NC-ND license. true eng http://creativecommons.org/licenses/by-nc-nd/4.0/ |
title |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
spellingShingle |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions Chenggui Yuan |
title_short |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
title_full |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
title_fullStr |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
title_full_unstemmed |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
title_sort |
Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions |
author_id_str_mv |
22b571d1cba717a58e526805bd9abea0 |
author_id_fullname_str_mv |
22b571d1cba717a58e526805bd9abea0_***_Chenggui Yuan |
author |
Chenggui Yuan |
author2 |
Xiliang Fan Ting Yu Chenggui Yuan |
format |
Journal article |
container_title |
Stochastic Processes and their Applications |
container_volume |
164 |
container_start_page |
383 |
publishDate |
2023 |
institution |
Swansea University |
issn |
0304-4149 |
doi_str_mv |
10.1016/j.spa.2023.07.015 |
publisher |
Elsevier BV |
college_str |
Faculty of Science and Engineering |
hierarchytype |
|
hierarchy_top_id |
facultyofscienceandengineering |
hierarchy_top_title |
Faculty of Science and Engineering |
hierarchy_parent_id |
facultyofscienceandengineering |
hierarchy_parent_title |
Faculty of Science and Engineering |
department_str |
School of Mathematics and Computer Science - Mathematics{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Mathematics |
url |
http://dx.doi.org/10.1016/j.spa.2023.07.015 |
document_store_str |
1 |
active_str |
0 |
description |
In this paper, we study small-noise asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter H ∈ (1/2, 1) and magnitude ϵH. By building up a variational framework and two weak convergence criteria in the factional Brownian motion setting, we establish the large and moderate deviation principles for these types of equations. Besides, we also obtain the central limit theorem, in which the limit process solves a linear equation involving the Lions derivative of the drift coefficient. |
published_date |
2023-10-01T13:33:54Z |
_version_ |
1776382152179449856 |
score |
11.016235 |