Functional large deviations for Stroock's approximation to a class of Gaussian processes with application to small noise diffusions

TL;DR

This paper establishes large deviations principles for Stroock's Gaussian process approximations and applies these results to analyze small noise diffusions, revealing phase transition phenomena.

Contribution

It provides the first functional large deviations principle for Stroock's approximation of Gaussian processes and derives explicit rate functions, including applications to small noise stochastic differential equations.

Findings

Established the functional LDP for Stroock's Gaussian process approximations.

Derived explicit rate functions for the approximations.

Revealed phase transition behavior in small noise diffusions.

Abstract

Letting~$N=\left\{N(t), t\geq0\right\}$ be a standard Poisson process, Stroock~ \cite{Stroock-1981} constructed a family of continuous processes by $$\Theta_{\epsilon}(t)=\int_0^t\theta_{\epsilon}(r)dr, \ \ \ \ \ 0 \le t \le 1,$$ where $\theta_{\epsilon}(r)=\frac{1}{\epsilon}(-1)^{N(\epsilon^{-2}r)}$, and proved that it weakly converges to a standard Brownian motion under the continuous function topology. We establish the functional large deviations principle (LDP) for the approximations of a class of Gaussian processes constructed by integrals over $\Theta_{\epsilon}(t)$, and find the explicit form for rate function. As an application, we consider the following (non-Markovian) stochastic differential equation \begin{equation*} \begin{aligned} X^{\epsilon}(t) &=x_{0}+\int^{t}_{0}b(X^{\epsilon}(s))ds+\lambda(\epsilon)\int^{t}_{0}\sigma(X^{\epsilon}(s))d\Theta_{\epsilon}(s), \end{aligned} \end{equation*} where $b$ and $\sigma$ are both Lipschitz functions, and establish its Freidlin-Wentzell type LDP as $\epsilon \rightarrow 0$. The rate function indicates a phase transition phenomenon as $\lambda(\epsilon)$ moves from one region to the other.