In this paper, we study the numerical approximation of the one-point large deviations rate functions of nonlinear stochastic differential equations (SDEs) with small noise. We show that the stochastic $\theta$-method satisfies the one-point large deviations principle with a discrete rate function for sufficiently small step-size, and present a uniform error estimate between the discrete rate function and the continuous one on bounded sets in terms of step-size. It is proved that the convergence orders in the cases of multiplicative noises and additive noises are $1/2$ and $1$ respectively. Based on the above results, we obtain an effective approach to numerically approximating the large deviations rate functions of nonlinear SDEs with small time. To the best of our knowledge, this is the first result on the convergence rate of discrete rate functions for approximating the one-point large deviations rate functions associated with nonlinear SDEs with small noise.
翻译:在本文中,我们研究了使用小噪音的非线性随机差分方程式(SDEs)的单点大偏差率函数的数值近似值,我们表明,Stochatic $\theta$-方法符合一点大偏差原则,对于足够小的步级尺寸则具有离散率函数,并对离散率函数和按步级大小对捆绑装置的连续测算提出了统一的误差估计。事实证明,在多复制性噪音和添加性噪声的情况下,趋同顺序分别为1/2美元和1美元。根据上述结果,我们获得了一种有效的方法,在数字上近似于非线性SDEs的大型偏差率函数。据我们所知,这是对与小噪音的非线性SDEs相关的一点大偏差率函数的近似趋同率的第一个结果。