Central limit type theorem and large deviation principle for multi-scale McKean–Vlasov SDEs

The main aim of this work is to study the asymptotic behavior for multi-scale McKean–Vlasov stochastic dynamical systems. Firstly, we obtain a central limit type theorem, i.e. the deviation between the slow component X^ε and the solution X̅ of the averaged equation converges weakly to a limiting process. More precisely, X^ε-X̅/√(ε) converges weakly in C([0,T],ℝ^n) to the solution of certain distribution dependent stochastic differential equation, which involves an extra explicit stochastic integral term. Secondly, in order to estimate the probability of deviations away from the limiting process, we further investigate the Freidlin–Wentzell’s large deviation principle for multi-scale McKean–Vlasov stochastic system when the small-noise regime parameter δ→ 0 and the time scale parameter ε (δ ) satisfies ε (δ )/δ→ 0 . The main techniques are based on the Poisson equation for central limit type theorem and the weak convergence approach for large deviation principle.