  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.
