Large deviations for some fast stochastic volatility models by viscosity methods (Q255794): Difference between revisions

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-.3934/dcds.2015.35.3965
@@ Property / DOI: 10.3934/dcds.2015.35.3965 / rank @@
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+C70
@@ Property / Mathematics Subject Classification ID: 93C70 / rank @@
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+F10
@@ Property / Mathematics Subject Classification ID: 60F10 / rank @@
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+L25
@@ Property / Mathematics Subject Classification ID: 49L25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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+B25
@@ Property / Mathematics Subject Classification ID: 35B25 / rank @@
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@@ Property / zbMATH DE Number @@
+6552646
@@ Property / zbMATH DE Number: 6552646 / rank @@
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@@ Property / zbMATH Keywords @@
+singular perturbations
@@ Property / zbMATH Keywords: singular perturbations / rank @@
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@@ Property / zbMATH Keywords @@
+viscosity solutions
@@ Property / zbMATH Keywords: viscosity solutions / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
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@@ Property / zbMATH Keywords @@
+large deviations
@@ Property / zbMATH Keywords: large deviations / rank @@
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@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2950209415
@@ Property / OpenAlex ID: W2950209415 / rank @@
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+.3206
@@ Property / arXiv ID: 1405.3206 / rank @@
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@@ Property / cites work @@
+Viscosity Solutions Methods for Singular Perturbations in Deterministic and Stochastic Control
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+Singular perturbations of nonlinear degenerate parabolic pDEs: A general convergence result
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+Ergodicity, stabilization, and singular perturbations for Bellman-Isaacs equations
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+Multiscale problems and homogenization for second-order Hamilton-Jacobi equations
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+Application of large deviation methods to the pricing of index options in finance.
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+On ergodic stochastic control
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+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
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+Convergence by Viscosity Methods in Multiscale Financial Models with Stochastic Volatility
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+Optimal control with random parameters: a multiscale approach
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+Viscosity solutions of Hamilton-Jacobi equations
@@ Property / cites work: Viscosity solutions of Hamilton-Jacobi equations / rank @@
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+Comparison principle for Dirichlet-type Hamilton-Jacobi equations and singular perturbations of degenerated elliptic equations
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+Homogenization and Vanishing Viscosity in Fully Nonlinear Elliptic Equations: Rate of Convergence Estimates
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+Uniqueness Results for Second-Order Bellman--Isaacs Equations under Quadratic Growth Assumptions and Applications
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+Singular Perturbations in Option Pricing
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+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
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+Large deviations for two-time-scale diffusions, with delays
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+Large deviations for two scaled diffusions
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+Large deviations and importance sampling for systems of slow-fast motion
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+A remark on a singular perturbation method for option pricing under a stochastic volatility model
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+On large deviations for SDEs with small diffusion and averaging.
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+Probability with Martingales
@@ Property / cites work: Probability with Martingales / rank @@
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@@ Property / DOI @@
+.3934/DCDS.2015.35.3965
@@ Property / DOI: 10.3934/DCDS.2015.35.3965 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:255794