Large deviations for multi-scale jump-diffusion processes (Q516019)

From MaRDI portal

Revision as of 14:22, 13 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Large deviations for multi-scale jump-diffusion processes	scientific article

Statements

scholarly article

0 references

Large deviations for multi-scale jump-diffusion processes (English)

0 references

zbMATH Open document ID

0 references

10.1016/j.spa.2016.07.016

0 references

0 references

0 references

Stochastic Processes and their Applications

0 references

publication date

20 March 2017

0 references

full work available at URL

https://arxiv.org/abs/1503.05990

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

zbMATH Keywords

large deviation principle

0 references

multi-scale asymptotics

0 references

jump diffusions

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

Viscosity solutions of nonlinear integro-differential equations

0 references

Asymptotic analysis of multiscale approximations to reaction networks

0 references

Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

0 references

Convergence in multiscale financial models with non-Gaussian stochastic volatility

0 references

Second-order elliptic integro-differential equations: viscosity solutions' theory revisited

0 references

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

0 references

Variational representations for continuous time processes

0 references

Large deviations for stochastic partial differential equations driven by a Poisson random measure

0 references

Ergodicity for time-changed symmetric stable processes

0 references

0 references

On a Variational Formula for the Principal Eigenvalue for Operators with Maximum Principle

0 references

Asymptotic evaluation of certain markov process expectations for large time. IV

0 references

Large deviations for multiscale diffusion via weak convergence methods

0 references

Averaging and large deviation principles for fully-coupled piecewise deterministic Markov processes and applications to molecular motors

0 references

Non-equilibrium thermodynamics of piecewise deterministic Markov processes

0 references

Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model

0 references

Small-time asymptotics for fast mean-reverting stochastic volatility models

0 references

0 references

0 references

First exit times for Lévy-driven diffusions with exponentially light jumps

0 references

Separation of time-scales and model reduction for stochastic reaction networks

0 references

Central limit theorems and diffusion approximations for multiscale Markov chain models

0 references

A Jump-Diffusion Model for Option Pricing

0 references

Stochastically-induced bistability in chemical reaction systems

0 references

On large deviations of coupled diffusions with time scale separation

0 references

An introduction to the theory of large deviations

0 references

On large deviations for SDEs with small diffusion and averaging.

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:516019

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q516019&oldid=36311515"