Large deviations for Markov-modulated diffusion processes with rapid switching
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Cites work
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- A large deviation approach to some transportation cost inequalities
- A technique for exponential change of measure for Markov processes
- Asymptotic evaluation of certain markov process expectations for large time, I
- Averaging principle of SDE with small diffusion: Moderate deviations
- Continuous-time Markov chains and applications. A two-time-scale approach
- Credit risk: Modelling, valuation and hedging
- Large deviations
- Large deviations for multi-scale Markovian switching systems with a small diffusion
- Large deviations for two scaled diffusions
- Large deviations for two-time-scale systems driven by nonhomogeneous Markov chains and associated optimal control problems
- Large deviations techniques and applications.
- Limit theorems on large deviations for semimartingales
- Markov-modulated Ornstein-Uhlenbeck processes
- Moderate deviations for time-varying dynamic systems driven by non-homogeneous Markov chains with two-time scales
- On large deviation principles in metric spaces
- Stopping times and tightness
- Transportation-information inequalities for Markov processes
- Uniform Approximation of Real Continuous Functions on the Real Line by Infinitely Differentiable Functions
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Cited in
(19)- Large deviations for neutral stochastic functional differential equations
- Averaging principle for two time-scale regime-switching processes
- Large deviations for multi-scale regime-switching jump diffusion systems
- Certain properties related to well posedness of switching diffusions
- Refined large deviations asymptotics for Markov-modulated infinite-server systems
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- scientific article; zbMATH DE number 7338522 (Why is no real title available?)
- DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS
- Large-deviation principles of switching Markov processes via Hamilton-Jacobi equations
- Large deviations for regime-switching diffusions with infinite delay
- The Cramér-Lundberg model with a fluctuating number of clients
- Large deviations for slow-fast processes on connected complete Riemannian manifolds
- Weak convergence of Markov-modulated diffusion processes with rapid switching
- Switched diffusion processes for non-convex optimization and saddle points search
- Mobility can drastically improve the heavy traffic performance from \(\frac{1}{1-\varrho}\) to \(\log(1/(1-\varrho))\)
- Large deviations for empirical measures of switching diffusion processes with small parameters
- Large deviations for small noise diffusions in a fast Markovian environment
- Singular perturbation for a two-class processor-sharing queue with impatience
- Large deviations for Markov processes with switching and homogenisation via Hamilton-Jacobi-Bellman equations
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