Large deviations for multi-scale regime-switching jump diffusion systems
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The authors prove a large-deviation principle for jump-diffusion processes with coefficients (drift, diffusion, jump kernel) depending on an additional Markov chain in the regime of small noise (diffusion, Lévy) and a fast environment (Markov chain). The rate function has a variational representation as a minimization problem with terms representing the diffusive and both jump-noises. The method of the proof is a generalization of the weak convergence approach to large deviation developed by \textit{A. Budhiraja} et al. [Electron. J. Probab. 23, Paper No. 112, 33 p. (2018; Zbl 1402.60030)].
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Cited in
(16)- Large deviations for small noise diffusions in a fast Markovian environment
- Large deviations for Markov jump processes in periodic and locally periodic environments
- On some stochastic differential equations with jumps subject to small positives coefficients
- Large deviations for empirical measures of switching diffusion processes with small parameters
- Large deviations for Markov-modulated diffusion processes with rapid switching
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- Jump-drift and jump-diffusion processes: large deviations for the density, the current and the jump-flow and for the excursions between jumps
- Large deviations for multi-scale jump-diffusion processes
- Large deviations for multi-scale Markovian switching systems with a small diffusion
- Large Deviations for Additive Functionals of Reflected Jump-Diffusions
- Large deviations for Markov processes with switching and homogenisation via Hamilton-Jacobi-Bellman equations
- Large deviations for Lévy diffusions in the small noise regime
- Large deviations for regime-switching diffusions with infinite delay
- Large deviation and averaging for multi-scale stochastic tidal dynamics equation
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