Large deviations for some fast stochastic volatility models by viscosity methods
From MaRDI portal
Publication:255794
DOI10.3934/dcds.2015.35.3965zbMath1332.93265arXiv1405.3206MaRDI QIDQ255794
Annalisa Cesaroni, Martino Bardi, Daria Ghilli
Publication date: 9 March 2016
Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1405.3206
35B25: Singular perturbations in context of PDEs
93C70: Time-scale analysis and singular perturbations in control/observation systems
60F10: Large deviations
91G20: Derivative securities (option pricing, hedging, etc.)
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
Related Items
Viscosity methods for large deviations estimates of multiscale stochastic processes, Rate of convergence for singular perturbations of Hamilton-Jacobi equations in unbounded spaces, Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions, Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure, Sharp estimates of the generalized principal eigenvalue for superlinear viscous Hamilton-Jacobi equations with inward drift, A priori Lipschitz estimates for solutions of local and nonlocal Hamilton-Jacobi equations with Ornstein-Uhlenbeck operator
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