Convergence by viscosity methods in multiscale financial models with stochastic volatility
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Singular perturbations in context of PDEs (35B25) Homogenization in context of PDEs; PDEs in media with periodic structure (35B27) Viscosity solutions to PDEs (35D40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Time-scale analysis and singular perturbations in control/observation systems (93C70)
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Cited in
(26)- Asymptotic behaviour for operators of Grushin type: invariant measure and singular perturbations
- Sharp estimates of the generalized principal eigenvalue for superlinear viscous Hamilton-Jacobi equations with inward drift
- Liouville results for fully nonlinear equations modeled on Hörmander vector fields. I: The Heisenberg group
- The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model
- The generalized principal eigenvalue for Hamilton-Jacobi-Bellman equations of ergodic type
- Large deviations for some fast stochastic volatility models by viscosity methods
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- Liouville properties and critical value of fully nonlinear elliptic operators
- Sequential \delta-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
- Optimal control with random parameters: a multiscale approach
- Small-time asymptotics for fast mean-reverting stochastic volatility models
- Viscosity methods for large deviations estimates of multiscale stochastic processes
- Singular perturbations and optimal control of stochastic systems in infinite dimension: HJB equations and viscosity solutions
- The ergodic problem for some subelliptic operators with unbounded coefficients
- Singular limit of two-scale stochastic optimal control problems in infinite dimensions by vanishing noise regularization
- Singular perturbations for a subelliptic operator
- Rate of convergence for singular perturbations of Hamilton-Jacobi equations in unbounded spaces
- Liouville results for fully nonlinear equations modeled on Hörmander vector fields. II: Carnot groups and Grushin geometries
- Singular perturbations in stochastic optimal control with unbounded data
- The order of convergence in the averaging principle for slow-fast systems of stochastic evolution equations in Hilbert spaces
- Averaging Principle for Two Time-Scales Stochastic Partial Differential Equations with Reflection
- Deep relaxation of controlled stochastic gradient descent via singular perturbations
- Singular limit of BSDES and optimal control of two scale systems with jumps in infinite dimensional spaces
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Multiscale stochastic control with domain restriction in the slow variable
- Averaging principle and optimal control for a two-time-scale stochastic reaction-diffusion HIV model
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