Large deviations for multi-scale jump-diffusion processes
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Publication:516019
DOI10.1016/J.SPA.2016.07.016zbMATH Open1358.60047arXiv1503.05990OpenAlexW1742944887MaRDI QIDQ516019FDOQ516019
Publication date: 20 March 2017
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We obtain large deviation results for a two time-scale model of jump-diffusion processes. The processes on the two time scales are fully inter-dependent, the slow process has small perturbative noise and the fast process is ergodic. Our results extend previous large deviation results for diffusions. We provide concrete examples in their applications to finance and biology, with an explicit calculation of the large deviation rate function.
Full work available at URL: https://arxiv.org/abs/1503.05990
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