Large deviations for Cox-Ingersoll-Ross processes with state-dependent fast switching

MaRDI QIDQ6444718zbMATH OpenFDO

Authors Yanyan Hu, Richard Clemens Kraaij, Fubao Xi

Publication date 21 July 2023

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on general state spaces (60J25) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Transition functions, generators and resolvents (60J35)

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