Viscosity methods for large deviations estimates of multiscale stochastic processes
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large deviationsstochastic volatility modelsHJB equationsmultiscale processessingular pertubationsviscosity solutiions
Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Auctions, bargaining, bidding and selling, and other market models (91B26) Ergodicity, mixing, rates of mixing (37A25) Singular perturbations in context of PDEs (35B25) PDEs with randomness, stochastic partial differential equations (35R60) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Abstract: We study singular perturbation problems for second order HJB equations in an unbounded setting. The main applications are large deviations estimates for the short maturity asymptotics of stochastic systems affected by a stochastic volatility, where the volatility is modelled by a process evolving at a faster time scale and satisfying some condition implying ergodicity.
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Cited in
(12)- Large deviations for some fast stochastic volatility models by viscosity methods
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