Geodesic
Viscosity methods for large deviations estimates of multiscale stochastic processes
ESAIM: Control, Optimisation and Calculus of Variations, Tome 24 (2018) no. 2, pp. 605-637

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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.

DOI : 10.1051/cocv/2017051
Classification : 35XX, 49Lxx, 37Axx
Keywords: Viscosity solutions, Hamilton−Jacobi−Bellman equations, homogenization and singular perturbations, large deviations, stochastic volatility models

Ghilli, Daria 1

1 
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     author = {Ghilli, Daria},
     title = {Viscosity methods for large deviations estimates of multiscale stochastic processes},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {605--637},
     publisher = {EDP-Sciences},
     volume = {24},
     number = {2},
     year = {2018},
     doi = {10.1051/cocv/2017051},
     zbl = {1403.35334},
     mrnumber = {3816407},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2017051/}
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Ghilli, Daria. Viscosity methods for large deviations estimates of multiscale stochastic processes. ESAIM: Control, Optimisation and Calculus of Variations, Tome 24 (2018) no. 2, pp. 605-637. doi: 10.1051/cocv/2017051

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