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VISCOSITY METHODS FOR LARGE DEVIATIONS ESTIMATES OF MULTISCALE STOCHASTIC PROCESSES

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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https://hal.inria.fr/hal-01315953
Contributor : Daria Ghilli <>
Submitted on : Friday, May 13, 2016 - 6:57:00 PM
Last modification on : Wednesday, September 7, 2016 - 1:01:23 AM
Long-term archiving on: : Wednesday, November 16, 2016 - 5:10:11 AM

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Daria Ghilli. VISCOSITY METHODS FOR LARGE DEVIATIONS ESTIMATES OF MULTISCALE STOCHASTIC PROCESSES. 2016. ⟨hal-01315953⟩

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