Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130181 | Stochastic Processes and their Applications | 2017 | 24 Pages |
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.
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Mathematics
Mathematics (General)