Article ID Journal Published Year Pages File Type
5130181 Stochastic Processes and their Applications 2017 24 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)