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.
Keywords: Viscosity solutions, Hamilton−Jacobi−Bellman equations, homogenization and singular perturbations, large deviations, stochastic volatility models
Ghilli, Daria 1
@article{COCV_2018__24_2_605_0,
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},
year = {2018},
publisher = {EDP Sciences},
volume = {24},
number = {2},
doi = {10.1051/cocv/2017051},
zbl = {1403.35334},
mrnumber = {3816407},
language = {en},
url = {https://www.numdam.org/articles/10.1051/cocv/2017051/}
}
TY - JOUR AU - Ghilli, Daria TI - Viscosity methods for large deviations estimates of multiscale stochastic processes JO - ESAIM: Control, Optimisation and Calculus of Variations PY - 2018 SP - 605 EP - 637 VL - 24 IS - 2 PB - EDP Sciences UR - https://www.numdam.org/articles/10.1051/cocv/2017051/ DO - 10.1051/cocv/2017051 LA - en ID - COCV_2018__24_2_605_0 ER -
%0 Journal Article %A Ghilli, Daria %T Viscosity methods for large deviations estimates of multiscale stochastic processes %J ESAIM: Control, Optimisation and Calculus of Variations %D 2018 %P 605-637 %V 24 %N 2 %I EDP Sciences %U https://www.numdam.org/articles/10.1051/cocv/2017051/ %R 10.1051/cocv/2017051 %G en %F COCV_2018__24_2_605_0
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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