Large Deviations for a Slow–Fast System with Jump-Diffusion Processes

被引：0
作者：
Xiaoyu Yang
Yong Xu
Zhe Jiao
机构：
[1] Northwestern Polytechnical University,School of Mathematics and Statistics
[2] Northwestern Polytechnical University,MIIT Key Laboratory of Dynamics and Control of Complex Systems
来源：
Journal of Nonlinear Mathematical Physics | 2022年 / 29卷
关键词：
Slow–fast system; Large deviations; Variational representation; Weak convergence method; 70K70; 60G51; 60G46;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A slow–fast system with jump-diffusion processes is considered. The large deviations are established via the weak convergence approach, which is based on the variational representations for functional of Poisson random measure and Brownian motion. We present an example to verify that the level of the asset price satisfies large deviations with small volatility.
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页码：331 / 348
页数：17
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