LARGE DEVIATIONS FOR DIFFUSION-PROCESSES COUPLED BY A JUMP PROCESS

被引：0

作者：

LASRY, JM ^{[1
]}

LIONS, PL ^{[1
]}

机构：

[1] UNIV PARIS 09,CEREMADE,CNRS,URA 749,F-75775 PARIS 16,FRANCE

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 1995年 / 321卷 / 07期

关键词：

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study a large deviations problem arising im Mathematical Finance. It concerns coupled diffusion processes by a jump process. Proofs are based upon the associated nonlinear partial differential equations and the theory of viscosity solutions.

引用

页码：849 / 854

页数：6

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