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

Xiaoyu Yang; Yong Xu; Zhe Jiao

doi:10.1007/s44198-022-00050-z

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

Xiaoyu Yang, Yong Xu, Zhe Jiao

School of Mathematics and Statistics

Northwestern Polytechnical University Xian

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

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.

Original language	English
Pages (from-to)	331-348
Number of pages	18
Journal	Journal of Nonlinear Mathematical Physics
Volume	29
Issue number	2
DOIs	https://doi.org/10.1007/s44198-022-00050-z
State	Published - Jun 2022

Keywords

Large deviations
Slow–fast system
Variational representation
Weak convergence method

Access to Document

10.1007/s44198-022-00050-z

Cite this

@article{666a350e19294e71bcc8be411bcaa1e0,

title = "Large Deviations for a Slow–Fast System with Jump-Diffusion Processes",

abstract = "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.",

keywords = "Large deviations, Slow–fast system, Variational representation, Weak convergence method",

author = "Xiaoyu Yang and Yong Xu and Zhe Jiao",

note = "Publisher Copyright: {\textcopyright} 2022, The Author(s).",

year = "2022",

month = jun,

doi = "10.1007/s44198-022-00050-z",

language = "英语",

volume = "29",

pages = "331--348",

journal = "Journal of Nonlinear Mathematical Physics",

issn = "1402-9251",

publisher = "Springer Nature",

number = "2",

}

TY - JOUR

T1 - Large Deviations for a Slow–Fast System with Jump-Diffusion Processes

AU - Yang, Xiaoyu

AU - Xu, Yong

AU - Jiao, Zhe

PY - 2022/6

Y1 - 2022/6

N2 - 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.

AB - 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.

KW - Large deviations

KW - Slow–fast system

KW - Variational representation

KW - Weak convergence method

UR - http://www.scopus.com/inward/record.url?scp=85126236154&partnerID=8YFLogxK

U2 - 10.1007/s44198-022-00050-z

DO - 10.1007/s44198-022-00050-z

M3 - 文章

AN - SCOPUS:85126236154

SN - 1402-9251

VL - 29

SP - 331

EP - 348

JO - Journal of Nonlinear Mathematical Physics

JF - Journal of Nonlinear Mathematical Physics

IS - 2

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this