Large Deviations for a Slow–Fast System with Jump-Diffusion Processes
نویسندگان
چکیده
Abstract A slow–fast system with jump-diffusion processes is considered. The large deviations are established via the weak convergence approach, which based on variational representations for functional of Poisson random measure and Brownian motion. We present an example to verify that level asset price satisfies small volatility.
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ژورنال
عنوان ژورنال: Journal of Nonlinear Mathematical Physics
سال: 2022
ISSN: ['1776-0852', '1402-9251']
DOI: https://doi.org/10.1007/s44198-022-00050-z