On the small time asymptotics of scalar stochastic conservation laws

2019/07/08 by Zhao Yang Dong, Dong, Zhao, Rangrang Zhang +1
Economics, Econometrics and Finance · Mathematics · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Financial Risk and Volatility Modeling

paper · pdf · doi:10.48550/arxiv.1907.03397

Abstract

In this paper, we establish a small time large deviation principles for scalar stochastic conservation laws driven by multiplicative noise. The doubling of variables method plays a key role.

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