On jumps stochastic slowly diffusion equations with fast oscillation coefficients

2019/09/16 by Clément Manga, Abu Tholib Aman, Manga, C. +5
Computer Science · Mathematics · Economics, Econometrics and Finance · #Advanced Mathematical Modeling in Engineering #Stochastic processes and statistical mechanics #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1909.07300

Abstract

We present a large deviation principle for some stochastic evolution equations with jumps which depend on two small parameters, when the viscosity parameter ε tends to zero more quickly than the homogenization's one δε (written as a function of ε). In particular, we highlighted a large deviation principle in path-space using some classical techniques and a uniform upper bound for the characteristic function of a Feller process.

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